# EDGAR Filing Document

**Accession Number:** 0001533490
**File Stem:** 0001099263-26-000810
**Filing Date:** 2026-1
**Character Count:** 263598
**Document Hash:** 3791b4b04a2f9bbab552dcb7b416dea6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-000810.hdr.sgml**: 20260127

**ACCESSION NUMBER**: 0001099263-26-000810

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260127

**DATE AS OF CHANGE**: 20260127

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** T. Rowe Price Multi-Sector Account Portfolios, Inc.
- **CENTRAL INDEX KEY:** 0001533490

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0212

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22620
- **FILM NUMBER:** 26564997

**BUSINESS ADDRESS:**
- **STREET 1:** 1307 POINT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231
- **BUSINESS PHONE:** 410-345-2000

**MAIL ADDRESS:**
- **STREET 1:** 1307 POINT STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231

## Series and Classes Contracts Data

### T. Rowe Price Mortgage-Backed Securities Multi-Sector Account Portfolio (Series ID: S000036341)

| Class ID   | Class Name                                                              | Ticker Symbol   |
|:---|:---|:---|
| C000111140 | T. Rowe Price Mortgage-Backed Securities Multi-Sector Account Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** T. ROWE PRICE MULTI-SECTOR ACCOUNT PORTFOLIOS, INC.

- **b. Investment Company Act file number:** 811-22620

- **c. CIK number of Registrant:** 0001533490

- **d. LEI of Registrant:** 5493000IASNDXADJ9N08

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

  - **Street Address 1:** 1307 Point Street

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21231

  - **Telephone number:** 410-345-2000

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

- **a. Name of Series:** T. Rowe Price Mortgage-Backed Securities Multi-Sector Account Portfolio

- **b. EDGAR series identifier (if any):** S000036341

- **c. LEI of Series:** 5493009UPH0JED3QCE15

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2025-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $58212904.47

**Total Liabilities:** $13392395.80

**Net Assets:** $44820508.67

**Stand-by Commitments:** $12706777.44

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -0.194499 | **1-Year:** -1399.829672 | **5-Year:** -9460.546379 | **10-Year:** -13569.163584 | **30-Year:** -0.430730

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

- **3-Month:** 0.000000 | **1-Year:** 0.000000 | **5-Year:** 0.000000 | **10-Year:** 0.000000 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000111140 | 1.04%                | 0.91%                | 0.60%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $13199.91                | $219280.35                                 |
| Month 2  | $40842.74                | $136696.26                                 |
| Month 3  | $-3741.08                | $143552.53                                 |

**Designated Index Information**

- **Index Name:** Bloomberg US MBS Index Total Return Value Unhedged USD (Returns, Unhedged)

- **Index Identifier:** LUMSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA 15 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0224C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120000 | PA      | $113431.79    | 0.25%             | 2027-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0626C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488000 | PA      | $505521.83    | 1.13%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0324C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -106000 | PA      | $-103053.33   | -0.23%            | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230000 | PA      | $225135.43    | 0.50%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2598000 | PA      | $2113379.84   | 4.72%             | 2050-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0124C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48000 | PA      | $43247.48     | 0.10%             | 2035-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -196000 | PA      | $-191854.54   | -0.43%            | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -117000 | PA      | $-108206.95   | -0.24%            | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1318000 | PA      | $1121172.56   | 2.50%             | 2044-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0304C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107000 | PA      | $102948.99    | 0.23%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    895000 | PA      | $794773.50    | 1.77%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    844000 | PA      | $803771.32    | 1.79%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0204C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    629000 | PA      | $581366.09    | 1.30%             | 2027-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -221000 | PA      | $-210466.19   | -0.47%            | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0506C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    952000 | PA      | $949977.86    | 2.12%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0526C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60000 | PA      | $60756.36     | 0.14%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR TBA DEC                    | FANNIE MAE OR FREDDIE MAC                | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1037000 | PA      | $959065.04    | 2.14%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1392 | PA      | $1431.03      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419ADV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12330 | PA      | $12720.97     | 0.03%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140J8VP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88169 | PA      | $81858.65     | 0.18%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31403C6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2994 | PA      | $3124.31      | 0.01%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138A8YD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24623 | PA      | $24219.59     | 0.05%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31368HMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4244 | PA      | $4481.95      | 0.01%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138W9NY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50980 | PA      | $47328.73     | 0.11%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31403DBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2098 | PA      | $2157.54      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                             | FANNIE MAE POOL                          | CUSIP: 31417YUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5058 | PA      | $5043.61      | 0.01%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30565 | PA      | $27807.01     | 0.06%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9840 | PA      | $10138.27     | 0.02%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417DMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48819 | PA      | $45328.39     | 0.10%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4992 | PA      | $4859.85      | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140J5NB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22061 | PA      | $22093.45     | 0.05%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31412NBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4224 | PA      | $4454.19      | 0.01%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 31418DJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96875 | PA      | $94144.85     | 0.21%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419AL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2668 | PA      | $2817.28      | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31415VYC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       561 | PA      | $573.66       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410LS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29914 | PA      | $28621.49     | 0.06%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31376KL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       709 | PA      | $738.66       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138X53G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9353 | PA      | $8846.32      | 0.02%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140FLK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41437 | PA      | $37981.03     | 0.08%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QS4E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170693 | PA      | $175196.60    | 0.39%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402CV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2591 | PA      | $2633.66      | 0.01%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WPEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6637 | PA      | $6290.33      | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31371KWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1071 | PA      | $1140.54      | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417UEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3217 | PA      | $3256.34      | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7816 | PA      | $7834.24      | 0.02%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EHGP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14708 | PA      | $14847.56     | 0.03%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418AQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41944 | PA      | $40061.44     | 0.09%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 3138EK3V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1462 | PA      | $1450.62      | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                             | FANNIE MAE POOL                          | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158084 | PA      | $134460.71    | 0.30%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138YHU65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32411 | PA      | $30818.09     | 0.07%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138YR3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12846 | PA      | $12209.63     | 0.03%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140X6C66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18099 | PA      | $18646.55     | 0.04%             | 2045-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417ECK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42754 | PA      | $39697.35     | 0.09%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EG6X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       427 | PA      | $447.22       | 0.00%             | 2039-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138ETV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50541 | PA      | $46252.99     | 0.10%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 3140XFPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99423 | PA      | $91957.79     | 0.21%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402RSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1319 | PA      | $1355.94      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13563 | PA      | $13605.50     | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410GL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       754 | PA      | $790.19       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23936 | PA      | $22229.36     | 0.05%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1262812 | PA      | $1035045.27   | 2.31%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418C3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7860 | PA      | $7815.32      | 0.02%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EPW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5503 | PA      | $5811.68      | 0.01%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417F4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53187 | PA      | $49378.88     | 0.11%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140JACF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71342 | PA      | $66236.30     | 0.15%             | 2044-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140XNHW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214659 | PA      | $222477.80    | 0.50%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EPH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16171 | PA      | $16659.56     | 0.04%             | 2042-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31409ADV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       147 | PA      | $154.80       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138LXQH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26507 | PA      | $25350.35     | 0.06%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 3140X5ZM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83230 | PA      | $80824.79     | 0.18%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417D2G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7385 | PA      | $6856.39      | 0.02%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417GEQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5322 | PA      | $4940.45      | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418ELW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86079 | PA      | $84632.83     | 0.19%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EPW42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3347 | PA      | $3530.66      | 0.01%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418CGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6541 | PA      | $6183.37      | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140Y6W48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81482 | PA      | $84013.25     | 0.19%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402RJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5331 | PA      | $5414.99      | 0.01%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QCXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26167 | PA      | $25892.68     | 0.06%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138A46Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18921 | PA      | $18608.88     | 0.04%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EHVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7602 | PA      | $7676.88      | 0.02%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418CZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65649 | PA      | $65379.44     | 0.15%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418FNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78929 | PA      | $79943.54     | 0.18%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138A5BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3830 | PA      | $3765.80      | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140JAMK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41798 | PA      | $41599.23     | 0.09%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31403DUL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       377 | PA      | $393.46       | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44933 | PA      | $42302.61     | 0.09%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402CVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2673 | PA      | $2717.40      | 0.01%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410GBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       794 | PA      | $837.97       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56208 | PA      | $56385.20     | 0.13%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81721 | PA      | $70223.93     | 0.16%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11057 | PA      | $10877.50     | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419ANJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       976 | PA      | $1016.34      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6590 | PA      | $6414.14      | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402Q2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12026 | PA      | $12359.48     | 0.03%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256161 | PA      | $260308.84    | 0.58%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140J7MP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3204 | PA      | $3031.77      | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31368HL35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2959 | PA      | $3042.68      | 0.01%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WQAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45572 | PA      | $42309.10     | 0.09%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418MKZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4920 | PA      | $5056.68      | 0.01%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417KXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1985 | PA      | $2009.61      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                             | FANNIE MAE POOL                          | CUSIP: 31418CVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41600 | PA      | $39554.32     | 0.09%             | 2038-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31416BRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4219 | PA      | $4455.38      | 0.01%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7470 | PA      | $7888.90      | 0.02%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8890 | PA      | $8980.25      | 0.02%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WNXA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25568 | PA      | $23736.94     | 0.05%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       887 | PA      | $897.90       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140MMT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129519 | PA      | $110413.24    | 0.25%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418MG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11137 | PA      | $11753.29     | 0.03%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51442 | PA      | $49730.77     | 0.11%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140XHXF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93383 | PA      | $80631.71     | 0.18%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EJK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23101 | PA      | $22720.38     | 0.05%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402DGY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8991 | PA      | $9255.67      | 0.02%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418CJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2478 | PA      | $2407.12      | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140XKXM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53164 | PA      | $45684.40     | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 31418CMY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29983 | PA      | $29711.02     | 0.07%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                             | FANNIE MAE POOL                          | CUSIP: 31371KKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1345 | PA      | $1419.02      | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QS3D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121412 | PA      | $122366.10    | 0.27%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EJL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19176 | PA      | $19347.60     | 0.04%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31407HTD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       137 | PA      | $144.67       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EHWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2749 | PA      | $2703.95      | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9222 | PA      | $8805.05      | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 31410LRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7001 | PA      | $6881.16      | 0.02%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140Y67K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42820 | PA      | $44556.15     | 0.10%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48095 | PA      | $47898.22     | 0.11%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418BXZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30179 | PA      | $28627.63     | 0.06%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140Y6ZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49280 | PA      | $51252.87     | 0.11%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418Q3R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28622 | PA      | $29488.66     | 0.07%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QEAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154065 | PA      | $137206.86    | 0.31%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EJRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5720 | PA      | $5770.97      | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 3140F5BM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12595 | PA      | $12186.79     | 0.03%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4729 | PA      | $4980.33      | 0.01%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31368HM42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       370 | PA      | $385.77       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QUNX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267270 | PA      | $278136.51    | 0.62%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8394 | PA      | $8474.90      | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419LZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25333 | PA      | $24910.74     | 0.06%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31403DDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3867 | PA      | $4024.24      | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410G2F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1394 | PA      | $1453.07      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                             | FANNIE MAE POOL                          | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4054 | PA      | $4266.04      | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EHFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8467 | PA      | $8339.83      | 0.02%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19484 | PA      | $18665.55     | 0.04%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EGCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20414 | PA      | $20612.24     | 0.05%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140XPDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25974 | PA      | $25968.02     | 0.06%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EGTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14994 | PA      | $15447.66     | 0.03%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140XLVH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5873 | PA      | $5968.87      | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140J9YQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18300 | PA      | $17478.95     | 0.04%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138LTJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24619 | PA      | $23666.71     | 0.05%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 31418EDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284455 | PA      | $262915.95    | 0.59%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QVAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219842 | PA      | $227035.08    | 0.51%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EMYW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1597 | PA      | $1623.75      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138ENJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11915 | PA      | $11936.39     | 0.03%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31416BL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11076 | PA      | $11696.13     | 0.03%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WGJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11490 | PA      | $10913.88     | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418CHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23222 | PA      | $21906.50     | 0.05%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EJRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2174 | PA      | $2194.60      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 3138AW5A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       267 | PA      | $265.37       | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WJNB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98509 | PA      | $90475.01     | 0.20%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418BT55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5690 | PA      | $5532.16      | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31403DE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       164 | PA      | $172.82       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410F5C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1904 | PA      | $1958.31      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1708 | PA      | $1754.85      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418BW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19623 | PA      | $18655.45     | 0.04%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138A4XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26359 | PA      | $25927.29     | 0.06%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5933 | PA      | $6197.45      | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140XKZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167344 | PA      | $171588.81    | 0.38%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419AVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5579 | PA      | $5490.23      | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410LQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5709 | PA      | $5881.25      | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31416XY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7418 | PA      | $7491.72      | 0.02%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4253 | PA      | $4386.42      | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402RUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2049 | PA      | $2138.31      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31408F7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       219 | PA      | $229.02       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138YR5G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42571 | PA      | $41394.93     | 0.09%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419AQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1698 | PA      | $1673.18      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WPGW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16513 | PA      | $15330.34     | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417VPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       264 | PA      | $271.86       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140X6S36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49107 | PA      | $45912.58     | 0.10%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 3140XPJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202188 | PA      | $186945.76    | 0.42%             | 2038-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6843 | PA      | $6957.87      | 0.02%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402CVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17516 | PA      | $17807.36     | 0.04%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WDT27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51752 | PA      | $50365.53     | 0.11%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417DF99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17066 | PA      | $15848.99     | 0.04%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QTEF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197030 | PA      | $202027.78    | 0.45%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20780 | PA      | $21023.91     | 0.05%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QWBA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274929 | PA      | $279982.60    | 0.62%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138MFSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4356 | PA      | $4046.80      | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3040 | PA      | $3210.76      | 0.01%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                             | FANNIE MAE POOL                          | CUSIP: 3138ERNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16358 | PA      | $15457.12     | 0.03%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 3138YTK86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11560 | PA      | $11350.92     | 0.03%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 31418ECE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59111 | PA      | $55919.99     | 0.12%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31416CJ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10047 | PA      | $10609.61     | 0.02%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410LF64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9403 | PA      | $9883.05      | 0.02%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9131 | PA      | $9412.36      | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418C4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29045 | PA      | $28113.65     | 0.06%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8295 | PA      | $8546.22      | 0.02%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12207 | PA      | $12951.31     | 0.03%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QDU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59559 | PA      | $53445.32     | 0.12%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5322 | PA      | $5416.89      | 0.01%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31368HML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2461 | PA      | $2567.72      | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2834 | PA      | $2733.31      | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410KAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3012 | PA      | $3058.61      | 0.01%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       735 | PA      | $748.00       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61350 | PA      | $60000.66     | 0.13%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EKUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13266 | PA      | $12668.01     | 0.03%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410KSS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2808 | PA      | $2843.95      | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QUHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259243 | PA      | $263385.76    | 0.59%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2150 | PA      | $2270.30      | 0.01%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410K3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20185 | PA      | $21228.90     | 0.05%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31412NFD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6750 | PA      | $7128.29      | 0.02%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31416BLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4946 | PA      | $5161.25      | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164649 | PA      | $148461.08    | 0.33%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31406S4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       265 | PA      | $275.99       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37488 | PA      | $35805.27     | 0.08%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140X7MW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16578 | PA      | $15536.17     | 0.03%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410LMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3962 | PA      | $3678.11      | 0.01%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EMKX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9187 | PA      | $9465.35      | 0.02%             | 2042-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42928 | PA      | $39035.37     | 0.09%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31403DBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       714 | PA      | $745.60       | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       567 | PA      | $591.93       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73711 | PA      | $71784.59     | 0.16%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QT2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172232 | PA      | $176396.81    | 0.39%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410GBE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       809 | PA      | $844.73       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WEXL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66220 | PA      | $62924.71     | 0.14%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WJ5G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36389 | PA      | $34400.00     | 0.08%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140HJJP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42934 | PA      | $43770.54     | 0.10%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140F5TN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58668 | PA      | $53774.06     | 0.12%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 3138WEAK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2007 | PA      | $1975.56      | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6748 | PA      | $6952.07      | 0.02%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419ATF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       573 | PA      | $597.65       | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3189 | PA      | $3238.55      | 0.01%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EKF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6518 | PA      | $6587.86      | 0.01%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56255 | PA      | $50125.96     | 0.11%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 3140XK6P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247092 | PA      | $234179.46    | 0.52%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402731 | PA      | $347239.58    | 0.77%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3241 | PA      | $3295.18      | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                              | FANNIE MAE POOL                          | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       786 | PA      | $803.28       | 0.00%             | 2037-11-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WEXD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39334 | PA      | $37405.83     | 0.08%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417GP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2527 | PA      | $2345.74      | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140JAP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221010 | PA      | $211234.84    | 0.47%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1194 | PA      | $1240.04      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EKLE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7023 | PA      | $6707.55      | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140Y6U57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249951 | PA      | $259504.64    | 0.58%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31416XJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2104 | PA      | $2068.57      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31368HMQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       829 | PA      | $864.73       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       539 | PA      | $529.92       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QANY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37561 | PA      | $38366.68     | 0.09%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31416BXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1520 | PA      | $1586.69      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419AXG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5814 | PA      | $5900.70      | 0.01%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140JACE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58960 | PA      | $54740.30     | 0.12%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140Q9DE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81358 | PA      | $81058.37     | 0.18%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       463 | PA      | $470.55       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QMHX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7044 | PA      | $6123.55      | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138Y3X71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8106 | PA      | $7891.73      | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EG3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16566 | PA      | $16289.41     | 0.04%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418MPU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3971 | PA      | $4193.60      | 0.01%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418MSR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1510 | PA      | $1571.83      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95707 | PA      | $95900.11     | 0.21%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417YJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12273 | PA      | $12644.22     | 0.03%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140XGYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99357 | PA      | $82675.69     | 0.18%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419FFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27013 | PA      | $26568.26     | 0.06%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419ADC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9342 | PA      | $9748.71      | 0.02%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410FYE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5116 | PA      | $5338.82      | 0.01%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1511 | PA      | $1538.33      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1075 | PA      | $1121.52      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EHPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1469 | PA      | $1471.07      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410FZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       369 | PA      | $389.98       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WZWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10955 | PA      | $10449.34     | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11141 | PA      | $9576.45      | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140X4TB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80322 | PA      | $73496.06     | 0.16%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48618 | PA      | $47816.90     | 0.11%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410KJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       244 | PA      | $254.93       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419A3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9497 | PA      | $10029.27     | 0.02%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25946 | PA      | $24008.57     | 0.05%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                             | FANNIE MAE POOL                          | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224952 | PA      | $197409.81    | 0.44%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30YR                             | FANNIE MAE POOL                          | CUSIP: 3140FXGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127251 | PA      | $126595.50    | 0.28%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WPG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58130 | PA      | $53966.89     | 0.12%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417CNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31930 | PA      | $30537.06     | 0.07%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140W3RE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365508 | PA      | $379136.24    | 0.85%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QMSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511971 | PA      | $441162.14    | 0.98%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30654 | PA      | $29265.91     | 0.07%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7962 | PA      | $7831.95      | 0.02%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27184 | PA      | $23294.89     | 0.05%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417F4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22812 | PA      | $21110.81     | 0.05%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140XHHT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367998 | PA      | $301483.89    | 0.67%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417DQW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40082 | PA      | $37223.99     | 0.08%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418TUV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1171 | PA      | $1206.23      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 31418D3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96850 | PA      | $91702.95     | 0.20%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418MZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5532 | PA      | $5770.50      | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WFRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2948 | PA      | $2850.43      | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3269 | PA      | $3451.89      | 0.01%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417YTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14834 | PA      | $14992.63     | 0.03%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QCKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246526 | PA      | $222067.25    | 0.50%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                              | FANNIE MAE POOL                          | CUSIP: 31408DVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       511 | PA      | $515.85       | 0.00%             | 2035-12-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140BE7L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15511 | PA      | $16198.65     | 0.04%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EJ4B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7805 | PA      | $8242.80      | 0.02%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417GH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33606 | PA      | $31199.12     | 0.07%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417GTZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2563 | PA      | $2446.89      | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138A2GV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15414 | PA      | $15093.79     | 0.03%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418MLL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1617 | PA      | $1642.53      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418EM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183191 | PA      | $188806.80    | 0.42%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410FVY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       710 | PA      | $740.66       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58613 | PA      | $50331.74     | 0.11%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EJXT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3339 | PA      | $3280.76      | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410YWF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       327 | PA      | $340.94       | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410GFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2453 | PA      | $2559.98      | 0.01%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417YTT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16640 | PA      | $16379.49     | 0.04%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140MHSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    863875 | PA      | $739476.20    | 1.65%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65366 | PA      | $67224.09     | 0.15%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402RRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130087 | PA      | $133799.29    | 0.30%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410GA78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1074 | PA      | $1087.47      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31416VKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12146 | PA      | $12826.68     | 0.03%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138LTJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51128 | PA      | $50232.97     | 0.11%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2927 | PA      | $3054.91      | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1654 | PA      | $1746.39      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140XC5X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31427 | PA      | $31992.10     | 0.07%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4331 | PA      | $4260.29      | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WGDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21856 | PA      | $20732.56     | 0.05%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30289 | PA      | $30126.26     | 0.07%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QUM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19344 | PA      | $19811.88     | 0.04%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419AA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14645 | PA      | $15465.62     | 0.03%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140X9KW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131680 | PA      | $132889.60    | 0.30%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55516 | PA      | $53977.25     | 0.12%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WEHR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33377 | PA      | $31716.09     | 0.07%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138ETGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14643 | PA      | $13975.17     | 0.03%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419ADK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2655 | PA      | $2770.67      | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37045 | PA      | $38166.42     | 0.09%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108290 | PA      | $90023.27     | 0.20%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32752 | PA      | $31129.53     | 0.07%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31416BM47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7355 | PA      | $7514.91      | 0.02%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31415QP91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3445 | PA      | $3595.12      | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419AN52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3908 | PA      | $3948.71      | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7752 | PA      | $7976.38      | 0.02%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WJPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68578 | PA      | $64778.80     | 0.14%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138W9C32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4591 | PA      | $4380.79      | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA ARM                              | FANNIE MAE POOL                          | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1067 | PA      | $1095.32      | 0.00%             | 2036-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    987865 | PA      | $809950.53    | 1.81%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138ERDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39109 | PA      | $39263.03     | 0.09%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140J95S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44695 | PA      | $42690.37     | 0.10%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418AAH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3202 | PA      | $3145.49      | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                             | FANNIE MAE POOL                          | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102354 | PA      | $89885.69     | 0.20%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140W0BS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10304 | PA      | $10564.60     | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QTLD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149388 | PA      | $155172.10    | 0.35%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 3138WEFP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2578 | PA      | $2535.51      | 0.01%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246544 | PA      | $235480.82    | 0.53%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31408F7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       188 | PA      | $195.90       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410GWM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9125 | PA      | $9635.91      | 0.02%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 31418CJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29826 | PA      | $29561.87     | 0.07%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140J7QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43677 | PA      | $43524.53     | 0.10%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EGNK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15502 | PA      | $15651.87     | 0.03%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31403DGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1707 | PA      | $1801.28      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                             | FANNIE MAE POOL                          | CUSIP: 31418CQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66307 | PA      | $62773.99     | 0.14%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QUD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119743 | PA      | $124659.28    | 0.28%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138YWJZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1072 | PA      | $1041.79      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418EZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100824 | PA      | $103374.52    | 0.23%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417CGY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23687 | PA      | $22653.12     | 0.05%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31411ETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       222 | PA      | $232.90       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6997 | PA      | $6795.21      | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138WEKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1506 | PA      | $1432.10      | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31368HMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1645 | PA      | $1690.92      | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418MG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12698 | PA      | $13224.84     | 0.03%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2055 | PA      | $2076.35      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140J7UD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125828 | PA      | $131200.81    | 0.29%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140NLSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105090 | PA      | $105315.95    | 0.23%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140285 | PA      | $120330.44    | 0.27%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402QYZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5328 | PA      | $5546.66      | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 31418ECD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86663 | PA      | $80102.00     | 0.18%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417CGZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14360 | PA      | $13733.37     | 0.03%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138X0Y36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9689 | PA      | $8994.97      | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QCLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10029 | PA      | $9694.99      | 0.02%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31418MZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2142 | PA      | $2174.58      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6062 | PA      | $6402.21      | 0.01%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8711 | PA      | $8861.90      | 0.02%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31411ARB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       674 | PA      | $708.09       | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140W3PV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184705 | PA      | $187770.13    | 0.42%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FANNIE MAE POOL                          | CUSIP: 3140XCV21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157486 | PA      | $146253.33    | 0.33%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138LUTV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13544 | PA      | $12952.81     | 0.03%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402RR92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2396 | PA      | $2500.60      | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140A94B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185776 | PA      | $188643.62    | 0.42%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140APFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58099 | PA      | $60178.59     | 0.13%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       720 | PA      | $729.05       | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140XH2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146744 | PA      | $127631.59    | 0.28%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140W3GH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329408 | PA      | $335154.03    | 0.75%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31417LA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7462 | PA      | $7555.73      | 0.02%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140XJQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122455 | PA      | $109895.24    | 0.25%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31410GJ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       747 | PA      | $779.47       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4952 | PA      | $5167.20      | 0.01%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138ELX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4389 | PA      | $4634.69      | 0.01%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QEYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271094 | PA      | $236327.70    | 0.53%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138EJ7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24430 | PA      | $24113.26     | 0.05%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12452 | PA      | $12673.10     | 0.03%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 31412P2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       651 | PA      | $659.41       | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3140QNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419631 | PA      | $347602.46    | 0.78%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FANNIE MAE POOL                          | CUSIP: 3138MQX99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45013 | PA      | $42993.14     | 0.10%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M6QE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1215 | PA      | $1284.21      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M6VF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6743 | PA      | $7024.79      | 0.02%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128FWAJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       835 | PA      | $840.66       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M7UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3354 | PA      | $3399.62      | 0.01%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312938K51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2924 | PA      | $2963.84      | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 31296QQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       590 | PA      | $595.93       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312942WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       305 | PA      | $300.06       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M4QG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18994 | PA      | $19795.67     | 0.04%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312936NA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9872 | PA      | $10007.02     | 0.02%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128MJCE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11215 | PA      | $11716.30     | 0.03%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M5M56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3423 | PA      | $3575.69      | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M9LU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34091 | PA      | $31711.19     | 0.07%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128MJQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25372 | PA      | $24402.97     | 0.05%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M8A95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2696 | PA      | $2809.58      | 0.01%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3132HMK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41689 | PA      | $39916.27     | 0.09%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M7TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23888 | PA      | $24215.80     | 0.05%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12526 | PA      | $12335.54     | 0.03%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312945ZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22930 | PA      | $22580.40     | 0.05%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 31292SAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3121 | PA      | $2983.02      | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M4GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2650 | PA      | $2792.21      | 0.01%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M74T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1833 | PA      | $1901.84      | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12172 | PA      | $12401.36     | 0.03%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M8HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3789 | PA      | $3731.91      | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLM GOLD                             | FREDDIE MAC GOLD POOL                    | CUSIP: 3132GEUJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21612 | PA      | $21716.21     | 0.05%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M9LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43123 | PA      | $40080.90     | 0.09%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312943CM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       164 | PA      | $161.88       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M4B77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       630 | PA      | $664.06       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26751 | PA      | $27592.24     | 0.06%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M8XW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17164 | PA      | $17703.78     | 0.04%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312942UJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       474 | PA      | $459.30       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M6M88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       672 | PA      | $708.64       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128MJFJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1981 | PA      | $2094.51      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M9ZN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7150 | PA      | $7225.14      | 0.02%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312944LP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1119 | PA      | $1096.59      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLM GOLD                             | FREDDIE MAC GOLD POOL                    | CUSIP: 3132L5A29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43225 | PA      | $40175.63     | 0.09%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312941SV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2357 | PA      | $2325.46      | 0.01%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128LXAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7633 | PA      | $7964.42      | 0.02%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M7BK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8530 | PA      | $8903.97      | 0.02%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC 15YR GOLD                       | FREDDIE MAC GOLD POOL                    | CUSIP: 3128MDGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2282 | PA      | $2263.18      | 0.01%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC 15YR GOLD                       | FREDDIE MAC GOLD POOL                    | CUSIP: 3128MEE49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23837 | PA      | $23257.35     | 0.05%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M75X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       748 | PA      | $756.75       | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312942NF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5491 | PA      | $5421.93      | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128LXBX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4209 | PA      | $4386.77      | 0.01%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 31292SAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4932 | PA      | $4721.80      | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 31292LV77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28624 | PA      | $27406.79     | 0.06%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312944TS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10443 | PA      | $10285.22     | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31169 | PA      | $29798.84     | 0.07%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18634 | PA      | $18889.55     | 0.04%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128MJQX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35416 | PA      | $34136.00     | 0.08%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       163 | PA      | $167.60       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312938BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2962 | PA      | $2990.73      | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 31335ALP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19599 | PA      | $19819.80     | 0.04%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28692 | PA      | $28275.26     | 0.06%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M8R30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       110 | PA      | $108.65       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2737 | PA      | $2823.47      | 0.01%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       605 | PA      | $612.08       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312945ZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34734 | PA      | $34193.55     | 0.08%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M76Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1522 | PA      | $1584.17      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 31292KYV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6780 | PA      | $7202.18      | 0.02%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312943GW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57022 | PA      | $56153.09     | 0.13%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M8R48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2676 | PA      | $2635.23      | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8399 | PA      | $8025.74      | 0.02%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 31296TKN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1118 | PA      | $1144.79      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC 15YR GOLD                       | FREDDIE MAC GOLD POOL                    | CUSIP: 3128MMPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1195 | PA      | $1185.55      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M75Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9049 | PA      | $9333.61      | 0.02%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312944AG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3569 | PA      | $3522.03      | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128MJEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3412 | PA      | $3587.87      | 0.01%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 31292SBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26863 | PA      | $25659.23     | 0.06%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128MJAN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       905 | PA      | $947.73       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 31335AFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7046 | PA      | $7132.14      | 0.02%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14289 | PA      | $14482.02     | 0.03%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLM GOLD                             | FREDDIE MAC GOLD POOL                    | CUSIP: 3132GK2F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8939 | PA      | $8754.84      | 0.02%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312940AM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2149 | PA      | $2216.91      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1588 | PA      | $1606.19      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312944PJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38924 | PA      | $38331.11     | 0.09%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7965 | PA      | $8214.94      | 0.02%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 31292SBK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5874 | PA      | $5610.41      | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M6XU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1244 | PA      | $1299.36      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 312933NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3114 | PA      | $3156.32      | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128LXKW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2274 | PA      | $2403.64      | 0.01%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC GOLD                            | FREDDIE MAC GOLD POOL                    | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16322 | PA      | $16518.75     | 0.04%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC 15YR GOLD                       | FREDDIE MAC GOLD POOL                    | CUSIP: 3128MDGE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1557 | PA      | $1545.13      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                             | FREDDIE MAC NON GOLD POOL                | CUSIP: 3128LUHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       226 | PA      | $231.77       | 0.00%             | 2037-02-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                             | FREDDIE MAC NON GOLD POOL                | CUSIP: 3128QJQE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       346 | PA      | $355.76       | 0.00%             | 2036-12-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                             | FREDDIE MAC NON GOLD POOL                | CUSIP: 3128NGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        77 | PA      | $78.99        | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG 30YR ARM            | FREDDIE MAC NON GOLD POOL                | CUSIP: 3128NGAT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3486 | PA      | $3578.62      | 0.01%             | 2034-11-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                             | FREDDIE MAC NON GOLD POOL                | CUSIP: 3128QJ2R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       739 | PA      | $758.05       | 0.00%             | 2037-04-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                             | FREDDIE MAC NON GOLD POOL                | CUSIP: 3128S4LX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       999 | PA      | $1026.81      | 0.00%             | 2037-06-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                             | FREDDIE MAC NON GOLD POOL                | CUSIP: 3128QLRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       343 | PA      | $355.07       | 0.00%             | 2036-01-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                             | FREDDIE MAC NON GOLD POOL                | CUSIP: 3128JNNV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       368 | PA      | $375.50       | 0.00%             | 2037-01-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                             | FREDDIE MAC NON GOLD POOL                | CUSIP: 3128S4GD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       304 | PA      | $314.45       | 0.00%             | 2037-02-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| FHLMC ARM                             | FREDDIE MAC NON GOLD POOL                | CUSIP: 3128QJPK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       612 | PA      | $630.20       | 0.00%             | 2036-11-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    712318 | PA      | $615213.77    | 1.37%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DTFE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232757 | PA      | $238385.51    | 0.53%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DQFN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237428 | PA      | $214130.03    | 0.48%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DV4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105716 | PA      | $102130.34    | 0.23%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 31426PDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118028 | PA      | $121078.17    | 0.27%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DULT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26873 | PA      | $27388.69     | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1158074 | PA      | $947721.54    | 2.11%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 31426LK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29422 | PA      | $30209.64     | 0.07%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188416 | PA      | $189244.06    | 0.42%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DTAW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    621032 | PA      | $532365.27    | 1.19%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150894 | PA      | $148374.51    | 0.33%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335848 | PA      | $343886.72    | 0.77%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DWEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102158 | PA      | $87341.00     | 0.19%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 31425VMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109052 | PA      | $112662.18    | 0.25%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FREDDIE MAC POOL                         | CUSIP: 3132D6B66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42292 | PA      | $39089.62     | 0.09%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DTLM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88411 | PA      | $89105.38     | 0.20%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 31427NRC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44130 | PA      | $45816.79     | 0.10%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3133AQFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164148 | PA      | $140612.81    | 0.31%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179363 | PA      | $154043.12    | 0.34%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FREDDIE MAC POOL                         | CUSIP: 3132D6CX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27947 | PA      | $27961.84     | 0.06%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3133CVU85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33948 | PA      | $34386.47     | 0.08%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3142GVGD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    512513 | PA      | $526219.82    | 1.17%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FREDDIE MAC POOL                         | CUSIP: 3132D6CG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45054 | PA      | $44446.08     | 0.10%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3133CTLV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140888 | PA      | $143314.92    | 0.32%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10507 | PA      | $10535.28     | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                             | FREDDIE MAC POOL                         | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105009 | PA      | $92151.68     | 0.21%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    709469 | PA      | $581843.48    | 1.30%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3133WDQU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64586 | PA      | $65558.93     | 0.15%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FREDDIE MAC POOL                         | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51121 | PA      | $50196.08     | 0.11%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DWHD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88369 | PA      | $86829.32     | 0.19%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3133KQGP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168426 | PA      | $175572.06    | 0.39%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DUCT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85722 | PA      | $85682.52     | 0.19%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DUJN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31435 | PA      | $32194.90     | 0.07%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DNXE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163064 | PA      | $156229.47    | 0.35%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3142GUKU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132115 | PA      | $135913.92    | 0.30%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3142GSFR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194237 | PA      | $200325.17    | 0.45%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3133KLZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217064 | PA      | $177844.01    | 0.40%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                             | FREDDIE MAC POOL                         | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158232 | PA      | $142771.48    | 0.32%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 31427PXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40923 | PA      | $42611.38     | 0.10%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3142GVJY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343702 | PA      | $350233.54    | 0.78%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132ACYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187477 | PA      | $190190.89    | 0.42%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132ACS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29108 | PA      | $27439.64     | 0.06%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DM2R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    603178 | PA      | $497913.99    | 1.11%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3132DQ6R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121137 | PA      | $100045.25    | 0.22%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FREDDIE MAC POOL                         | CUSIP: 3132CW6E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42087 | PA      | $38187.68     | 0.09%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 3133CFT66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25181 | PA      | $25580.06     | 0.06%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 15YR                             | FREDDIE MAC POOL                         | CUSIP: 3132D6AU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104035 | PA      | $96417.61     | 0.22%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA 20YR                             | FREDDIE MAC POOL                         | CUSIP: 3132D9T38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53028 | PA      | $51324.39     | 0.11%             | 2038-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 31427QJ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174440 | PA      | $174765.23    | 0.39%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 31427CYW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132572 | PA      | $134419.83    | 0.30%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA 30 YR                            | FREDDIE MAC POOL                         | CUSIP: 31426JF53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110981 | PA      | $114306.71    | 0.26%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 5086 MI                           | FREDDIE MAC REMICS                       | CUSIP: 3137FFHC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    994099 | PA      | $156962.03    | 0.35%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 5293 CI                           | FREDDIE MAC REMICS                       | CUSIP: 3137H9QF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1235840 | PA      | $191088.11    | 0.43%             | 2051-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 3418 DF                           | FREDDIE MAC REMICS                       | CUSIP: 31397R7F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9427 | PA      | $9815.01      | 0.02%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHR 4142 QI                           | FREDDIE MAC REMICS                       | CUSIP: 3137AX6D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51293 | PA      | $1761.95      | 0.00%             | 2032-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHS 405 C27                           | FREDDIE MAC STRIPS                       | CUSIP: 3142G5QN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    718934 | PA      | $93593.00     | 0.21%             | 2052-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHS 379 C1                            | FREDDIE MAC STRIPS                       | CUSIP: 3142FRPN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1191221 | PA      | $118977.15    | 0.27%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                       | GINNIE MAE                               | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37000 | PA      | $33376.87     | 0.07%             | 2042-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                       | GINNIE MAE                               | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181000 | PA      | $165904.88    | 0.37%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                       | GINNIE MAE                               | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    905000 | PA      | $913939.27    | 2.04%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                       | GINNIE MAE                               | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    640000 | PA      | $625862.50    | 1.40%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                       | GINNIE MAE                               | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420000 | PA      | $419494.95    | 0.94%             | 2033-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                       | GINNIE MAE                               | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    562000 | PA      | $487643.62    | 1.09%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                       | GINNIE MAE                               | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161000 | PA      | $134011.63    | 0.30%             | 2050-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                       | GINNIE MAE                               | CUSIP: 21H0406C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71000 | PA      | $67307.75     | 0.15%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II TBA DEC                       | GINNIE MAE                               | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155000 | PA      | $157976.04    | 0.35%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                       | GINNIE MAE I POOL                        | CUSIP: 3622A2QW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20892 | PA      | $21484.86     | 0.05%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                            | GINNIE MAE I POOL                        | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16141 | PA      | $16574.92     | 0.04%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                            | GINNIE MAE I POOL                        | CUSIP: 36296JNX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17151 | PA      | $17194.89     | 0.04%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                            | GINNIE MAE I POOL                        | CUSIP: 36181BV56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1252 | PA      | $1176.54      | 0.00%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                            | GINNIE MAE I POOL                        | CUSIP: 36297FYY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9233 | PA      | $9466.79      | 0.02%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                       | GINNIE MAE I POOL                        | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46082 | PA      | $43368.32     | 0.10%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                            | GINNIE MAE I POOL                        | CUSIP: 36176W7E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14439 | PA      | $13619.85     | 0.03%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                       | GINNIE MAE I POOL                        | CUSIP: 36241LF50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14647 | PA      | $15080.19     | 0.03%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                       | GINNIE MAE I POOL                        | CUSIP: 36241LF68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14647 | PA      | $15080.19     | 0.03%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                       | GINNIE MAE I POOL                        | CUSIP: 3622A2N81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7546 | PA      | $6961.43      | 0.02%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                            | GINNIE MAE I POOL                        | CUSIP: 36179DEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2875 | PA      | $2692.27      | 0.01%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                            | GINNIE MAE I POOL                        | CUSIP: 36295QLQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7936 | PA      | $7970.65      | 0.02%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                       | GINNIE MAE I POOL                        | CUSIP: 3622A2MV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11820 | PA      | $12172.08     | 0.03%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                            | GINNIE MAE I POOL                        | CUSIP: 36180CYU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3537 | PA      | $3311.49      | 0.01%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                       | GINNIE MAE I POOL                        | CUSIP: 3622A2QJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6491 | PA      | $6493.94      | 0.01%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR PLAT                       | GINNIE MAE I POOL                        | CUSIP: 36241L5Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1032 | PA      | $1085.00      | 0.00%             | 2036-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                            | GINNIE MAE I POOL                        | CUSIP: 36178EDG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34811 | PA      | $32112.92     | 0.07%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    548699 | PA      | $476594.50    | 1.06%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    756481 | PA      | $656800.61    | 1.47%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FEK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8484 | PA      | $8790.39      | 0.02%             | 2040-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289601 | PA      | $251439.10    | 0.56%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179NX60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6216 | PA      | $6046.96      | 0.01%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 3617A9KW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5676 | PA      | $5276.31      | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2233 | PA      | $2258.27      | 0.01%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202EFP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13201 | PA      | $13676.53     | 0.03%             | 2035-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179QBG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9498 | PA      | $9217.61      | 0.02%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1249 | PA      | $1286.08      | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158034 | PA      | $151116.65    | 0.34%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 3617LKBE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11696 | PA      | $10900.16     | 0.02%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202ELL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7249 | PA      | $7619.62      | 0.02%             | 2036-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106657 | PA      | $101391.18    | 0.23%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5586 | PA      | $5397.94      | 0.01%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202ETA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9231 | PA      | $9716.97      | 0.02%             | 2038-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179VKQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20601 | PA      | $20965.80     | 0.05%             | 2050-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36183EZE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9738 | PA      | $9124.95      | 0.02%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 3617MEFL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17303 | PA      | $16074.11     | 0.04%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38047 | PA      | $40852.15     | 0.09%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 3622A2D74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18181 | PA      | $16787.79     | 0.04%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7438 | PA      | $7688.73      | 0.02%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                            | GINNIE MAE II POOL                       | CUSIP: 36202D3W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3483 | PA      | $3523.57      | 0.01%             | 2034-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FB39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       845 | PA      | $854.48       | 0.00%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16515 | PA      | $17009.78     | 0.04%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57759 | PA      | $58385.46     | 0.13%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    587877 | PA      | $489546.82    | 1.09%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59247 | PA      | $54285.53     | 0.12%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36178DZN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74413 | PA      | $69238.48     | 0.15%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FTK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42576 | PA      | $41543.87     | 0.09%             | 2041-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202DXS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       909 | PA      | $918.74       | 0.00%             | 2033-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202EDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4242 | PA      | $4343.93      | 0.01%             | 2035-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FFT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4150 | PA      | $4195.97      | 0.01%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA 30 YR                            | GINNIE MAE II POOL                       | CUSIP: 36202D3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11483 | PA      | $11871.05     | 0.03%             | 2034-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 3622A3BS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79569 | PA      | $75988.90     | 0.17%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       935 | PA      | $963.28       | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179WSZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41937 | PA      | $38106.71     | 0.09%             | 2036-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202D2V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       443 | PA      | $453.61       | 0.00%             | 2033-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16942 | PA      | $16953.02     | 0.04%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202EBU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       688 | PA      | $705.88       | 0.00%             | 2034-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243410 | PA      | $219684.20    | 0.49%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105175 | PA      | $99668.34     | 0.22%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179MNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3510 | PA      | $3424.55      | 0.01%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172399 | PA      | $153679.53    | 0.34%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 3617GSFC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22366 | PA      | $21882.72     | 0.05%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202D6E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4342 | PA      | $4492.85      | 0.01%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1318 | PA      | $1285.72      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202E7G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3791 | PA      | $3833.73      | 0.01%             | 2039-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FEG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5981 | PA      | $5856.13      | 0.01%             | 2040-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160681 | PA      | $133798.61    | 0.30%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 3622A2TA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87233 | PA      | $80516.73     | 0.18%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202EE96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17201 | PA      | $17820.72     | 0.04%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36189MBR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9408 | PA      | $8687.87      | 0.02%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202DZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       304 | PA      | $307.73       | 0.00%             | 2033-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10748 | PA      | $10861.16     | 0.02%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202DVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1088 | PA      | $1113.21      | 0.00%             | 2033-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202EE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9405 | PA      | $9634.43      | 0.02%             | 2035-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20049 | PA      | $20502.70     | 0.05%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6486 | PA      | $6558.03      | 0.01%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 3617MEDS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19660 | PA      | $18312.53     | 0.04%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52750 | PA      | $48358.89     | 0.11%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48717 | PA      | $46342.30     | 0.10%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3235 | PA      | $3336.58      | 0.01%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3708 | PA      | $3706.50      | 0.01%             | 2047-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41873 | PA      | $43051.93     | 0.10%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202DYL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16082 | PA      | $16505.80     | 0.04%             | 2033-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179XFL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177601 | PA      | $182597.18    | 0.41%             | 2052-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    380146 | PA      | $316554.03    | 0.71%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2351 | PA      | $2412.95      | 0.01%             | 2035-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202DWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15154 | PA      | $15649.31     | 0.03%             | 2033-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179QT43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67662 | PA      | $63734.36     | 0.14%             | 2044-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226554 | PA      | $207579.28    | 0.46%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179RVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28828 | PA      | $28811.03     | 0.06%             | 2045-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69577 | PA      | $65111.82     | 0.15%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179ME30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25835 | PA      | $24634.16     | 0.05%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6167 | PA      | $5683.25      | 0.01%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7298 | PA      | $7463.64      | 0.02%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202EGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34245 | PA      | $35479.16     | 0.08%             | 2036-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179NBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2531 | PA      | $2453.85      | 0.01%             | 2043-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179TG66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57305 | PA      | $57473.67     | 0.13%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29656 | PA      | $28937.11     | 0.06%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9987 | PA      | $10323.57     | 0.02%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 3617LSAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7821 | PA      | $7260.88      | 0.02%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10361 | PA      | $10828.64     | 0.02%             | 2034-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272408 | PA      | $226844.62    | 0.51%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    270155 | PA      | $266149.98    | 0.59%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2770 | PA      | $2799.56      | 0.01%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17842 | PA      | $17260.38     | 0.04%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3621 | PA      | $3718.43      | 0.01%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179MS27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6775 | PA      | $6948.81      | 0.02%             | 2042-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179TQS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10623 | PA      | $10838.15     | 0.02%             | 2048-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202ECA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11460 | PA      | $12042.31     | 0.03%             | 2035-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130060 | PA      | $125016.95    | 0.28%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202DXB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1300 | PA      | $1314.20      | 0.00%             | 2033-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11298 | PA      | $11596.62     | 0.03%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28821 | PA      | $29314.71     | 0.07%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58149 | PA      | $56126.43     | 0.13%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA ARM                              | GINNIE MAE II POOL                       | CUSIP: 36225DAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6155 | PA      | $6257.84      | 0.01%             | 2034-05-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9411 | PA      | $9681.92      | 0.02%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202ET25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23153 | PA      | $23988.95     | 0.05%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28368 | PA      | $27055.21     | 0.06%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46329 | PA      | $46812.56     | 0.10%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179WUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58435 | PA      | $53097.25     | 0.12%             | 2037-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7268 | PA      | $7091.90      | 0.02%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16378 | PA      | $15623.69     | 0.03%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43443 | PA      | $43588.73     | 0.10%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179QGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9683 | PA      | $10032.17     | 0.02%             | 2044-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202EAK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       438 | PA      | $454.33       | 0.00%             | 2034-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67549 | PA      | $61865.57     | 0.14%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27219 | PA      | $27521.13     | 0.06%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4827 | PA      | $4983.27      | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179SQX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30415 | PA      | $29454.51     | 0.07%             | 2046-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17066 | PA      | $15626.15     | 0.03%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179UCE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        96 | PA      | $98.48        | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13320 | PA      | $12996.94     | 0.03%             | 2042-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA II 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41210 | PA      | $41789.17     | 0.09%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA LL 30 YR                         | GINNIE MAE II POOL                       | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25556 | PA      | $25063.00     | 0.06%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR 2018-8 DA                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | CUSIP: 38380UPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4317 | PA      | $4093.35      | 0.01%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2017-184 JH                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | CUSIP: 38380H5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5900 | PA      | $5484.37      | 0.01%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNR 2013-24 OI                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | CUSIP: 38378FK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13581 | PA      | $2162.64      | 0.00%             | 2043-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR 2013-82 IG                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | CUSIP: 38378TDR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31667 | PA      | $4542.58      | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNR 2010-89 BG                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | CUSIP: 38377GU23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15049 | PA      | $14887.08     | 0.03%             | 2040-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR 2021-57 AI                        | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | CUSIP: 38382QAU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1403194 | PA      | $165501.99    | 0.37%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNR 2020-181 WI                       | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1574710 | PA      | $176372.06    | 0.39%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T. Rowe Price Government Reserve Fund | T. Rowe Price Government Reserve Fund    | CUSIP: 76105Y109<br>LEI: 5493002Y0IYARJVQ5N24 | Long             | STIV             | RF                | US        |   9853285 | NS      | $9853285.48   | 21.98%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-05

**Name of Applicant:** T. ROWE PRICE MULTI-SECTOR ACCOUNT PORTFOLIOS, INC.

**Signature:** /s/ Alan Dupski

**Name of Signer:** Alan Dupski

**Title:** Treasurer & Vice President