# EDGAR Filing Document

**Accession Number:** 0000934563
**File Stem:** 0001004726-26-001165
**Filing Date:** 2026-2
**Character Count:** 799669
**Document Hash:** 313cd415bf766241432639975c4dc93a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001004726-26-001165.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0001004726-26-001165

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20260630

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08918
- **FILM NUMBER:** 26693747

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** West Conshohocken

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19428

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2026-06-30

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

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **Yes**

### Fund Information

**Total Assets:** $278338825.51

**Total Liabilities:** $19077213.60

**Net Assets:** $259261611.91

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -649.04485517 | **1-Year:** -9305.97316217 | **5-Year:** -25659.60323102 | **10-Year:** -45857.38761882 | **30-Year:** -12627.09293033

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000091790 | 0.76%                | 0.62%                | -0.04%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-27163.53               | $1155610.75                                |
| Month 2  | $-6162.68                | $865981.06                                 |
| Month 3  | $-2288.55                | $-804784.44                                |

**Designated Index Information**

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

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                                                                           | Title                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AWPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    375009 | PA      | $306046.28    | 0.12%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMSX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21699 | PA      | $21098.77     | 0.01%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138LSZN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172748 | PA      | $165465.26    | 0.06%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3133A7RB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173524 | PA      | $155694.88    | 0.06%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UUM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2667 | PA      | $2697.82      | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62562 | PA      | $58928.02     | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KH5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116224 | PA      | $100382.55    | 0.04%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153314 | PA      | $139171.38    | 0.05%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YHGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29243 | PA      | $27668.10     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VSH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14438 | PA      | $13025.51     | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MAX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52634 | PA      | $49711.69     | 0.02%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5E76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81909 | PA      | $74622.69     | 0.03%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWEP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82132 | PA      | $72886.52     | 0.03%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31292SB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5334 | PA      | $5358.51      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36185BDG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14008 | PA      | $13634.64     | 0.01%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105142 | PA      | $105590.03    | 0.04%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271990 | PA      | $246906.74    | 0.10%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FR74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399214 | PA      | $398385.62    | 0.15%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWJ61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201646 | PA      | $209871.85    | 0.08%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417A6V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7171 | PA      | $7128.37      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128M8A87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22231 | PA      | $23240.11     | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398480 | PA      | $308444.92    | 0.12%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9336 | PA      | $9283.38      | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6834 | PA      | $5970.21      | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TUB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     33473 | PA      | $31971.10     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31329JM87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67588 | PA      | $62812.76     | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179X5F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    367992 | PA      | $359276.88    | 0.14%             | 2053-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65770 | PA      | $55476.08     | 0.02%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VZR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    343306 | PA      | $296883.92    | 0.11%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X7YF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260115 | PA      | $222330.18    | 0.09%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138Y15B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32906 | PA      | $32212.99     | 0.01%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20741 | PA      | $20018.40     | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SEJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21579 | PA      | $20667.76     | 0.01%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WJR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    292330 | PA      | $252516.90    | 0.10%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJUN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38050 | PA      | $36924.86     | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WTZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    293102 | PA      | $264110.87    | 0.10%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W9SB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15222 | PA      | $13640.87     | 0.01%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FUZJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $236508.04    | 0.09%             | 2035-05-25      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK                                               | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $94382.85     | 0.04%             | 2052-10-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J8KS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15488 | PA      | $15737.01     | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QHKB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403461 | PA      | $341194.86    | 0.13%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132XXRY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8498 | PA      | $8016.84      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MEAS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24071 | PA      | $23811.26     | 0.01%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140EXPL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28425 | PA      | $26838.16     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8949 | PA      | $9061.71      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132GUGL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46750 | PA      | $44592.28     | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3132AEKF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6458 | PA      | $6186.93      | 0.00%             | 2034-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QNQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348882 | PA      | $311161.00    | 0.12%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179TCY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     70553 | PA      | $68174.04     | 0.03%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14285 | PA      | $13987.14     | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 312946RM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326438 | PA      | $329270.11    | 0.13%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YENY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58712 | PA      | $55548.96     | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QFUZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294799 | PA      | $240165.68    | 0.09%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331651 | PA      | $332603.48    | 0.13%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J5W62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117228 | PA      | $112254.55    | 0.04%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132J4KM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5074 | PA      | $4884.87      | 0.00%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A9UR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25611 | PA      | $24713.77     | 0.01%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WEJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20234 | PA      | $19143.79     | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31416WRK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20521 | PA      | $20698.01     | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JGLQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29378 | PA      | $28354.94     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E2UA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44345 | PA      | $41956.64     | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8EQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6588 | PA      | $6291.39      | 0.00%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WDKR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20635 | PA      | $20199.54     | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST                                                                   | AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST       | CUSIP: 02582JKH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101852.54    | 0.04%             | 2029-04-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31410LPE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8588 | PA      | $8833.14      | 0.00%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RF79<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4500 | PA      | $3925.29      | 0.00%             | 2045-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36177Q6H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11901 | PA      | $11173.95     | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86986 | PA      | $78196.00     | 0.03%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KKAF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    421256 | PA      | $345614.41    | 0.13%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132HPNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3959 | PA      | $3695.25      | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QU4A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361008 | PA      | $371751.21    | 0.14%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $683101.57    | 0.26%             | 2056-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15580 | PA      | $15809.58     | 0.01%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391054 | PA      | $396647.91    | 0.15%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140GTWR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69576 | PA      | $65534.80     | 0.03%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FG6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $350020.84    | 0.14%             | 2028-05-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31292HX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127922 | PA      | $129744.71    | 0.05%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132AD7M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5722 | PA      | $5700.50      | 0.00%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32093 | PA      | $29167.69     | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YYCV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23055 | PA      | $21812.91     | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KYUK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92255 | PA      | $84152.61     | 0.03%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QL58<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    138871 | PA      | $129852.53    | 0.05%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7HL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7137 | PA      | $6721.87      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216003 | PA      | $187199.68    | 0.07%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E12G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1208 | PA      | $1174.66      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137HA4B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $152135.74    | 0.06%             | 2030-03-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     33593 | PA      | $32644.03     | 0.01%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ER6B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94257 | PA      | $85665.63     | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195554 | PA      | $159311.21    | 0.06%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK 2021 BNK37                                    | CUSIP: 06540LBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $268269.21    | 0.10%             | 2064-11-15      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86034 | PA      | $77339.30     | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DMY41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72831 | PA      | $59962.72     | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H032613<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    525000 | PA      | $477750.00    | 0.18%             | 2056-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31419AG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46281 | PA      | $46629.23     | 0.02%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140W1MA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237574 | PA      | $242935.75    | 0.09%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KKVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326971 | PA      | $268278.48    | 0.10%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138Y6X74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10941 | PA      | $10841.94     | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EAT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203346 | PA      | $192309.14    | 0.07%             | 2037-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J8FX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       160 | PA      | $162.74       | 0.00%             | 2030-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QNB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299312 | PA      | $266196.40    | 0.10%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F062614<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $519628.91    | 0.20%             | 2056-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3132ADPE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16314 | PA      | $16197.48     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J5LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2350 | PA      | $2329.54      | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E06D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85174 | PA      | $82711.83     | 0.03%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DRS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205546 | PA      | $175683.05    | 0.07%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31416YRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39636 | PA      | $39805.15     | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QDLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78880 | PA      | $70918.00     | 0.03%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DVLS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187653 | PA      | $154365.13    | 0.06%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263667 | PA      | $258735.33    | 0.10%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36297GVW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9347 | PA      | $8203.81      | 0.00%             | 2043-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36178DZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     72355 | PA      | $66141.48     | 0.03%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WET25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29682 | PA      | $28082.53     | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364361 | PA      | $296945.13    | 0.11%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5F59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35958 | PA      | $32680.76     | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ESDA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16507 | PA      | $16229.30     | 0.01%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319049 | PA      | $260252.04    | 0.10%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136B27L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227363 | PA      | $224991.43    | 0.09%             | 2028-08-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291005 | PA      | $248204.51    | 0.10%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FBVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58053 | PA      | $52761.47     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A8SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56915 | PA      | $54585.17     | 0.02%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X63C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220019 | PA      | $192185.60    | 0.07%             | 2048-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36186NMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6357 | PA      | $5846.91      | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QVKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421433 | PA      | $421997.76    | 0.16%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RJD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37772 | PA      | $34488.67     | 0.01%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267941 | PA      | $248751.06    | 0.10%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15649 | PA      | $15484.32     | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BJK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5671 | PA      | $5437.79      | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C7E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11904 | PA      | $11442.72     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179SGN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13946 | PA      | $13996.72     | 0.01%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S5L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24452 | PA      | $22710.93     | 0.01%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132AD6Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39546 | PA      | $40131.21     | 0.02%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140LQH94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74240 | PA      | $67257.90     | 0.03%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343349 | PA      | $280205.12    | 0.11%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140K14D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118399 | PA      | $106435.12    | 0.04%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288664 | PA      | $268148.90    | 0.10%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WFRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14618 | PA      | $13830.72     | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QLYS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345265 | PA      | $281857.62    | 0.11%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RLN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54946 | PA      | $50352.62     | 0.02%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NM88<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     27007 | PA      | $23857.84     | 0.01%             | 2043-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128M9FH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4135 | PA      | $4238.11      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J9GM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64208 | PA      | $60446.29     | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27964 | PA      | $26260.66     | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJLT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9999 | PA      | $9287.14      | 0.00%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138MJSM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5055 | PA      | $5037.88      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHBG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40861 | PA      | $37137.19     | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179XX50<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    312845 | PA      | $313989.61    | 0.12%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20104 | PA      | $19792.06     | 0.01%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350491 | PA      | $286864.31    | 0.11%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307GKF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8938 | PA      | $8726.75      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QDXD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214905 | PA      | $184380.08    | 0.07%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WK4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36791 | PA      | $35578.09     | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QRKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35725 | PA      | $37055.40     | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DUKP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189243 | PA      | $189786.21    | 0.07%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJ4Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4860 | PA      | $4958.92      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132GDZ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26427 | PA      | $27639.15     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138A4XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8575 | PA      | $8433.64      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5BD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98713 | PA      | $93195.42     | 0.04%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                                                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST              | CUSIP: 95002BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122000 | PA      | $116531.71    | 0.04%             | 2052-10-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FHH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320722 | PA      | $333175.58    | 0.13%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWMU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283494 | PA      | $294502.46    | 0.11%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MU24<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4267 | PA      | $4223.20      | 0.00%             | 2027-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KY4G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44252 | PA      | $44087.07     | 0.02%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22298 | PA      | $21349.04     | 0.01%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53212 | PA      | $50727.36     | 0.02%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98581 | PA      | $89449.56     | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A5JY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46542 | PA      | $41515.34     | 0.02%             | 2048-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST                                                                                 | MERCEDES BENZ AUTO LEASE TRUST 2025 A              | CUSIP: 58768YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101620.40    | 0.04%             | 2031-02-18      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140L6WT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303012 | PA      | $258489.96    | 0.10%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VFQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8100 | PA      | $7469.31      | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W9GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41447 | PA      | $41076.83     | 0.02%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMYD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18844 | PA      | $18541.27     | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QFRR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314934 | PA      | $244265.85    | 0.09%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31307VM29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54863 | PA      | $53518.45     | 0.02%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJWJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24991 | PA      | $22882.53     | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QWE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34366 | PA      | $32134.09     | 0.01%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FMDF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54428 | PA      | $49467.06     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VN30<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     53773 | PA      | $48577.57     | 0.02%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6341 | PA      | $5931.28      | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3955 | PA      | $3867.94      | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235460 | PA      | $192030.09    | 0.07%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19017 | PA      | $18279.30     | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36296LSU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34052 | PA      | $34612.17     | 0.01%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YEQ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76266 | PA      | $74342.88     | 0.03%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QCMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18463 | PA      | $16738.97     | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DHM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8784 | PA      | $8235.53      | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UGD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7873 | PA      | $7822.92      | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QJV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25587 | PA      | $26094.28     | 0.01%             | 2044-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29718 | PA      | $28566.51     | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140MAXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48712 | PA      | $45130.45     | 0.02%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DMG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15012 | PA      | $14017.62     | 0.01%             | 2040-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BMO MORTGAGE TRUST                                                                                             | BMO MORTGAGE TRUST                                 | CUSIP: 05613XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $158282.47    | 0.06%             | 2058-02-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Vanguard Intermediate Term Treasury ETF                                                                        | VANGUARD INTERMEDIATE TERM TREASURY ETF            | CUSIP: 92206C706<br>LEI: N/A                  | Long             |  | RF                | US        |    540908 | NS      | $32416616.44  | 12.50%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179T7M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7306 | PA      | $7398.87      | 0.00%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158895 | PA      | $140967.02    | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179USU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13132 | PA      | $12618.23     | 0.00%             | 2049-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XGYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229935 | PA      | $187610.92    | 0.07%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Y6YT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395261 | PA      | $411842.14    | 0.16%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WJQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    376909 | PA      | $312175.28    | 0.12%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    345949 | PA      | $355042.09    | 0.14%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31292SA34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25375 | PA      | $22401.38     | 0.01%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24721 | PA      | $22223.97     | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X7XU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6493 | PA      | $6428.93      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QL6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357086 | PA      | $305834.96    | 0.12%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36180ACA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    384249 | PA      | $388527.34    | 0.15%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5PH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    246843 | PA      | $246350.01    | 0.10%             | 2055-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174052 | PA      | $179152.07    | 0.07%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Y6DG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388406 | PA      | $396922.69    | 0.15%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWGW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335839 | PA      | $318716.60    | 0.12%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WAVV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20663 | PA      | $20426.20     | 0.01%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205927 | PA      | $168406.77    | 0.06%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AKFQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319912 | PA      | $261077.59    | 0.10%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X9BX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101942 | PA      | $90164.80     | 0.03%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YRF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    230592 | PA      | $225226.27    | 0.09%             | 2054-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133BKFA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119905 | PA      | $117842.36    | 0.05%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138EQEV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26075 | PA      | $25352.24     | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31151 | PA      | $29845.41     | 0.01%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SQW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52195 | PA      | $48180.38     | 0.02%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132AEEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22800 | PA      | $21375.36     | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X83S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326400 | PA      | $267161.10    | 0.10%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233385 | PA      | $239565.02    | 0.09%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36184BTP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3234 | PA      | $2974.41      | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344717 | PA      | $345175.27    | 0.13%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272160 | PA      | $254537.75    | 0.10%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326008 | PA      | $331371.40    | 0.13%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132D55N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15125 | PA      | $14448.24     | 0.01%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AXMB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147873 | PA      | $120684.38    | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WGY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4810 | PA      | $4654.84      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36176XU23<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4757 | PA      | $4641.48      | 0.00%             | 2042-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KJVV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327539 | PA      | $269032.20    | 0.10%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132GKF43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25856 | PA      | $24505.59     | 0.01%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10562 | PA      | $10717.10     | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YEXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23738 | PA      | $23139.23     | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FPFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34819 | PA      | $32795.95     | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X5FA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37048 | PA      | $35758.15     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417F3F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89215 | PA      | $82364.76     | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WCZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5335 | PA      | $5115.45      | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QGUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68275 | PA      | $55744.81     | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C5Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26944 | PA      | $26006.05     | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138E0RK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120436 | PA      | $117706.60    | 0.05%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132XVQ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32795 | PA      | $30817.22     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 3618N5XQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     74641 | PA      | $75471.26     | 0.03%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                       | BENCHMARK MORTGAGE TRUST                           | CUSIP: 08162CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $198878.66    | 0.08%             | 2051-10-10      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NQ50<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38557 | PA      | $37211.17     | 0.01%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138LUFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71341 | PA      | $69026.70     | 0.03%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ETXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3119 | PA      | $2946.24      | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SNU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    131838 | PA      | $120679.60    | 0.05%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179UQ54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     32277 | PA      | $31013.82     | 0.01%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLE TRUST                                                                               | WORLD OMNI AUTO RECEIVABLES TRUST 2025 A           | CUSIP: 98164YAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101970.66    | 0.04%             | 2030-11-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302233 | PA      | $261937.68    | 0.10%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69430 | PA      | $66497.02     | 0.03%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132M5VZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11125 | PA      | $11022.40     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298705 | PA      | $244226.26    | 0.09%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179SNV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     58679 | PA      | $54406.14     | 0.02%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                                                    | BBCMS MORTGAGE TRUST 2023 C21                      | CUSIP: 05553WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $53644.21     | 0.02%             | 2056-09-15      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93946 | PA      | $85385.26     | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H74P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $142431.49    | 0.05%             | 2029-03-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HF2W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195696 | PA      | $167252.66    | 0.06%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MVR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    358466 | PA      | $333942.38    | 0.13%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XGP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91117 | PA      | $78272.31     | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JXRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77518 | PA      | $69686.10     | 0.03%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8D57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10013 | PA      | $9562.39      | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138A7UN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24819 | PA      | $25403.43     | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DUNQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409439 | PA      | $420280.29    | 0.16%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179T4P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9504 | PA      | $9105.64      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179U4B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    270645 | PA      | $244774.72    | 0.09%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    332682 | PA      | $326463.58    | 0.13%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179N2K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     30261 | PA      | $29519.99     | 0.01%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13410 | PA      | $12848.19     | 0.00%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TPU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2583 | PA      | $2549.59      | 0.00%             | 2033-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RNV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41845 | PA      | $38346.46     | 0.01%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QL66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19497 | PA      | $19019.66     | 0.01%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D55X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24078 | PA      | $23000.24     | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJ3A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29829 | PA      | $29080.21     | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YHV23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6539 | PA      | $6358.70      | 0.00%             | 2030-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38842 | PA      | $38421.08     | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MQN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     56705 | PA      | $52826.13     | 0.02%             | 2042-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D55F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74411 | PA      | $72288.83     | 0.03%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KMPR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331540 | PA      | $283758.67    | 0.11%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WVU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    361901 | PA      | $312614.76    | 0.12%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132AD3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34316 | PA      | $34071.73     | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D3M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245693 | PA      | $228232.99    | 0.09%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MD5E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21816 | PA      | $21602.77     | 0.01%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140F9V69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79288 | PA      | $74898.94     | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RF95<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     56950 | PA      | $53450.74     | 0.02%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5DC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79837 | PA      | $75535.52     | 0.03%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 3618N5KX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    326514 | PA      | $332819.99    | 0.13%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5C49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    579001 | PA      | $564888.29    | 0.22%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FANNIE MAE                                         | CUSIP: 3136AX3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82495 | PA      | $79958.18     | 0.03%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39405 | PA      | $38687.21     | 0.01%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WVPE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97041 | PA      | $89589.72     | 0.03%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJV80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7214 | PA      | $6296.05      | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HPX36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29348 | PA      | $28325.06     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61153 | PA      | $55579.38     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TJX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     36101 | PA      | $33530.75     | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S2P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     58104 | PA      | $53966.44     | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138XZBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3936 | PA      | $3852.92      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138EHGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149001 | PA      | $149635.79    | 0.06%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WEJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44690 | PA      | $42282.26     | 0.02%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202FV86<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    122039 | PA      | $119915.78    | 0.05%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138MACM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282884 | PA      | $261220.44    | 0.10%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWJT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160728 | PA      | $167211.33    | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QRY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     61572 | PA      | $57573.69     | 0.02%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWAP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263124 | PA      | $224885.47    | 0.09%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17976 | PA      | $17524.53     | 0.01%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P74X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17419 | PA      | $17399.55     | 0.01%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WNXD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13022 | PA      | $12021.73     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YHX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32958 | PA      | $31261.92     | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94278 | PA      | $84596.65     | 0.03%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    381432 | PA      | $325358.81    | 0.13%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55178 | PA      | $53791.69     | 0.02%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138E1M20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50630 | PA      | $48849.46     | 0.02%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5GQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    379834 | PA      | $387169.35    | 0.15%             | 2055-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WEJT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36051 | PA      | $34108.91     | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QHFZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227886 | PA      | $212953.98    | 0.08%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383232 | PA      | $326178.05    | 0.13%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40232 | PA      | $37895.71     | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202FB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    122149 | PA      | $126258.32    | 0.05%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WLN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    205706 | PA      | $170375.68    | 0.07%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5134 | PA      | $5101.32      | 0.00%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31427PDF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356787 | PA      | $366286.35    | 0.14%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QGZQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308187 | PA      | $252926.52    | 0.10%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393915 | PA      | $320236.92    | 0.12%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132J4CN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20822 | PA      | $20403.17     | 0.01%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NMP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1441 | PA      | $1430.44      | 0.00%             | 2028-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FPJF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16254 | PA      | $14737.99     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5FC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23449 | PA      | $22150.75     | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36184FQT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2163 | PA      | $2024.48      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39922 | PA      | $38575.34     | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YYY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    216883 | PA      | $224903.51    | 0.09%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMSG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21435 | PA      | $21215.16     | 0.01%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138XUVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7036 | PA      | $6746.97      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23334 | PA      | $22026.17     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7BW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5624 | PA      | $5395.68      | 0.00%             | 2032-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36180AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    104719 | PA      | $108270.63    | 0.04%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q9C84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31694 | PA      | $30428.52     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KGU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13491 | PA      | $12649.79     | 0.00%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12773 | PA      | $12278.31     | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36177Y5P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     33290 | PA      | $30888.12     | 0.01%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138LTJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55303 | PA      | $54262.55     | 0.02%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418E7F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73853 | PA      | $75801.43     | 0.03%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BMO MORTGAGE TRUST                                                                                             | BMO 2025 C11 MORTGAGE TRUST                        | CUSIP: 05613XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $105611.93    | 0.04%             | 2058-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KQVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416018 | PA      | $340539.75    | 0.13%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179YHR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    175895 | PA      | $175978.50    | 0.07%             | 2053-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KNGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366326 | PA      | $310541.98    | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138LQZS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161589 | PA      | $149218.01    | 0.06%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31542 | PA      | $30147.78     | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WH5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9412 | PA      | $8553.98      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E45H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1244 | PA      | $1228.96      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3131XVKA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62592 | PA      | $56887.32     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MQP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     98425 | PA      | $92960.43     | 0.04%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWB51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338532 | PA      | $276002.04    | 0.11%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMT94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8504 | PA      | $8269.73      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EPC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247036 | PA      | $247975.27    | 0.10%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QT43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     29735 | PA      | $27803.36     | 0.01%             | 2044-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132HNH51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29957 | PA      | $28572.99     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327318 | PA      | $279232.78    | 0.11%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133A3XX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63692 | PA      | $59600.87     | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140MA2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103898 | PA      | $92377.36     | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A5EY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54838 | PA      | $51862.35     | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XBGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396364 | PA      | $320575.35    | 0.12%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179YAR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    332158 | PA      | $332826.39    | 0.13%             | 2053-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8723 | PA      | $8631.95      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X6UW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47222 | PA      | $45108.33     | 0.02%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TEY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     76610 | PA      | $69884.49     | 0.03%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4WN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46574 | PA      | $42316.27     | 0.02%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284616 | PA      | $288683.05    | 0.11%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XAJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317882 | PA      | $252181.84    | 0.10%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CGF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9475 | PA      | $9047.67      | 0.00%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307EF25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10632 | PA      | $10469.86     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179SUV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     81579 | PA      | $75179.55     | 0.03%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KPYZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80184 | PA      | $78851.09     | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83878 | PA      | $78447.53     | 0.03%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NHJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3500 | PA      | $3456.20      | 0.00%             | 2028-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FDET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52549 | PA      | $47759.26     | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK                                               | CUSIP: 06540JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $137642.99    | 0.05%             | 2063-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F050411<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550000 | PA      | $556896.48    | 0.21%             | 2041-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292494 | PA      | $246723.57    | 0.10%             | 2041-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UXS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54074 | PA      | $48905.37     | 0.02%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218633 | PA      | $187117.38    | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54465 | PA      | $52672.55     | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4W44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46928 | PA      | $44162.82     | 0.02%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3131YBST6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9736 | PA      | $9369.31      | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36230MTK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18003 | PA      | $17247.52     | 0.01%             | 2043-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275425 | PA      | $283122.83    | 0.11%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4W93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29622 | PA      | $28582.29     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8AU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19152 | PA      | $18472.10     | 0.01%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132ACYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29592 | PA      | $26747.24     | 0.01%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138XJDM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2243 | PA      | $2225.98      | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132J97M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9950 | PA      | $9229.93      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61514 | PA      | $58080.59     | 0.02%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23101 | PA      | $21783.74     | 0.01%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31307SHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23866 | PA      | $23182.32     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10637 | PA      | $10239.47     | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200926 | PA      | $206882.09    | 0.08%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36181TPZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10104 | PA      | $9375.20      | 0.00%             | 2043-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                       | BENCHMARK 2021 B25 MORTGAGE TRUST                  | CUSIP: 08163DAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $142479.99    | 0.05%             | 2054-04-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST                                                                        | CAPITAL ONE MULTI ASSET EXECUTION TRUST            | CUSIP: 14041NFX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $131825.68    | 0.05%             | 2030-07-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41691 | PA      | $39151.70     | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FCTC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57695 | PA      | $54343.38     | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202EVP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18905 | PA      | $19671.09     | 0.01%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23371 | PA      | $23092.81     | 0.01%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31410KXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42144 | PA      | $44518.52     | 0.02%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CYL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43575 | PA      | $40921.16     | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8EL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3246 | PA      | $3099.66      | 0.00%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140M2TH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356765 | PA      | $304403.60    | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179W2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    342986 | PA      | $284065.55    | 0.11%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 312945DN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11405 | PA      | $10955.64     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJ2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8619 | PA      | $8565.44      | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X8V46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68047 | PA      | $66099.06     | 0.03%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24296 | PA      | $21489.67     | 0.01%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418B5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4113 | PA      | $3947.69      | 0.00%             | 2036-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWJE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342828 | PA      | $343892.07    | 0.13%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133ALQC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340370 | PA      | $290320.01    | 0.11%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31407PTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19050 | PA      | $19633.37     | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FVTD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13917 | PA      | $12618.63     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138LVEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39410 | PA      | $37751.35     | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FRUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47548 | PA      | $45466.75     | 0.02%             | 2029-05-25      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UQ62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2780 | PA      | $2761.98      | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CMH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6319 | PA      | $6179.48      | 0.00%             | 2037-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138AX2P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       547 | PA      | $545.08       | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QUB54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116850 | PA      | $121531.67    | 0.05%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36176XJ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     30168 | PA      | $28356.64     | 0.01%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FKUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242914 | PA      | $242282.91    | 0.09%             | 2028-12-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E9SV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1137 | PA      | $1080.18      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YVZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5214 | PA      | $5121.85      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CLG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44601 | PA      | $42009.85     | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    468969 | PA      | $434998.90    | 0.17%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DBG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17534 | PA      | $16854.71     | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UH54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     29258 | PA      | $29071.99     | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132CWKN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94020 | PA      | $89423.83     | 0.03%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417YRB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16330 | PA      | $16369.59     | 0.01%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WCPT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59964 | PA      | $57224.27     | 0.02%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WCUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33419 | PA      | $32714.48     | 0.01%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X7YP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26761 | PA      | $23921.61     | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WGL77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30692 | PA      | $28978.53     | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RTA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17916 | PA      | $17344.74     | 0.01%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                                                                         | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025 4      | CUSIP: 802923AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $200798.28    | 0.08%             | 2030-04-15      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133ALHG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316394 | PA      | $269865.72    | 0.10%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TQN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     59371 | PA      | $54159.33     | 0.02%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128P8AJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2743 | PA      | $2645.84      | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31035 | PA      | $30003.40     | 0.01%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YDA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14308 | PA      | $13928.86     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    118143 | PA      | $108145.03    | 0.04%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P73Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25175 | PA      | $24491.85     | 0.01%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CVZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20527 | PA      | $18554.95     | 0.01%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJZ86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62412 | PA      | $58646.56     | 0.02%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QGBA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172887 | PA      | $148336.03    | 0.06%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X6XZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156364 | PA      | $140294.42    | 0.05%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X6FX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192355 | PA      | $166169.55    | 0.06%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5C64<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    454147 | PA      | $459203.52    | 0.18%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98094 | PA      | $95629.95     | 0.04%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RS91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     64139 | PA      | $59285.85     | 0.02%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75858 | PA      | $68945.62     | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36176WJA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     46389 | PA      | $43565.12     | 0.02%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138AJK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41109 | PA      | $41283.78     | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SYT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11799 | PA      | $11400.64     | 0.00%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AKB74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331184 | PA      | $256375.38    | 0.10%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QFRS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220115 | PA      | $170667.03    | 0.07%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140K3BL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63076 | PA      | $56462.09     | 0.02%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19942 | PA      | $18190.90     | 0.01%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XDS98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17838 | PA      | $15287.25     | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DGK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22551 | PA      | $19362.77     | 0.01%             | 2049-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HNY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3210 | PA      | $3176.33      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5D28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78084 | PA      | $71497.44     | 0.03%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYWS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208684 | PA      | $187498.93    | 0.07%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJUW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10537 | PA      | $10585.79     | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DSLC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283198 | PA      | $284625.75    | 0.11%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179XBU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    299871 | PA      | $294378.35    | 0.11%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132WPRL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52589 | PA      | $49416.81     | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39683 | PA      | $39164.83     | 0.02%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179R7J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     55307 | PA      | $51036.24     | 0.02%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179SGL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     45788 | PA      | $42223.84     | 0.02%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S4H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6264 | PA      | $6066.79      | 0.00%             | 2032-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MQS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3906 | PA      | $3985.01      | 0.00%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XPM55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415836 | PA      | $397626.95    | 0.15%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97720 | PA      | $91768.23     | 0.04%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133B3L54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    381751 | PA      | $310810.99    | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202036 | PA      | $172678.03    | 0.07%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391239 | PA      | $319297.43    | 0.12%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32660 | PA      | $32292.21     | 0.01%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307BZD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15406 | PA      | $15183.11     | 0.01%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140L24V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196436 | PA      | $160322.63    | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DS2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395434 | PA      | $351159.75    | 0.14%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422338 | PA      | $348049.23    | 0.13%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136B8M97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182420 | PA      | $165521.46    | 0.06%             | 2030-02-25      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QKRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160120 | PA      | $131816.45    | 0.05%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369267 | PA      | $374536.81    | 0.14%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JABQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4397 | PA      | $4128.96      | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36180AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    367479 | PA      | $371345.79    | 0.14%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST                                                                                  | UBS COMMERCIAL MORTGAGE TRUST 2018 C9              | CUSIP: 90291JAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98967.29     | 0.04%             | 2051-03-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400135 | PA      | $325462.87    | 0.13%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179SZU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3183 | PA      | $3082.83      | 0.00%             | 2032-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A9M87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14901 | PA      | $14712.16     | 0.01%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47036 | PA      | $44097.40     | 0.02%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17603 | PA      | $13606.67     | 0.01%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BMO MORTGAGE TRUST                                                                                             | BMO 2024 5C4 MORTGAGE TRUST                        | CUSIP: 09660SAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    286000 | PA      | $303109.86    | 0.12%             | 2057-05-15      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MNG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    101534 | PA      | $94590.01     | 0.04%             | 2042-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F060410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $155666.02    | 0.06%             | 2041-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5885 | PA      | $5603.49      | 0.00%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133A9UL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245008 | PA      | $209398.86    | 0.08%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 3618N5ET2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    436096 | PA      | $425112.96    | 0.16%             | 2055-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMYA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15597 | PA      | $15214.49     | 0.01%             | 2033-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17143 | PA      | $16840.44     | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5KV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    367004 | PA      | $366440.57    | 0.14%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302331 | PA      | $311292.23    | 0.12%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334561 | PA      | $309962.04    | 0.12%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128PW3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       373 | PA      | $368.54       | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4HL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55041 | PA      | $50024.85     | 0.02%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QANA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2330 | PA      | $2242.15      | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15987 | PA      | $15429.98     | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NMN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7624 | PA      | $7487.48      | 0.00%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WVV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    287717 | PA      | $259256.02    | 0.10%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138E7U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18562 | PA      | $18447.66     | 0.01%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HEAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19792 | PA      | $19102.34     | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31335AR91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13981 | PA      | $14014.68     | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5EN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26957 | PA      | $24682.90     | 0.01%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5GE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112945 | PA      | $102649.90    | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90371 | PA      | $86415.73     | 0.03%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EBK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261770 | PA      | $235208.22    | 0.09%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W95X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7313 | PA      | $7308.09      | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK                                               | CUSIP: 06540WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $94712.08     | 0.04%             | 2061-08-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F040412<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225000 | PA      | $221915.04    | 0.09%             | 2041-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WEP86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28629 | PA      | $27954.09     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138Y1E92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1441 | PA      | $1429.32      | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19929 | PA      | $18593.82     | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QBF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31606 | PA      | $29548.88     | 0.01%             | 2044-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36088 | PA      | $35828.65     | 0.01%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61219 | PA      | $47319.45     | 0.02%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27907 | PA      | $25456.56     | 0.01%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373687 | PA      | $366554.87    | 0.14%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329114 | PA      | $304611.57    | 0.12%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJUZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15972 | PA      | $15103.15     | 0.01%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SLR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     89112 | PA      | $81569.01     | 0.03%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31335BHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48969 | PA      | $46008.98     | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJCJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4000 | PA      | $3714.99      | 0.00%             | 2036-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180214 | PA      | $179591.42    | 0.07%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284192 | PA      | $292178.05    | 0.11%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30066 | PA      | $29202.71     | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VTW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    173660 | PA      | $150095.44    | 0.06%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    259665 | PA      | $224493.89    | 0.09%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105547 | PA      | $108321.76    | 0.04%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179Y5M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     98901 | PA      | $101049.71    | 0.04%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST, SYNCHRONY                                                                       | SYNCHRONY CARD ISSUANCE TRUST                      | CUSIP: 87166PAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $152089.29    | 0.06%             | 2030-03-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21767 | PA      | $19782.75     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMVD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71069 | PA      | $69033.20     | 0.03%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WF CARD ISSUANCE TRUST                                                                                         | WELLS FARGO CARD ISSUANCE TRUST                    | CUSIP: 92970QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175000 | PA      | $177322.73    | 0.07%             | 2029-02-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140H4KJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12187 | PA      | $11915.36     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    173040 | PA      | $163433.77    | 0.06%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X0Y93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75227 | PA      | $71021.24     | 0.03%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36176U5P6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10776 | PA      | $9558.96      | 0.00%             | 2042-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203748 | PA      | $174146.41    | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132JP6G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15474 | PA      | $15454.16     | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WCPB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8599 | PA      | $8473.40      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179XDD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    315813 | PA      | $300962.35    | 0.12%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TJZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10828 | PA      | $10715.85     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132AEG42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9412 | PA      | $9170.89      | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140L2RQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432384 | PA      | $353881.63    | 0.14%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F012411<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $362062.50    | 0.14%             | 2041-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132M8C79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32550 | PA      | $31494.45     | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJV23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50423 | PA      | $47789.10     | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CM84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74264 | PA      | $67339.53     | 0.03%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WFG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    300030 | PA      | $259161.64    | 0.10%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MCZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     67970 | PA      | $64196.14     | 0.02%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WLP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    278477 | PA      | $240550.95    | 0.09%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ERZG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        59 | PA      | $58.92        | 0.00%             | 2029-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31329NVV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33074 | PA      | $31135.09     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179R7K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     36464 | PA      | $35435.03     | 0.01%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KQVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279008 | PA      | $238478.60    | 0.09%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140H1V98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9318 | PA      | $8994.23      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388503 | PA      | $317708.61    | 0.12%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133B76S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300948 | PA      | $266977.97    | 0.10%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140K9EE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142925 | PA      | $128242.20    | 0.05%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CV92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14076 | PA      | $13762.56     | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UMN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6639 | PA      | $6715.11      | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309879 | PA      | $280745.21    | 0.11%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8580 | PA      | $7898.96      | 0.00%             | 2039-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NXB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2834 | PA      | $2812.73      | 0.00%             | 2029-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QBE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25337 | PA      | $24619.64     | 0.01%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YAT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    237101 | PA      | $241840.07    | 0.09%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WRJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5608 | PA      | $5482.81      | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TSG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     89712 | PA      | $83363.72     | 0.03%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8G47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5424 | PA      | $5362.42      | 0.00%             | 2038-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132WHEG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78810 | PA      | $72209.45     | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KH4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    234049 | PA      | $200711.96    | 0.08%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QYT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     36069 | PA      | $35185.73     | 0.01%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FSF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13162 | PA      | $13162.53     | 0.01%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KMVT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229500 | PA      | $187363.38    | 0.07%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118229 | PA      | $101512.15    | 0.04%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV7L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    234215 | PA      | $200178.96    | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179TZ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34606 | PA      | $32158.65     | 0.01%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DPQE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20671 | PA      | $19164.42     | 0.01%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3131XVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47769 | PA      | $43414.49     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179XBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    305412 | PA      | $263842.84    | 0.10%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SQU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14405 | PA      | $12701.37     | 0.00%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                                                    | BBCMS MORTGAGE TRUST 2024 5C29                     | CUSIP: 05555PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $51186.83     | 0.02%             | 2057-09-15      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133ARSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339440 | PA      | $277029.79    | 0.11%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5EC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46475 | PA      | $45187.62     | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307703 | PA      | $319651.11    | 0.12%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338873 | PA      | $347779.50    | 0.13%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QFV30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328041 | PA      | $271306.64    | 0.10%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W9A26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47254 | PA      | $44611.30     | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CNH EQUIPMENT TRUST                                                                                            | CNH EQUIPMENT TRUST                                | CUSIP: 18978GAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $50164.16     | 0.02%             | 2030-01-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATIONS             | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150373 | PA      | $148588.82    | 0.06%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179ME22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     63350 | PA      | $59016.99     | 0.02%             | 2042-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133ARVS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366676 | PA      | $299257.71    | 0.12%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SYR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     47347 | PA      | $43106.56     | 0.02%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138Y3XQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34250 | PA      | $32487.69     | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417UEA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25545 | PA      | $25029.68     | 0.01%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J5NB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12761 | PA      | $12841.25     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SWY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28099 | PA      | $26913.20     | 0.01%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DV4P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15616 | PA      | $14037.51     | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4640 | PA      | $4516.82      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138E0WT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103439 | PA      | $101094.68    | 0.04%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3142GTE44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    381553 | PA      | $384762.34    | 0.15%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QFA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261810 | PA      | $214815.81    | 0.08%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132QMHL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9691 | PA      | $9164.21      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137245 | PA      | $119372.30    | 0.05%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139939 | PA      | $123770.89    | 0.05%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QPH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51402 | PA      | $50142.84     | 0.02%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XG6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11707 | PA      | $11501.50     | 0.00%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140K0E79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193348 | PA      | $166010.39    | 0.06%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138EMUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22527 | PA      | $22593.81     | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $1166216.79   | 0.45%             | 2056-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313859 | PA      | $256269.14    | 0.10%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QDJN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107382 | PA      | $96276.96     | 0.04%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WBQ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22985 | PA      | $23053.79     | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4EA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34339 | PA      | $32242.92     | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV4E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287872 | PA      | $247173.33    | 0.10%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36200MJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23894 | PA      | $24344.31     | 0.01%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36178GHS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4331 | PA      | $4287.05      | 0.00%             | 2028-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J6GJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53286 | PA      | $50295.75     | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    334783 | PA      | $343583.00    | 0.13%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RQ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     81096 | PA      | $76113.26     | 0.03%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                       | BENCHMARK 2024 V8 MORTGAGE TRUST                   | CUSIP: 08190AAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $158406.27    | 0.06%             | 2057-07-15      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12990 | PA      | $12719.56     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    329765 | PA      | $284844.53    | 0.11%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179Q6P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52796 | PA      | $49551.53     | 0.02%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132Y33P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16989 | PA      | $16839.15     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJ4W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15459 | PA      | $14918.14     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J9RM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16728 | PA      | $16146.24     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 312946KG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32741 | PA      | $33024.86     | 0.01%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XHHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33717 | PA      | $30547.14     | 0.01%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WMXL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100276 | PA      | $92575.59     | 0.04%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31419BCT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12383 | PA      | $11868.13     | 0.00%             | 2041-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36195GXP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11408 | PA      | $11014.35     | 0.00%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EW48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278344 | PA      | $285659.91    | 0.11%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132Y2LC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22951 | PA      | $21524.01     | 0.01%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XDYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31341 | PA      | $29138.93     | 0.01%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QKKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253799 | PA      | $230347.88    | 0.09%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QWC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417768 | PA      | $434007.16    | 0.17%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QLHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178226 | PA      | $151580.38    | 0.06%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F012619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    625000 | PA      | $482299.81    | 0.19%             | 2056-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36180DVH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10918 | PA      | $10269.14     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SSS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6815 | PA      | $6691.17      | 0.00%             | 2046-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132GRZN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28675 | PA      | $27351.01     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RZU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12130 | PA      | $11787.08     | 0.00%             | 2046-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34399 | PA      | $32494.50     | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132AEKT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25644 | PA      | $24647.97     | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ETZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15871 | PA      | $15520.68     | 0.01%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KNKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302462 | PA      | $247576.79    | 0.10%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36180HHC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17650 | PA      | $16681.19     | 0.01%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TE27<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44529 | PA      | $43027.56     | 0.02%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST                                                                                 | HYUNDAI AUTO RECEIVABLES TRUST 2025 C              | CUSIP: 44935JAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $200477.28    | 0.08%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YFK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    335873 | PA      | $337104.41    | 0.13%             | 2053-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWJG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    280480 | PA      | $288362.34    | 0.11%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SEH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39915 | PA      | $36857.33     | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64240 | PA      | $58383.98     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128M5H45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19171 | PA      | $19935.49     | 0.01%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132D6HZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82501 | PA      | $82848.99     | 0.03%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KMVS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211128 | PA      | $173240.66    | 0.07%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179V4V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    340950 | PA      | $294616.05    | 0.11%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QDDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44950 | PA      | $40183.47     | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QG4T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377058 | PA      | $310418.95    | 0.12%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XAH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303256 | PA      | $249707.05    | 0.10%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DKT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92232 | PA      | $82559.40     | 0.03%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RBW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28947 | PA      | $26503.99     | 0.01%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H8BK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $186083.98    | 0.07%             | 2032-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336455 | PA      | $260429.20    | 0.10%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5F42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49846 | PA      | $43541.05     | 0.02%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620AGN43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8438 | PA      | $8295.78      | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6780 | PA      | $6703.87      | 0.00%             | 2038-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133WJDP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98050 | PA      | $90839.67     | 0.04%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJ5G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17254 | PA      | $16232.18     | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140H5EQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7937 | PA      | $7685.83      | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    418383 | PA      | $417776.13    | 0.16%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140H5L25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21678 | PA      | $20918.76     | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80691 | PA      | $83215.96     | 0.03%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QCY34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388402 | PA      | $345227.89    | 0.13%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DC67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14406 | PA      | $13506.23     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5HG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45719 | PA      | $44212.42     | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XFMD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230318 | PA      | $186346.45    | 0.07%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    368188 | PA      | $299654.06    | 0.12%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EWA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242312 | PA      | $252196.44    | 0.10%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179V4U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    265018 | PA      | $219498.81    | 0.08%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YMK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    317915 | PA      | $322770.66    | 0.12%             | 2053-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418B7E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6533 | PA      | $6423.68      | 0.00%             | 2036-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KQWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157699 | PA      | $129085.45    | 0.05%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q83V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41860 | PA      | $41425.58     | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53178 | PA      | $47714.29     | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UH62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2724 | PA      | $2763.21      | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71043 | PA      | $69433.44     | 0.03%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK                                               | CUSIP: 065403BC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98334.57     | 0.04%             | 2052-04-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8D40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4001 | PA      | $3952.24      | 0.00%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106721 | PA      | $92820.25     | 0.04%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    406411 | PA      | $345461.08    | 0.13%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5PJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    368786 | PA      | $372668.63    | 0.14%             | 2055-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SSN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    146406 | PA      | $129097.97    | 0.05%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141086 | PA      | $119000.38    | 0.05%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389257 | PA      | $336089.76    | 0.13%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KHW69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118149 | PA      | $111129.56    | 0.04%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202FPF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8718 | PA      | $8463.02      | 0.00%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14912 | PA      | $14530.23     | 0.01%             | 2034-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WG36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    285410 | PA      | $246536.01    | 0.10%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179U6U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     56987 | PA      | $51445.24     | 0.02%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40724 | PA      | $39381.74     | 0.02%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W9T91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17332 | PA      | $17808.92     | 0.01%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QUZU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364872 | PA      | $376658.41    | 0.15%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E44L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2357 | PA      | $2315.04      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QKXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339755 | PA      | $278853.52    | 0.11%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27282 | PA      | $27047.53     | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17339 | PA      | $17050.99     | 0.01%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395668 | PA      | $321720.29    | 0.12%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    295593 | PA      | $300077.71    | 0.12%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWJR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323215 | PA      | $328609.88    | 0.13%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XMLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406212 | PA      | $380805.60    | 0.15%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140K5FK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31969 | PA      | $28986.22     | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WBK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5911 | PA      | $5722.98      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H060614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    575000 | PA      | $585781.25    | 0.23%             | 2056-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X7AV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9751 | PA      | $9676.11      | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333462 | PA      | $318118.24    | 0.12%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133ASJA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343683 | PA      | $293166.89    | 0.11%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309567 | PA      | $251799.23    | 0.10%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320886 | PA      | $264607.41    | 0.10%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47242 | PA      | $44290.32     | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWBU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251998 | PA      | $214955.88    | 0.08%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138MAGB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136345 | PA      | $125902.13    | 0.05%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45411 | PA      | $43916.49     | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HBFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42853 | PA      | $41360.95     | 0.02%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46473 | PA      | $43874.60     | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36241LUH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     33714 | PA      | $35614.85     | 0.01%             | 2040-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WC2A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21032 | PA      | $20587.91     | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31412MTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4724 | PA      | $4848.53      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X5DR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56435 | PA      | $53303.20     | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MMYM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10989 | PA      | $10745.04     | 0.00%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138EJ7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       425 | PA      | $424.02       | 0.00%             | 2027-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RVA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44725 | PA      | $40950.07     | 0.02%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179Q3K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24098 | PA      | $23507.85     | 0.01%             | 2045-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42057 | PA      | $39520.28     | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31292SCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30662 | PA      | $30123.63     | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WBX42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28238 | PA      | $27642.15     | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KYTK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42703 | PA      | $38952.35     | 0.02%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314641 | PA      | $285745.92    | 0.11%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WY85<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    393214 | PA      | $325664.56    | 0.13%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5EZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11162 | PA      | $10781.54     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3265 | PA      | $3213.08      | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWNM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350927 | PA      | $360150.72    | 0.14%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MX47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51156 | PA      | $48315.56     | 0.02%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6670 | PA      | $6429.45      | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ER5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5449 | PA      | $4952.07      | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62347 | PA      | $61179.45     | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYUU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104322 | PA      | $92268.72     | 0.04%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335812 | PA      | $329295.88    | 0.13%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                                                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST              | CUSIP: 95002DBG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100570.68    | 0.04%             | 2061-09-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MX62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26139 | PA      | $26183.88     | 0.01%             | 2043-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140W3RW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375415 | PA      | $391014.53    | 0.15%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WKRG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34472 | PA      | $33335.48     | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 3618N5ZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    666769 | PA      | $607306.44    | 0.23%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133GGSJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163772 | PA      | $148379.89    | 0.06%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                       | BENCHMARK MORTGAGE TRUST                           | CUSIP: 08162LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $83394.97     | 0.03%             | 2043-09-15      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550000 | PA      | $509287.11    | 0.20%             | 2041-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2475000 | PA      | $2000592.77   | 0.77%             | 2056-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DU4R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510506 | PA      | $520588.65    | 0.20%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18003 | PA      | $17868.88     | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7HP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25518 | PA      | $24676.82     | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3132A5DX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72033 | PA      | $68152.63     | 0.03%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128M7VA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10067 | PA      | $10642.18     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306850 | PA      | $312089.40    | 0.12%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5TQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    296380 | PA      | $307086.08    | 0.12%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H4BP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $179087.14    | 0.07%             | 2031-09-25      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P7XJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43687 | PA      | $42581.43     | 0.02%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36180AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    300815 | PA      | $307532.87    | 0.12%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17573 | PA      | $17461.94     | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJRD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17010 | PA      | $16555.01     | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KH3B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45533 | PA      | $40945.39     | 0.02%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3162 | PA      | $2937.47      | 0.00%             | 2036-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TG25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13370 | PA      | $11753.16     | 0.00%             | 2047-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                                                                     | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A         | CUSIP: 34528QGN8<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $150596.83    | 0.06%             | 2030-11-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3132A5D85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60155 | PA      | $58488.75     | 0.02%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YJLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52538 | PA      | $48106.42     | 0.02%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197247 | PA      | $168023.37    | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179UMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2470 | PA      | $2441.45      | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140H5Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9408 | PA      | $8772.88      | 0.00%             | 2032-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138XXFZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15232 | PA      | $15008.31     | 0.01%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EE48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201533 | PA      | $186856.15    | 0.07%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J6GL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41950 | PA      | $40814.42     | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128P8D65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3790 | PA      | $3715.88      | 0.00%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                                                   | GS MORTGAGE SECURITIES TRUST                       | CUSIP: 36257UAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $188660.44    | 0.07%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5E84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20689 | PA      | $19543.37     | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179XND4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    131089 | PA      | $124131.59    | 0.05%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WBX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    274258 | PA      | $227229.09    | 0.09%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FNLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36903 | PA      | $35828.65     | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHMG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69364 | PA      | $66545.08     | 0.03%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3622A2MZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     48394 | PA      | $45569.34     | 0.02%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MDE25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       135 | PA      | $134.32       | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HEAK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28912 | PA      | $27906.16     | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XDP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371808 | PA      | $304269.84    | 0.12%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    328468 | PA      | $272145.96    | 0.10%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    392946 | PA      | $374699.55    | 0.14%             | 2053-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AD39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       936 | PA      | $933.01       | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132J4HX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15370 | PA      | $14560.74     | 0.01%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117095 | PA      | $100085.78    | 0.04%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179XDC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    210334 | PA      | $193720.73    | 0.07%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35490 | PA      | $34946.99     | 0.01%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QYR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     64295 | PA      | $59287.85     | 0.02%             | 2045-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BZA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3720 | PA      | $3706.41      | 0.00%             | 2036-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VBG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11484 | PA      | $10590.18     | 0.00%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MMUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12734 | PA      | $12540.71     | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KTUB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253759 | PA      | $235723.01    | 0.09%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16660 | PA      | $16541.99     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128M4NK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80934 | PA      | $85632.55     | 0.03%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H050615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    725000 | PA      | $723045.90    | 0.28%             | 2056-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11047 | PA      | $10725.36     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MMV59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33333 | PA      | $32385.19     | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31416H5W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8017 | PA      | $8093.65      | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5GM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36122 | PA      | $34023.31     | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P76A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17843 | PA      | $17560.24     | 0.01%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7602 | PA      | $7386.29      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4QY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97797 | PA      | $89544.72     | 0.03%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202F2H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       458 | PA      | $455.39       | 0.00%             | 2027-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6318 | PA      | $6186.69      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45445 | PA      | $44933.07     | 0.02%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                       | BENCHMARK 2024 V11 MORTGAGE TRUST                  | CUSIP: 081921BC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $104693.58    | 0.04%             | 2057-11-15      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWLL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    377274 | PA      | $383011.24    | 0.15%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YT3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18598 | PA      | $17596.82     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 3618N5EW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    352695 | PA      | $359506.62    | 0.14%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J5QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12116 | PA      | $11646.07     | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7482 | PA      | $7508.21      | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WAZC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21137 | PA      | $21289.23     | 0.01%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179XTC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    302426 | PA      | $303404.98    | 0.12%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138E4YC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1243 | PA      | $1238.93      | 0.00%             | 2027-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12112 | PA      | $11355.56     | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                                                            | CITIGROUP COMMERCIAL MORTGAGE                      | CUSIP: 17328RBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $90021.60     | 0.03%             | 2053-02-15      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QJT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     58751 | PA      | $57312.83     | 0.02%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X8KA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404682 | PA      | $332417.32    | 0.13%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309666 | PA      | $315226.09    | 0.12%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJ4R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15114 | PA      | $14585.52     | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    326694 | PA      | $282195.65    | 0.11%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 312938PW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3735 | PA      | $3811.35      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32799 | PA      | $31331.33     | 0.01%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31329KSA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36343 | PA      | $35133.93     | 0.01%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VMC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    141067 | PA      | $122547.68    | 0.05%             | 2050-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST                                                             | MORGAN STANLEY BAML TRUST                          | CUSIP: 61767CAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $198027.72    | 0.08%             | 2050-05-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RNX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10360 | PA      | $10067.74     | 0.00%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWD75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84239 | PA      | $77966.36     | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9774 | PA      | $9406.02      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D6AH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94210 | PA      | $89358.50     | 0.03%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147616 | PA      | $125928.56    | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23608 | PA      | $22649.50     | 0.01%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X3E32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58073 | PA      | $57146.61     | 0.02%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X43L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11807 | PA      | $11824.58     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WR34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    285268 | PA      | $257050.01    | 0.10%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132Y1W95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33151 | PA      | $31131.49     | 0.01%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY FUNDING LLC                                                                             | PG E WILDFIRE RECOVERY FUNDING LLC                 | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $206946.95    | 0.08%             | 2054-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36176HKG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7721 | PA      | $7473.93      | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST                                                                          | GM FINANCIAL AUTOMOBILE LEASING TRUST 2025 3       | CUSIP: 379965AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100378.83    | 0.04%             | 2029-08-20      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                                                          | BANK5 2024 5YR8                                    | CUSIP: 065923BF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $158022.12    | 0.06%             | 2057-08-15      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36019 | PA      | $32660.49     | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A5JT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17826 | PA      | $17698.92     | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8EX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12463 | PA      | $12219.52     | 0.00%             | 2037-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WRZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1036853 | PA      | $858755.21    | 0.33%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286843 | PA      | $260377.61    | 0.10%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E6C75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16001 | PA      | $15223.30     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333590 | PA      | $334237.30    | 0.13%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136B3J50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174147 | PA      | $172050.01    | 0.07%             | 2028-11-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44308 | PA      | $41082.15     | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TNR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52207 | PA      | $48489.67     | 0.02%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202FKN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    170965 | PA      | $172665.86    | 0.07%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FJKE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65000 | PA      | $65088.23     | 0.03%             | 2028-09-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HESE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45289 | PA      | $44976.01     | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179R4E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75642 | PA      | $70080.35     | 0.03%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE ISSUANCE TRUST                                                                                           | CHASE ISSUANCE TRUST                               | CUSIP: 161571HW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $102526.49    | 0.04%             | 2031-01-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QRZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     43382 | PA      | $42320.18     | 0.02%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69206 | PA      | $62898.45     | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FX3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $267463.85    | 0.10%             | 2030-08-25      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $400351.78    | 0.15%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179ME48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15823 | PA      | $15528.35     | 0.01%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132AEEZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29008 | PA      | $27883.54     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7615 | PA      | $7446.86      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8GL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7461 | PA      | $7324.97      | 0.00%             | 2038-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VVY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    200753 | PA      | $173513.84    | 0.07%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140H1WH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22155 | PA      | $20805.77     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KNLA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366895 | PA      | $315808.28    | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63679 | PA      | $57874.65     | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38908 | PA      | $37939.07     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QGA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266809 | PA      | $228920.32    | 0.09%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TB46<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9890 | PA      | $9689.96      | 0.00%             | 2032-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133BFB74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324249 | PA      | $309307.99    | 0.12%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136AY6U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152229 | PA      | $150437.13    | 0.06%             | 2027-11-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132JBH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17538 | PA      | $16268.57     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132ACYG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11517 | PA      | $10815.48     | 0.00%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202FZZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44991 | PA      | $45068.26     | 0.02%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A46Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225177 | PA      | $215684.93    | 0.08%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Y6JG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373036 | PA      | $387119.90    | 0.15%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92419 | PA      | $83994.37     | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140H37E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65609 | PA      | $61613.18     | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31292L4F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60399 | PA      | $54778.25     | 0.02%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306815 | PA      | $278520.88    | 0.11%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                                                    | BBCMS TRUST                                        | CUSIP: 05554FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $139542.90    | 0.05%             | 2056-11-15      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380330 | PA      | $308793.67    | 0.12%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHYE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35151 | PA      | $31947.41     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CA87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124780 | PA      | $109005.16    | 0.04%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XCWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394846 | PA      | $334827.87    | 0.13%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12101 | PA      | $11969.44     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VTV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    148729 | PA      | $123225.52    | 0.05%             | 2050-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140W1DE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213169 | PA      | $224283.15    | 0.09%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KLZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186584 | PA      | $152330.66    | 0.06%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3392 | PA      | $3317.69      | 0.00%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138XYGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9433 | PA      | $9294.86      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8A35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5986 | PA      | $5773.25      | 0.00%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SEG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     97736 | PA      | $89464.14     | 0.03%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3128L1W89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1344 | PA      | $1416.22      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179UEB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6941 | PA      | $7041.83      | 0.00%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KNSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18334 | PA      | $15705.35     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                                                   | GS MORTGAGE SECURITIES TRUST                       | CUSIP: 36258YBL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $92917.09     | 0.04%             | 2053-02-13      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16095 | PA      | $15759.58     | 0.01%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138MPYS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141642 | PA      | $130801.40    | 0.05%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X8QX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372178 | PA      | $306512.65    | 0.12%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3131XCLE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30370 | PA      | $29485.87     | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186861 | PA      | $186471.27    | 0.07%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QGD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21649 | PA      | $21118.77     | 0.01%             | 2044-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XFHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407985 | PA      | $345253.65    | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132QQRB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19193 | PA      | $18638.49     | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132GUKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39194 | PA      | $37384.45     | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36178LUG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     42353 | PA      | $40447.36     | 0.02%             | 2042-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138XDS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33395 | PA      | $32862.92     | 0.01%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179XBS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    305083 | PA      | $278220.20    | 0.11%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AADV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308362 | PA      | $252388.14    | 0.10%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31402CV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9530 | PA      | $9619.24      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SQV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23107 | PA      | $21116.64     | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XFAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322116 | PA      | $312394.56    | 0.12%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2         | CUSIP: 36179XLH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    560602 | PA      | $563934.25    | 0.22%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421579 | PA      | $420699.27    | 0.16%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77283 | PA      | $70189.12     | 0.03%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYWA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108842 | PA      | $94668.75     | 0.04%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138MFTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102368 | PA      | $98052.64     | 0.04%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140W06J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371996 | PA      | $387059.89    | 0.15%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                                                    | BBCMS MORTGAGE TRUST 2024 C28                      | CUSIP: 07336WBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $154734.97    | 0.06%             | 2057-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X5LN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45845 | PA      | $41097.75     | 0.02%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140LNHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365661 | PA      | $298417.94    | 0.12%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FQJZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $65613.85     | 0.03%             | 2034-10-25      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309847 | PA      | $314950.49    | 0.12%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133A26A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56395 | PA      | $50410.41     | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMSV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20202 | PA      | $19974.41     | 0.01%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XATJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307808 | PA      | $254098.11    | 0.10%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31368HNW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225964 | PA      | $222226.21    | 0.09%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X7JY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235799 | PA      | $204508.33    | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QGAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176551 | PA      | $144844.41    | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJVN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6020 | PA      | $5692.22      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWCC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249113 | PA      | $212503.50    | 0.08%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179X2J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    483333 | PA      | $473903.36    | 0.18%             | 2053-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179Q3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14427 | PA      | $13220.92     | 0.01%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DB35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5014 | PA      | $4885.17      | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q9XC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16800 | PA      | $16214.78     | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C3C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18265 | PA      | $17153.04     | 0.01%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WE4D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24670 | PA      | $23340.37     | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198683 | PA      | $162041.86    | 0.06%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FCH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359407 | PA      | $369048.86    | 0.14%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    338045 | PA      | $279983.57    | 0.11%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                                                                           | VERIZON MASTER TRUST                               | CUSIP: 92348KDR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101798.15    | 0.04%             | 2031-01-21      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179XFG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    393940 | PA      | $375691.01    | 0.14%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RDA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4530 | PA      | $4476.86      | 0.00%             | 2030-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137HDUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140000 | PA      | $145465.00    | 0.06%             | 2034-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179DLT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28862 | PA      | $26715.20     | 0.01%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                                                    | BBCMS MORTGAGE TRUST 2022 C15                      | CUSIP: 05552FBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $373539.25    | 0.14%             | 2055-04-15      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H052611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    325000 | PA      | $328135.74    | 0.13%             | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179U4C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8835 | PA      | $8147.62      | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WBJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3404 | PA      | $3377.22      | 0.00%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284212 | PA      | $291681.52    | 0.11%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133AM7J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351322 | PA      | $286727.95    | 0.11%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188738 | PA      | $161317.87    | 0.06%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302326 | PA      | $246732.16    | 0.10%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430479 | PA      | $420228.57    | 0.16%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CYK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5466 | PA      | $5404.20      | 0.00%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119692 | PA      | $111184.05    | 0.04%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DV3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67765 | PA      | $67031.16     | 0.03%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140MMY28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330432 | PA      | $324737.39    | 0.13%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31410LAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272303 | PA      | $280022.03    | 0.11%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJWA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29465 | PA      | $26979.12     | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FQZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30462 | PA      | $28690.73     | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    396892 | PA      | $402804.97    | 0.16%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 3617BMR66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17923 | PA      | $16353.98     | 0.01%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YJ3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42203 | PA      | $40065.68     | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202548 | PA      | $210412.08    | 0.08%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KHMU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271143 | PA      | $221951.83    | 0.09%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1450000 | PA      | $1488402.35   | 0.57%             | 2056-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620AU7K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31192 | PA      | $29117.76     | 0.01%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NTE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39151 | PA      | $37784.54     | 0.01%             | 2043-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138A8RL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8227 | PA      | $8262.20      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179V7D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    419429 | PA      | $347377.78    | 0.13%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138Y9QH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19155 | PA      | $18168.81     | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                                                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025 5C3     | CUSIP: 95004JAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $105307.55    | 0.04%             | 2058-01-15      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420023 | PA      | $419146.95    | 0.16%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89412 | PA      | $80224.07     | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DTUL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190918 | PA      | $201160.50    | 0.08%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KJGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157309 | PA      | $134600.24    | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140L0M20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270872 | PA      | $251623.16    | 0.10%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWJ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260493 | PA      | $267654.65    | 0.10%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132QWSR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1514 | PA      | $1381.55      | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1061578.13   | 0.41%             | 2056-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417YRP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8893 | PA      | $8888.01      | 0.00%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417YXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6092 | PA      | $6084.84      | 0.00%             | 2031-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q8KD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15384 | PA      | $14489.91     | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KVXP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311924 | PA      | $254589.58    | 0.10%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31335AF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65668 | PA      | $60111.25     | 0.02%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E9J80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5518 | PA      | $5411.64      | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YRH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    339748 | PA      | $344539.02    | 0.13%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7466 | PA      | $7575.61      | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWAX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258706 | PA      | $221106.73    | 0.09%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KYT58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41929 | PA      | $38246.13     | 0.01%             | 2040-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMT29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31965 | PA      | $31189.15     | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WEFA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10513 | PA      | $10275.13     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5AM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71055 | PA      | $65599.22     | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32180 | PA      | $31059.24     | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FPJF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30574 | PA      | $29617.24     | 0.01%             | 2029-06-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414015 | PA      | $337412.21    | 0.13%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MQT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4330 | PA      | $4491.21      | 0.00%             | 2042-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36202EWE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22136 | PA      | $23034.38     | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XGPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217570 | PA      | $197517.02    | 0.08%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140M7SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330824 | PA      | $285642.94    | 0.11%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316131 | PA      | $321532.65    | 0.12%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VQT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12437 | PA      | $11269.18     | 0.00%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8D81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19197 | PA      | $18333.73     | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280389 | PA      | $216731.01    | 0.08%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179YMM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    163221 | PA      | $169328.26    | 0.07%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62613 | PA      | $56774.38     | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SS INST TREAS PLUS MM FUN                                                                                      | SS INST TREAS PLUS MM FUN                          | CUSIP: 930SJLII0<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  22564755 | NS      | $22564754.30  | 8.70%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92452 | PA      | $84027.03     | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P75V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2970 | PA      | $2924.04      | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                                                                            | CITIGROUP COMMERCIAL MORTGAGE TRUST                | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $142737.03    | 0.06%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QWD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39709 | PA      | $36616.82     | 0.01%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F052417<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275000 | PA      | $282175.78    | 0.11%             | 2041-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304185 | PA      | $248253.79    | 0.10%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140J6GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23200 | PA      | $22120.70     | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                                                                    | BARCLAYS COMMERCIAL MORTGAGE SECURITIES LLC        | CUSIP: 05492VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $52080.91     | 0.02%             | 2053-04-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DV6U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132382 | PA      | $113145.99    | 0.04%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133AER55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394256 | PA      | $321744.87    | 0.12%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJS68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17813 | PA      | $16522.98     | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36296RZA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6797 | PA      | $7178.36      | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WQA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    311361 | PA      | $268958.21    | 0.10%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 3617AX3E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3751 | PA      | $3699.55      | 0.00%             | 2047-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179SB71<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     48359 | PA      | $44266.10     | 0.02%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WKNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77043 | PA      | $76467.88     | 0.03%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3694 | PA      | $3599.18      | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KNGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356825 | PA      | $291316.74    | 0.11%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NF94<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14644 | PA      | $14669.28     | 0.01%             | 2043-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31294MFB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        79 | PA      | $78.64        | 0.00%             | 2026-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UV90<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6676 | PA      | $6415.15      | 0.00%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BA CREDIT CARD TRUST                                                                                           | BA CREDIT CARD TRUST                               | CUSIP: 05522RDJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101560.10    | 0.04%             | 2029-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34950 | PA      | $31762.90     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158850 | PA      | $122962.32    | 0.05%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    276804 | PA      | $282229.35    | 0.11%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322477 | PA      | $323305.93    | 0.12%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390079 | PA      | $395880.34    | 0.15%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138M8HU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18716 | PA      | $18517.59     | 0.01%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137HHHY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $50140.66     | 0.02%             | 2034-09-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DZG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34539 | PA      | $29131.64     | 0.01%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DHL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168995 | PA      | $151921.90    | 0.06%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318881 | PA      | $324037.47    | 0.12%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138E4AG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1250 | PA      | $1242.82      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ECKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37495 | PA      | $35914.52     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F042418<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $300046.88    | 0.12%             | 2041-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179RVB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     43392 | PA      | $40000.72     | 0.02%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SUW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34188 | PA      | $32745.44     | 0.01%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133L74L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223695 | PA      | $207126.21    | 0.08%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VKL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    186812 | PA      | $168758.16    | 0.07%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QGE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379782 | PA      | $310861.09    | 0.12%             | 2045-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WCSE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36874 | PA      | $36096.33     | 0.01%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QKN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330016 | PA      | $280338.95    | 0.11%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36180ACB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    309397 | PA      | $315461.74    | 0.12%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H070613<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    325000 | PA      | $334445.31    | 0.13%             | 2055-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10110 | PA      | $9653.69      | 0.00%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132GVKH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45775 | PA      | $43662.10     | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46662 | PA      | $44347.41     | 0.02%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NJA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     98972 | PA      | $92850.09     | 0.04%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SSQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     69784 | PA      | $64309.21     | 0.02%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WPGY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82325 | PA      | $76004.08     | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| State Street Institutional Investment Trust: State Street Institutional Treasury Plus Money Market Fund; Trust | STATE STREET INSTITUTIONAL TREASURY PLUS MMKT      | CUSIP: 85749Q448<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    123761 | NS      | $123761.40    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4GK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9489 | PA      | $9604.03      | 0.00%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VDN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     98842 | PA      | $89381.32     | 0.03%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJ3N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61905 | PA      | $58241.42     | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MGN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3688 | PA      | $3666.59      | 0.00%             | 2027-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403068 | PA      | $409828.87    | 0.16%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179XQX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    284547 | PA      | $289330.54    | 0.11%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV5Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116725 | PA      | $99764.58     | 0.04%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132XTTT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39781 | PA      | $37380.51     | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TLR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     79819 | PA      | $72811.57     | 0.03%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H042612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    400000 | PA      | $389703.12    | 0.15%             | 2056-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ANZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67786 | PA      | $65535.51     | 0.03%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57122 | PA      | $51252.98     | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D6A59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    412216 | PA      | $382919.42    | 0.15%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JQRZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75882 | PA      | $68215.38     | 0.03%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132D6CU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62137 | PA      | $60469.68     | 0.02%             | 2037-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P75B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8806 | PA      | $8828.47      | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QHJT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397877 | PA      | $324821.88    | 0.13%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YFRM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19198 | PA      | $18643.99     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P77K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14025 | PA      | $13885.27     | 0.01%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5A33<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    614755 | PA      | $613526.90    | 0.24%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17469 | PA      | $15790.17     | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X3AX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40543 | PA      | $39131.20     | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D6N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290689 | PA      | $270136.35    | 0.10%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120165 | PA      | $106282.90    | 0.04%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DV6C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174928 | PA      | $149509.33    | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YW59<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    370931 | PA      | $375248.27    | 0.14%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KNBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349560 | PA      | $299349.20    | 0.12%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VN48<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9612 | PA      | $8820.54      | 0.00%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARLEY DAVIDSON MOTORCYCLE TRUST                                                                               | HARLEY DAVIDSON MOTORCYCLE TRUST 2024 A            | CUSIP: 412922AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $204203.52    | 0.08%             | 2031-12-15      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UXU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10502 | PA      | $10091.72     | 0.00%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SJT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     42616 | PA      | $39513.12     | 0.02%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399847 | PA      | $370345.87    | 0.14%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QVFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481891 | PA      | $506323.42    | 0.20%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CJF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11714 | PA      | $11186.13     | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YAGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3608 | PA      | $3553.60      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KYBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397692 | PA      | $324211.01    | 0.13%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5EU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    424576 | PA      | $423727.47    | 0.16%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST                                                                          | GM FINANCIAL AUTOMOBILE LEASING TRUST 2025 3       | CUSIP: 379965AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $50265.52     | 0.02%             | 2028-08-21      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5GL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22873 | PA      | $20788.20     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H73Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162952 | PA      | $153674.49    | 0.06%             | 2055-04-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KMVL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343424 | PA      | $294096.01    | 0.11%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H9PC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $72156.38     | 0.03%             | 2032-12-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                       | BENCHMARK MORTGAGE TRUST                           | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $186418.59    | 0.07%             | 2032-01-15      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WFKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25449 | PA      | $24078.49     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333720 | PA      | $333410.47    | 0.13%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S2N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49213 | PA      | $44892.11     | 0.02%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132D55E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50818 | PA      | $48544.22     | 0.02%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17666 | PA      | $16189.21     | 0.01%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QJS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     98108 | PA      | $92264.96     | 0.04%             | 2044-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F022410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $141837.89    | 0.05%             | 2041-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| iShares US Treasury Bond ETF                                                                                   | ISHARES U S TREASURY BOND ETF                      | CUSIP: 46429B267<br>LEI: 549300YMK9GAMCTG8G20 | Long             |  | RF                | US        |    260765 | NS      | $6004114.13   | 2.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179M5M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     85597 | PA      | $80302.49     | 0.03%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4SD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30700 | PA      | $29555.28     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X7VZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210296 | PA      | $179704.70    | 0.07%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WBSA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10283 | PA      | $10140.48     | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UEA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4217 | PA      | $4190.08      | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QBF60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32355 | PA      | $29084.84     | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42032 | PA      | $42394.19     | 0.02%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292504 | PA      | $297861.57    | 0.11%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133AJPG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193845 | PA      | $158189.84    | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327779 | PA      | $329026.01    | 0.13%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ENNE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19447 | PA      | $19990.36     | 0.01%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111336 | PA      | $99911.32     | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31307UX78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36251 | PA      | $35221.81     | 0.01%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                                                   | GS MORTGAGE SECURITIES TRUST                       | CUSIP: 36252HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $244209.98    | 0.09%             | 2050-03-10      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TT96<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    118391 | PA      | $108015.38    | 0.04%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H9M89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $145556.51    | 0.06%             | 2032-11-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RXD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     56008 | PA      | $52566.75     | 0.02%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JG6P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2306 | PA      | $2289.95      | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10962 | PA      | $10580.58     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D6AG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262560 | PA      | $244647.99    | 0.09%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138AVRP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2918 | PA      | $2906.54      | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TCX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38550 | PA      | $35805.27     | 0.01%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31103 | PA      | $31154.93     | 0.01%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138MDNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16317 | PA      | $15629.01     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XSCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341917 | PA      | $357003.02    | 0.14%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S2R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     30651 | PA      | $30673.44     | 0.01%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136BP3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $96577.71     | 0.04%             | 2032-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CSE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8490 | PA      | $8418.13      | 0.00%             | 2037-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138M5W39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10286 | PA      | $9498.11      | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A5JC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20429 | PA      | $19184.78     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4DF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48122 | PA      | $45272.17     | 0.02%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DNCD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362391 | PA      | $339822.18    | 0.13%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36294SFW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4629 | PA      | $4713.58      | 0.00%             | 2036-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KRM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187624 | PA      | $170390.76    | 0.07%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FEM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100413 | PA      | $102108.89    | 0.04%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138EH4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16680 | PA      | $16622.75     | 0.01%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5D36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48726 | PA      | $46101.04     | 0.02%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FLU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278674 | PA      | $293033.48    | 0.11%             | 2055-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QNB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367689 | PA      | $328633.81    | 0.13%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138AW3M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121950 | PA      | $119186.76    | 0.05%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ET42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341080 | PA      | $333826.12    | 0.13%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140GQ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10809 | PA      | $10453.40     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W94X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15913 | PA      | $16319.87     | 0.01%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31410LNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8660 | PA      | $8896.60      | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV3U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32867 | PA      | $30813.94     | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307TD99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15604 | PA      | $15260.21     | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 3618N5TN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    397004 | PA      | $401200.76    | 0.15%             | 2055-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VFP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    102500 | PA      | $92976.39     | 0.04%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XHLC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170735 | PA      | $152421.23    | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XFA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367787 | PA      | $311232.79    | 0.12%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3131XWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46711 | PA      | $42452.50     | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179V7E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     95402 | PA      | $82494.18     | 0.03%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307FDM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30177 | PA      | $29637.91     | 0.01%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WDY88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12320 | PA      | $11280.68     | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DEU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48575 | PA      | $46693.33     | 0.02%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140EBVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22659 | PA      | $21600.54     | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SSP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    132986 | PA      | $121730.67    | 0.05%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59733 | PA      | $56523.54     | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179SWV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    144969 | PA      | $127830.71    | 0.05%             | 2047-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMT37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21939 | PA      | $21357.14     | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280023 | PA      | $254189.48    | 0.10%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356104 | PA      | $303765.53    | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YHK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29294 | PA      | $27716.63     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YNZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21749 | PA      | $20648.14     | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350001 | PA      | $286469.93    | 0.11%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWH22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247431 | PA      | $251581.65    | 0.10%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UPC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6926 | PA      | $6935.68      | 0.00%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382123 | PA      | $329902.92    | 0.13%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QGAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330314 | PA      | $271323.59    | 0.10%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128M8C44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       855 | PA      | $893.56       | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HPBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38369 | PA      | $37963.82     | 0.01%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YRS41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19144 | PA      | $18812.12     | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                                                                           | VERIZON MASTER TRUST                               | CUSIP: 92348KDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $251168.17    | 0.10%             | 2030-08-20      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179N5X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     45373 | PA      | $44545.83     | 0.02%             | 2044-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KNBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383675 | PA      | $310640.55    | 0.12%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UZU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10555 | PA      | $10142.59     | 0.00%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JWNT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96411 | PA      | $86668.95     | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WAE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36475 | PA      | $35671.02     | 0.01%             | 2028-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267072 | PA      | $277442.35    | 0.11%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199621 | PA      | $173624.87    | 0.07%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140W0VP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239680 | PA      | $242071.24    | 0.09%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CLT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3299 | PA      | $3270.82      | 0.00%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C7K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16364 | PA      | $15368.09     | 0.01%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YHU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40326 | PA      | $36923.85     | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347732 | PA      | $348194.91    | 0.13%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SJS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39753 | PA      | $36388.05     | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 3618N5JE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    335583 | PA      | $342064.28    | 0.13%             | 2055-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJXA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9301 | PA      | $9054.97      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DMC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3702 | PA      | $3749.59      | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27639 | PA      | $26393.48     | 0.01%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WG28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    657574 | PA      | $544823.12    | 0.21%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393294 | PA      | $398926.66    | 0.15%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     52719 | PA      | $49286.00     | 0.02%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3129446X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164085 | PA      | $161572.90    | 0.06%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75103 | PA      | $68257.13     | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HEDV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12179 | PA      | $11908.09     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40602 | PA      | $36817.57     | 0.01%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140K45H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85085 | PA      | $76747.30     | 0.03%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WDY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48991 | PA      | $44857.60     | 0.02%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31329QWF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19123 | PA      | $18381.33     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KEFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107625 | PA      | $96569.95     | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139314 | PA      | $125002.99    | 0.05%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133AKPS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322288 | PA      | $263032.87    | 0.10%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWJQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194033 | PA      | $194472.44    | 0.08%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST                                                                                 | HYUNDAI AUTO RECEIVABLES TRUST                     | CUSIP: 44934QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101080.85    | 0.04%             | 2029-03-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2441 | PA      | $2376.39      | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14603 | PA      | $14499.16     | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DDN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6310 | PA      | $6399.15      | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620ASRX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       810 | PA      | $808.45       | 0.00%             | 2026-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319866 | PA      | $328610.59    | 0.13%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17302 | PA      | $16631.74     | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3142J6BM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178097 | PA      | $187482.72    | 0.07%             | 2055-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109646 | PA      | $95369.15     | 0.04%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24977 | PA      | $24133.88     | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QKYH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167890 | PA      | $133234.30    | 0.05%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6903 | PA      | $6365.93      | 0.00%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31079 | PA      | $30816.29     | 0.01%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A5EP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56774 | PA      | $53715.46     | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QKLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334631 | PA      | $273183.44    | 0.11%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJV64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81636 | PA      | $77232.28     | 0.03%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7945 | PA      | $7587.95      | 0.00%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMXB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49950 | PA      | $48849.46     | 0.02%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QVLM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398635 | PA      | $408992.14    | 0.16%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KL2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324305 | PA      | $274917.62    | 0.11%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XFTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38571 | PA      | $33117.73     | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XF4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167286 | PA      | $148164.95    | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X7E54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209064 | PA      | $195520.85    | 0.08%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WQAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23781 | PA      | $21311.05     | 0.01%             | 2043-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RD63<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     36830 | PA      | $33720.96     | 0.01%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UMK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9294 | PA      | $8636.24      | 0.00%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $90673.82     | 0.03%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179UQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7313 | PA      | $6796.15      | 0.00%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179R7H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44322 | PA      | $40571.29     | 0.02%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132JAJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4106 | PA      | $3809.01      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179MK82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37020 | PA      | $36331.16     | 0.01%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27467 | PA      | $27512.00     | 0.01%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YYE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9442 | PA      | $9190.58      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137HMCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $148691.82    | 0.06%             | 2035-06-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HMN26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37122 | PA      | $35829.73     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137HJ6B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144501 | PA      | $142820.50    | 0.06%             | 2034-10-25      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140EYXE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13286 | PA      | $12075.15     | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJVV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73258 | PA      | $69432.56     | 0.03%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F070617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $262968.75    | 0.10%             | 2056-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KDQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196504 | PA      | $167960.41    | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W5HC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10315 | PA      | $9522.94      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NAH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3011 | PA      | $2967.08      | 0.00%             | 2028-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140F9WG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110859 | PA      | $100753.69    | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395386 | PA      | $396400.89    | 0.15%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9005 | PA      | $8851.18      | 0.00%             | 2028-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    361027 | PA      | $293432.84    | 0.11%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S2Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38169 | PA      | $36881.86     | 0.01%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UKX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     32750 | PA      | $31604.43     | 0.01%             | 2049-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NQ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     66332 | PA      | $61711.03     | 0.02%             | 2043-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341167 | PA      | $263928.17    | 0.10%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    271726 | PA      | $225130.59    | 0.09%             | 2051-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3131XYNZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113754 | PA      | $107144.65    | 0.04%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179Y2M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    188262 | PA      | $191951.87    | 0.07%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133ANDA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342369 | PA      | $279419.86    | 0.11%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620A2WH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     72489 | PA      | $73689.93     | 0.03%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307PPU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6827 | PA      | $6636.49      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KH3C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192653 | PA      | $165215.24    | 0.06%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUST                                                                             | HONDA AUTO RECEIVABLES 2023 3 OWNER TRUST          | CUSIP: 43815QAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101386.97    | 0.04%             | 2029-12-18      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    525000 | PA      | $485501.95    | 0.19%             | 2056-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VSF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    258510 | PA      | $214133.10    | 0.08%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QNW24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311534 | PA      | $276665.20    | 0.11%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221736 | PA      | $233102.98    | 0.09%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWLA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284150 | PA      | $291808.02    | 0.11%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31334XEE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65197 | PA      | $58606.98     | 0.02%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JPM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73456 | PA      | $70608.82     | 0.03%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179USW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7518 | PA      | $7609.11      | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QL41<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     79455 | PA      | $73297.98     | 0.03%             | 2044-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7FZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47028 | PA      | $45404.20     | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QDY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28059 | PA      | $26232.82     | 0.01%             | 2044-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23247 | PA      | $22346.56     | 0.01%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XJWW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289704 | PA      | $297080.73    | 0.11%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H74Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $188281.80    | 0.07%             | 2029-04-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 3618N5KW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    387474 | PA      | $391436.10    | 0.15%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AG7H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364380 | PA      | $297350.25    | 0.11%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DV4X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232442 | PA      | $217921.79    | 0.08%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FLYV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $98202.61     | 0.04%             | 2029-04-25      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H4SH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $89452.56     | 0.03%             | 2031-11-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35746 | PA      | $34705.43     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132QSWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27077 | PA      | $25666.89     | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KKLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118819 | PA      | $101550.83    | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XJ4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319386 | PA      | $304798.28    | 0.12%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q87H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8343 | PA      | $8448.43      | 0.00%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJWB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55862 | PA      | $52944.86     | 0.02%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK 2019 BNK16                                    | CUSIP: 065405AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97643.68     | 0.04%             | 2052-02-15      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CUG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14773 | PA      | $14401.68     | 0.01%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FE2P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50914 | PA      | $49238.63     | 0.02%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7591 | PA      | $7542.61      | 0.00%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJEU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21143 | PA      | $20527.46     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8168 | PA      | $7831.36      | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DYG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118328 | PA      | $99803.37     | 0.04%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417EF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60500 | PA      | $54121.94     | 0.02%             | 2042-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KUHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301293 | PA      | $246596.19    | 0.10%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620ASVB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14796 | PA      | $14355.89     | 0.01%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AE87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7061 | PA      | $6826.54      | 0.00%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WXH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    156707 | PA      | $129785.66    | 0.05%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330629 | PA      | $315162.01    | 0.12%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KH5E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143257 | PA      | $122905.45    | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AUE53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343125 | PA      | $292687.24    | 0.11%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RBX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35194 | PA      | $33031.91     | 0.01%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QNJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15387 | PA      | $14569.63     | 0.01%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XLLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383834 | PA      | $389819.77    | 0.15%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59240 | PA      | $53718.34     | 0.02%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61904 | PA      | $59308.22     | 0.02%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133BFXB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162161 | PA      | $154752.89    | 0.06%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TAM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23208 | PA      | $23225.10     | 0.01%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31965 | PA      | $31779.55     | 0.01%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X6LH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179333 | PA      | $156358.32    | 0.06%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133A4BS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98550 | PA      | $88492.65     | 0.03%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31427MLM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188899 | PA      | $193743.56    | 0.07%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CNS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3386 | PA      | $3233.82      | 0.00%             | 2037-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620AUFH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     13967 | PA      | $13539.76     | 0.01%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354625 | PA      | $290671.96    | 0.11%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CS39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16622 | PA      | $15072.38     | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36241KE87<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17688 | PA      | $18404.38     | 0.01%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST                                                                        | CAPITAL ONE MULTI ASSET EXECUTION TRUST            | CUSIP: 14041NGE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100315.83    | 0.04%             | 2029-09-15      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418E2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202200 | PA      | $210080.76    | 0.08%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJY79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26322 | PA      | $24846.04     | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58574 | PA      | $55171.75     | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274083 | PA      | $282207.08    | 0.11%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3131XVRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92265 | PA      | $83855.41     | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                                                                                   | GS MORTGAGE SECURITIES TRUST                       | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98863.95     | 0.04%             | 2051-07-10      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5CJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35451 | PA      | $34703.19     | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST                                                                   | AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST       | CUSIP: 02582JKR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $122265.70    | 0.05%             | 2032-04-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179X5H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    319677 | PA      | $324692.33    | 0.13%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365982 | PA      | $375697.33    | 0.14%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140F3PT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21094 | PA      | $19959.50     | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128M7DJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10198 | PA      | $10495.44     | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5HY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7111 | PA      | $6698.02      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHNS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23744 | PA      | $23062.35     | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X44U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10435 | PA      | $10277.59     | 0.00%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHKD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38955 | PA      | $36682.26     | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128PUU67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1048 | PA      | $1043.67      | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179W5A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    313948 | PA      | $260016.95    | 0.10%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23228 | PA      | $20202.22     | 0.01%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6898 | PA      | $6586.88      | 0.00%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36184SQY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     60661 | PA      | $56462.75     | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333818 | PA      | $284755.72    | 0.11%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CG99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19247 | PA      | $18823.04     | 0.01%             | 2037-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X7PZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160982 | PA      | $150552.33    | 0.06%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5AU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136763 | PA      | $126259.61    | 0.05%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UKZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2880 | PA      | $2915.06      | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     71784 | PA      | $65481.56     | 0.03%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259942 | PA      | $221732.11    | 0.09%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3132D55W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160862 | PA      | $150449.71    | 0.06%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F032419<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97148.44     | 0.04%             | 2041-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32669 | PA      | $31668.91     | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133ASJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362805 | PA      | $296098.77    | 0.11%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HJ2R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15575 | PA      | $15413.56     | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ARX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29734 | PA      | $28745.29     | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A5AX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380767 | PA      | $351523.93    | 0.14%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138LU2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44442 | PA      | $42569.14     | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QMYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379906 | PA      | $325157.33    | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140F1E99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23481 | PA      | $22685.98     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8EM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6311 | PA      | $6187.10      | 0.00%             | 2037-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WTX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    362136 | PA      | $299934.23    | 0.12%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CQE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6229 | PA      | $6092.17      | 0.00%             | 2037-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XDH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110267 | PA      | $93005.41     | 0.04%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36471 | PA      | $35915.19     | 0.01%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MJ2R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33211 | PA      | $30156.22     | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31292LK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18271 | PA      | $17518.60     | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S5M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     63263 | PA      | $61129.70     | 0.02%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31427MVN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    381928 | PA      | $390790.44    | 0.15%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179M5L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     23390 | PA      | $21760.36     | 0.01%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17456 | PA      | $17305.20     | 0.01%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H022614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    675000 | PA      | $582609.38    | 0.22%             | 2056-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q7L70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9840 | PA      | $10046.77     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138M0BF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55885 | PA      | $53529.73     | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H020618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    475000 | PA      | $393099.61    | 0.15%             | 2056-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5JF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    185772 | PA      | $192046.99    | 0.07%             | 2055-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217395 | PA      | $177269.96    | 0.07%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DNHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309480 | PA      | $295254.81    | 0.11%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WHF64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38803 | PA      | $36655.65     | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5DN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69413 | PA      | $63557.95     | 0.02%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                                                          | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025 C64     | CUSIP: 95004BAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $210197.33    | 0.08%             | 2058-02-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DPE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124005 | PA      | $111267.51    | 0.04%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SWX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     51299 | PA      | $47415.81     | 0.02%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340975 | PA      | $263934.76    | 0.10%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SWW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    112750 | PA      | $102655.49    | 0.04%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RQ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6318 | PA      | $6139.10      | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RLP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     71988 | PA      | $67564.92     | 0.03%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179WTY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    458010 | PA      | $395635.67    | 0.15%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396535 | PA      | $402192.85    | 0.16%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SUT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9158 | PA      | $8075.65      | 0.00%             | 2047-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27756 | PA      | $27478.40     | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SNY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15188 | PA      | $15521.40     | 0.01%             | 2046-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31346Y2X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131308 | PA      | $112737.31    | 0.04%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133AN4G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360502 | PA      | $294212.93    | 0.11%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307VYC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7596 | PA      | $7426.75      | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X14D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19238 | PA      | $18961.05     | 0.01%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    408965 | PA      | $334683.82    | 0.13%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31427PCU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    337676 | PA      | $351095.64    | 0.14%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X8TA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197520 | PA      | $162581.28    | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJ2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38548 | PA      | $37246.89     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133B0QP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118139 | PA      | $96413.53     | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58325 | PA      | $53009.85     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31427MG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351679 | PA      | $368644.03    | 0.14%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4XP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3056 | PA      | $2750.06      | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4722 | PA      | $4244.59      | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XFK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73328 | PA      | $63549.63     | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140F0JJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76255 | PA      | $69304.13     | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QFBF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156366 | PA      | $133800.64    | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137HN4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140000 | PA      | $141084.23    | 0.05%             | 2032-06-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18065 | PA      | $17748.26     | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJU73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15883 | PA      | $15019.68     | 0.01%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QBG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     59222 | PA      | $57771.92     | 0.02%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36241KYU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49639 | PA      | $50886.51     | 0.02%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128KTAF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1745 | PA      | $1804.19      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7413 | PA      | $7386.90      | 0.00%             | 2035-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31427QAZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    388083 | PA      | $395987.82    | 0.15%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VVX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    249387 | PA      | $206623.43    | 0.08%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJYV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11839 | PA      | $11430.87     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XGQ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203701 | PA      | $180389.08    | 0.07%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179XX68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    131775 | PA      | $133880.52    | 0.05%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WVT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    491474 | PA      | $407053.00    | 0.16%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132957 | PA      | $115642.31    | 0.04%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QTQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461849 | PA      | $486517.66    | 0.19%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    331164 | PA      | $286085.52    | 0.11%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273209 | PA      | $252973.22    | 0.10%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8DJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9227 | PA      | $8884.00      | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FCUA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15868 | PA      | $15537.39     | 0.01%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3618N5JD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    339478 | PA      | $342948.69    | 0.13%             | 2055-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KJ4M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206943 | PA      | $175134.24    | 0.07%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     55054 | PA      | $51133.97     | 0.02%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132WKLR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104033 | PA      | $94689.10     | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QNBZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370150 | PA      | $332046.23    | 0.13%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DUQR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435858 | PA      | $434953.16    | 0.17%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DKK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11696 | PA      | $11345.30     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163979 | PA      | $165519.83    | 0.06%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128PTWA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        15 | PA      | $15.05        | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179N5W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     48693 | PA      | $47500.80     | 0.02%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FXYV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390000 | PA      | $355101.50    | 0.14%             | 2031-01-25      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140MAVR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307579 | PA      | $285181.20    | 0.11%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132JMCC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37905 | PA      | $35160.87     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DF64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7117 | PA      | $6552.03      | 0.00%             | 2039-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJZV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6713 | PA      | $5730.36      | 0.00%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36180MLN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     96321 | PA      | $88303.70     | 0.03%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJPF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47537 | PA      | $42876.71     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KY5J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44853 | PA      | $45198.95     | 0.02%             | 2045-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DM2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358197 | PA      | $305651.17    | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JACX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37472 | PA      | $35183.09     | 0.01%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32338 | PA      | $30746.60     | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $758625.00    | 0.29%             | 2056-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550000 | PA      | $548646.48    | 0.21%             | 2056-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138A75C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1794 | PA      | $1789.34      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133AADG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224310 | PA      | $191726.44    | 0.07%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VKK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     70991 | PA      | $61354.99     | 0.02%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D6AQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258809 | PA      | $240416.84    | 0.09%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                                                                       | BENCHMARK 2019 B9 A5 4 0156 3 15 52                | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $246043.33    | 0.09%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128PXT71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9764 | PA      | $9610.03      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31427NWU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371001 | PA      | $377589.25    | 0.15%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WCZ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28267 | PA      | $27106.26     | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138ETYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7078 | PA      | $7087.24      | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140EUFD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19853 | PA      | $18783.64     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133AE5Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320153 | PA      | $261280.92    | 0.10%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179TV51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     47528 | PA      | $44166.12     | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DWLM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314844 | PA      | $323406.20    | 0.12%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36295NCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10841 | PA      | $11018.97     | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TJW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     58198 | PA      | $52988.45     | 0.02%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325938 | PA      | $331398.42    | 0.13%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     30934 | PA      | $28658.94     | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DMN50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272956 | PA      | $236696.27    | 0.09%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69704 | PA      | $60626.24     | 0.02%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HNMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388842 | PA      | $317314.86    | 0.12%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WDQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    418549 | PA      | $346770.76    | 0.13%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45002 | PA      | $43519.09     | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31292MDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83792 | PA      | $76858.13     | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3128LDV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       422 | PA      | $437.16       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132ACGC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34742 | PA      | $31845.21     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31427N4P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382942 | PA      | $316652.23    | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132WE7H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31361 | PA      | $28508.45     | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140GYGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64681 | PA      | $60924.03     | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417D3H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249188 | PA      | $230107.69    | 0.09%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MMXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50360 | PA      | $49124.85     | 0.02%             | 2033-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Y6NX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385349 | PA      | $400281.10    | 0.15%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YN6T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18161 | PA      | $17656.56     | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179TNQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26417 | PA      | $24097.52     | 0.01%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK                                               | CUSIP: 065404BB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $297268.52    | 0.11%             | 2061-02-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18954 | PA      | $18532.36     | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YBSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44485 | PA      | $42089.02     | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18638 | PA      | $17534.73     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DVA39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    415045 | PA      | $356005.66    | 0.14%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132JM5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70003 | PA      | $66407.01     | 0.03%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138XUTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26189 | PA      | $25636.52     | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WJQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11412 | PA      | $11564.37     | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JMZY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16781 | PA      | $16130.40     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152144 | PA      | $130037.64    | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VSG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    157992 | PA      | $136551.87    | 0.05%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140E0FC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38994 | PA      | $37913.47     | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82768 | PA      | $71067.70     | 0.03%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372061 | PA      | $303224.02    | 0.12%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KLRF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300689 | PA      | $246736.05    | 0.10%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138LTK98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12302 | PA      | $12181.50     | 0.00%             | 2027-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWF32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209927 | PA      | $200237.99    | 0.08%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133ADUS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323228 | PA      | $264558.94    | 0.10%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31322 | PA      | $31288.70     | 0.01%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    335007 | PA      | $335267.20    | 0.13%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31307VT89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10954 | PA      | $10658.14     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37030 | PA      | $35124.87     | 0.01%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DBC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5656 | PA      | $5578.52      | 0.00%             | 2039-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X6XR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35070 | PA      | $34715.24     | 0.01%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291908 | PA      | $264989.57    | 0.10%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418D5F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72127 | PA      | $60836.49     | 0.02%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QMA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362051 | PA      | $307526.83    | 0.12%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    700000 | PA      | $629781.25    | 0.24%             | 2056-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132ADPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40970 | PA      | $37032.03     | 0.01%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3132A5GR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58067 | PA      | $56153.48     | 0.02%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128P8DH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9440 | PA      | $8948.69      | 0.00%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UUK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10766 | PA      | $10344.25     | 0.00%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FANNIEMAE ACES                                     | CUSIP: 3136AV7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152343 | PA      | $150878.63    | 0.06%             | 2027-02-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UGC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     43038 | PA      | $41532.28     | 0.02%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132A5GP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46240 | PA      | $41928.15     | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418ER85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311238 | PA      | $316744.73    | 0.12%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KNQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    376993 | PA      | $323882.87    | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418FFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120949 | PA      | $123863.21    | 0.05%             | 2044-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TAK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37193 | PA      | $34545.01     | 0.01%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137HBP73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275000 | PA      | $288540.84    | 0.11%             | 2033-12-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KMSR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342758 | PA      | $279898.92    | 0.11%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128P8EW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3609 | PA      | $3446.82      | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179YHS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    224682 | PA      | $228096.43    | 0.09%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48635 | PA      | $46300.85     | 0.02%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NF78<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     96995 | PA      | $90994.97     | 0.04%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VN22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    334133 | PA      | $288786.03    | 0.11%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DQZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33060 | PA      | $29241.35     | 0.01%             | 2040-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620ASXW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10136 | PA      | $10072.21     | 0.00%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY FUNDING LLC                                                                             | PG E WILDFIRE RECOVERY                             | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $97047.93     | 0.04%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWHR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    346832 | PA      | $340348.47    | 0.13%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X3EH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64249 | PA      | $59315.06     | 0.02%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FRUS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32464 | PA      | $32352.23     | 0.01%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 3620A7ZZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    124219 | PA      | $125729.39    | 0.05%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351378 | PA      | $271952.33    | 0.10%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DMUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275012 | PA      | $235407.39    | 0.09%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VXY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    216083 | PA      | $186917.40    | 0.07%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JAJ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30444 | PA      | $29441.27     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NNB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20931 | PA      | $20256.96     | 0.01%             | 2043-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36297HXT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16680 | PA      | $16952.69     | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36178AHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4319 | PA      | $3988.22      | 0.00%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X3AW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29774 | PA      | $27909.71     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132Y1ZX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25467 | PA      | $25242.70     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15003 | PA      | $14875.54     | 0.01%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31329NRH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48089 | PA      | $46433.03     | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31427PAD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196608 | PA      | $203556.63    | 0.08%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132J7LC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94305 | PA      | $87477.71     | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WR26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    150374 | PA      | $129893.91    | 0.05%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FP3J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37009 | PA      | $33557.70     | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307EM27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9248 | PA      | $8960.18      | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11355 | PA      | $10871.68     | 0.00%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140FT5L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25605 | PA      | $24761.70     | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15817 | PA      | $14829.78     | 0.01%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297440 | PA      | $263080.22    | 0.10%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85888 | PA      | $81798.73     | 0.03%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JAD70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       571 | PA      | $569.51       | 0.00%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307EMG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4703 | PA      | $4609.79      | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12288 | PA      | $12466.16     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TLS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     69048 | PA      | $64295.61     | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DNDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393092 | PA      | $333258.79    | 0.13%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132QUH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25661 | PA      | $24315.06     | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36297KCM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     33305 | PA      | $32641.79     | 0.01%             | 2039-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST                                                             | GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST | CUSIP: 38013JAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $60443.05     | 0.02%             | 2028-09-18      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TSF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    108644 | PA      | $98919.48     | 0.04%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                                                                        | CARMAX AUTO OWNER TRUST 2025 1                     | CUSIP: 14319WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $128309.37    | 0.05%             | 2030-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31427NHD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362215 | PA      | $371833.78    | 0.14%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73818 | PA      | $62880.17     | 0.02%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KJR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312993 | PA      | $258860.85    | 0.10%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140M83M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248384 | PA      | $201825.90    | 0.08%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35371 | PA      | $32385.92     | 0.01%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C4M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6872 | PA      | $6958.22      | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XDUD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352859 | PA      | $288131.09    | 0.11%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MSWF COMMERCIAL MORTGAGE TRUST                                                                                 | MSWF COMMERCIAL MORTGAGE TRUST                     | CUSIP: 55376CAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $106140.78    | 0.04%             | 2056-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWKJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192181 | PA      | $199643.41    | 0.08%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140W4B63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321925 | PA      | $327187.59    | 0.13%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179TUD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6623 | PA      | $6773.28      | 0.00%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TG66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9503 | PA      | $9404.36      | 0.00%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307KA91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4861 | PA      | $4807.71      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X3EQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41508 | PA      | $39559.15     | 0.02%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179R4D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15977 | PA      | $14644.25     | 0.01%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137H2NY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $236326.09    | 0.09%             | 2036-08-25      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YPH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    253231 | PA      | $258841.26    | 0.10%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195409 | PA      | $159428.40    | 0.06%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227094 | PA      | $185872.31    | 0.07%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132DMKB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76085 | PA      | $72943.21     | 0.03%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWN66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    433836 | PA      | $423732.87    | 0.16%             | 2055-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179UPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25142 | PA      | $24982.25     | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26674 | PA      | $25281.33     | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179S5K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     61642 | PA      | $56121.77     | 0.02%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3137FLN91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $247219.33    | 0.10%             | 2029-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BPQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19991 | PA      | $19270.75     | 0.01%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5GW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48262 | PA      | $45458.62     | 0.02%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132WGFU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20288 | PA      | $17658.30     | 0.01%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67409 | PA      | $60598.40     | 0.02%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140X4WD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63337 | PA      | $59565.69     | 0.02%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179W7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    334403 | PA      | $301057.89    | 0.12%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KMNT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322653 | PA      | $276382.27    | 0.11%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200261 | PA      | $190927.04    | 0.07%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SGK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54801 | PA      | $50162.86     | 0.02%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80105 | PA      | $75225.92     | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QEAE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202189 | PA      | $173480.11    | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36183RCW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8731 | PA      | $7933.85      | 0.00%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265516 | PA      | $266277.85    | 0.10%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179YKS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    250526 | PA      | $254344.48    | 0.10%             | 2053-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128PY5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7433 | PA      | $7375.77      | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST                                                                                   | FORD CREDIT AUTO OWNER TRUST 2024 C                | CUSIP: 34532UAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100357.47    | 0.04%             | 2030-07-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TUA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     42619 | PA      | $39603.58     | 0.02%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140K9EV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110002 | PA      | $102911.56    | 0.04%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BXZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9005 | PA      | $8520.64      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3132DV3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44705 | PA      | $41911.11     | 0.02%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167277 | PA      | $173691.74    | 0.07%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1725000 | PA      | $1457827.15   | 0.56%             | 2056-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132M75R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1786 | PA      | $1754.99      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36211EPU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     22308 | PA      | $22595.30     | 0.01%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DT4K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    375455 | PA      | $389212.93    | 0.15%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28046 | PA      | $25164.59     | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMSY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5539 | PA      | $5476.77      | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179QC33<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2660 | PA      | $2636.58      | 0.00%             | 2029-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H062610<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    300000 | PA      | $309890.63    | 0.12%             | 2056-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CF66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6011 | PA      | $5251.27      | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418APY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14957 | PA      | $14459.86     | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45389 | PA      | $43357.76     | 0.02%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W9AB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6195 | PA      | $6069.76      | 0.00%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179SLS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12543 | PA      | $11578.32     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KLZW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211644 | PA      | $172789.60    | 0.07%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140Q8DV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44868 | PA      | $43319.36     | 0.02%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179VZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    295817 | PA      | $245008.05    | 0.09%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55486 | PA      | $52130.80     | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31427PCT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    270631 | PA      | $281386.55    | 0.11%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MMTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7949 | PA      | $7735.62      | 0.00%             | 2030-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VMD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    166353 | PA      | $150126.28    | 0.06%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QPAB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196952 | PA      | $183815.59    | 0.07%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 31307L6L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1824 | PA      | $1785.91      | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179XVR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    320687 | PA      | $314945.16    | 0.12%             | 2053-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                                                                           | BANK                                               | CUSIP: 06540MBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $143012.20    | 0.06%             | 2065-04-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QDAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17669 | PA      | $15794.41     | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST                                                                   | AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST       | CUSIP: 02582JKP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $101144.20    | 0.04%             | 2030-04-15      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138X6CZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28013 | PA      | $27578.30     | 0.01%             | 2028-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KELG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127335 | PA      | $104223.18    | 0.04%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179TG41<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     47372 | PA      | $43998.75     | 0.02%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138EL5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34950 | PA      | $34928.12     | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31427PZ31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    475416 | PA      | $490040.83    | 0.19%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 21H040616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    575000 | PA      | $543105.47    | 0.21%             | 2056-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47976 | PA      | $46394.94     | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138W9SV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110092 | PA      | $107795.36    | 0.04%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138EMJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12376 | PA      | $12367.26     | 0.00%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3128MMV42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19557 | PA      | $18786.58     | 0.01%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128MJTZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32653 | PA      | $31684.77     | 0.01%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179Y5L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    364596 | PA      | $368764.19    | 0.14%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138M1EN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33271 | PA      | $31178.04     | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31417CVK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206129 | PA      | $197438.95    | 0.08%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179W5B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    241640 | PA      | $208725.82    | 0.08%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31416WT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8847 | PA      | $8923.66      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VBF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     84726 | PA      | $76626.88     | 0.03%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140HMZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55654 | PA      | $53645.59     | 0.02%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133A4EP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191991 | PA      | $163897.44    | 0.06%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140XC7K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337014 | PA      | $288796.86    | 0.11%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384934 | PA      | $297953.43    | 0.11%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179RJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41447 | PA      | $38900.37     | 0.02%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138A9LB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113086 | PA      | $113236.58    | 0.04%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3136BML55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137736 | PA      | $135482.92    | 0.05%             | 2027-10-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179UCB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     60198 | PA      | $57739.03     | 0.02%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO LEASE TRUST                                                                                   | FORD CREDIT AUTO LEASE TRUST                       | CUSIP: 345279AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $151631.24    | 0.06%             | 2028-01-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133B2X95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369580 | PA      | $315247.37    | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179NBB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     85460 | PA      | $80174.14     | 0.03%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KLWQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    376472 | PA      | $304595.06    | 0.12%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418BL79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13376 | PA      | $13165.41     | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132D53Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10469 | PA      | $10197.48     | 0.00%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138WENA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53549 | PA      | $49030.30     | 0.02%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331911 | PA      | $325364.68    | 0.13%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 01F030413<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $144269.53    | 0.06%             | 2041-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132AEBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16922 | PA      | $16285.44     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5EB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44097 | PA      | $41721.10     | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323237 | PA      | $328476.74    | 0.13%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    193666 | PA      | $178363.61    | 0.07%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51627 | PA      | $43545.12     | 0.02%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3131XPUE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48208 | PA      | $47082.60     | 0.02%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                                                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36241KW53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7155 | PA      | $7375.68      | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3138YR5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61603 | PA      | $58283.91     | 0.02%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140JGUU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25722 | PA      | $24694.51     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3133KLS57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    334645 | PA      | $273209.98    | 0.11%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132CWA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       151 | PA      | $150.41       | 0.00%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140KNP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224755 | PA      | $204115.51    | 0.08%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 31427NWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    386858 | PA      | $395470.28    | 0.15%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3132JNFE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184353 | PA      | $171001.42    | 0.07%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DWCK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    281391 | PA      | $250913.96    | 0.10%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133KYS83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43400 | PA      | $39588.00     | 0.02%             | 2040-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WDR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    267073 | PA      | $230770.13    | 0.09%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132DV5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34115 | PA      | $30608.62     | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST                                                                            | TOYOTA AUTO RECEIVABLES 2024 A OWNER TRUST         | CUSIP: 89238DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $202986.29    | 0.08%             | 2029-04-16      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE CORPORATION           | CUSIP: 36179WNE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    634601 | PA      | $548179.95    | 0.21%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418AKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22434 | PA      | $22185.46     | 0.01%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3128M6YJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64149 | PA      | $65304.28     | 0.03%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2                                                                     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION           | CUSIP: 36179VHR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    111591 | PA      | $96835.52     | 0.04%             | 2050-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418C4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59566 | PA      | $55937.67     | 0.02%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORP                    | CUSIP: 3133AALF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    303963 | PA      | $248782.39    | 0.10%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 31418DLQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19458 | PA      | $18328.50     | 0.01%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                                                    | FEDERAL HOME LOAN MORTGAGE CORPORATION             | CUSIP: 3132A5J22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17665 | PA      | $17539.73     | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                                          | FEDERAL NATIONAL MORTGAGE ASSOCIATION              | CUSIP: 3140QLWS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334889 | PA      | $286642.16    | 0.11%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

**Name of Applicant:** HC Capital Trust

**Signature:** Colette Bergman

**Name of Signer:** Colette Bergman

**Title:** Treasurer