# EDGAR Filing Document

**Accession Number:** 0001066602
**File Stem:** 0000940400-25-012028
**Filing Date:** 2025-11
**Character Count:** 330542
**Document Hash:** 4cacde8e67bf7cf5ca3e89434ee8180f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-012028.hdr.sgml**: 20251128

**ACCESSION NUMBER**: 0000940400-25-012028

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251128

**DATE AS OF CHANGE**: 20251128

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Voya FUNDS TRUST
- **CENTRAL INDEX KEY:** 0001066602

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08895
- **FILM NUMBER:** 251536076

**BUSINESS ADDRESS:**
- **STREET 1:** 7337 E. DOUBLETREE RANCH ROAD, STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258
- **BUSINESS PHONE:** 800-992-0180

**MAIL ADDRESS:**
- **STREET 1:** 7337 E. DOUBLETREE RANCH ROAD, STE 100
- **CITY:** SCOTTSDALE
- **STATE:** AZ
- **ZIP:** 85258

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ING FUNDS TRUST
- **DATE OF NAME CHANGE:** 20020205

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PILGRIM FUNDS TRUST
- **DATE OF NAME CHANGE:** 20010312

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ING FUNDS TRUST
- **DATE OF NAME CHANGE:** 19980721

## Series and Classes Contracts Data

### Voya GNMA Income Fund (Series ID: S000008394)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000023002 | Class A      | LEXNX           |
| C000023004 | Class C      | LEGNX           |
| C000023005 | Class I      | LEINX           |
| C000057275 | Class W      | IGMWX           |
| C000122009 | Class R6     | VGMBX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Voya Funds Trust

- **b. Investment Company Act file number:** 811-08895

- **c. CIK number of Registrant:** 0001066602

- **d. LEI of Registrant:** 5493002OZLWDCTJEFB81

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

  - **Street Address 1:** 7337 East Doubletree Ranch Road

  - **City:** Scottsdale

  - **State:** AZ

  - **Foreign country:** US

  - **Zip / Postal Code:** 85258

  - **Telephone number:** 1-800-992-0180

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

- **a. Name of Series:** VOYA GNMA INCOME FUND

- **b. EDGAR series identifier (if any):** S000008394

- **c. LEI of Series:** 8HD244MD4VNYFVS1BV63

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2025-09-30

**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:** $1590126092.45

**Total Liabilities:** $482824628.58

**Net Assets:** $1107301463.87

**Stand-by Commitments:** $475437849.35

**Cash Not Reported:** $1116024.94

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 23.87265000 | **1-Year:** 58172.70056000 | **5-Year:** 497271.71892000 | **10-Year:** 195666.65446000 | **30-Year:** 18440.01015000

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

- **3-Month:** 0.00000000 | **1-Year:** 2098.70838000 | **5-Year:** 6285.05146000 | **10-Year:** 1565.17993000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000023002 | -0.37%               | 1.55%                | 0.86%                |
| Class ID C000057275 | -0.35%               | 1.57%                | 0.74%                |
| Class ID C000023005 | -0.48%               | 1.71%                | 0.75%                |
| Class ID C000122009 | -0.34%               | 1.58%                | 0.75%                |
| Class ID C000023004 | -0.57%               | 1.49%                | 0.80%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $891379.94               | $-11014691.11                              |
| Month 2  | $2649633.95              | $14091401.20                               |
| Month 3  | $-3879520.88             | $9704080.18                                |

**Designated Index Information**

- **Index Name:** BBG Fixed-Rate GNMA MBS Index

- **Index Identifier:** LGNMTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36192ST59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178090 | PA      | $170596.12    | 0.02%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31410T5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55784 | PA      | $57690.72     | 0.01%             | 2037-09-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380YAR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1121208 | PA      | $1050275.56   | 0.09%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176LAZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    317284 | PA      | $294437.91    | 0.03%             | 2041-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136B3Q60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2842009 | PA      | $2574458.97   | 0.23%             | 2059-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A1KE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4116712 | PA      | $4103516.58   | 0.37%             | 2041-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617AAP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54234 | PA      | $48605.47     | 0.00%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3618HEDZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1847796 | PA      | $1878877.52   | 0.17%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BSK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83350 | PA      | $83723.09     | 0.01%             | 2062-02-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                       | Vendee Mortgage Trust 2003-2                                  | CUSIP: 911760TM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    879622 | PA      | $889612.32    | 0.08%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36295GYK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    819357 | PA      | $818118.65    | 0.07%             | 2031-11-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2004-W3                                | CUSIP: 31393XVK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1803922 | PA      | $1849077.71   | 0.17%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                    | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  73593000 | PA      | $74856578.56  | 6.76%             | 2055-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202WQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25048 | PA      | $25411.67     | 0.00%             | 2033-04-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RBZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29018 | PA      | $29536.81     | 0.00%             | 2033-07-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375KWU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    718238 | PA      | $598593.22    | 0.05%             | 2037-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176TCP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168826 | PA      | $156983.50    | 0.01%             | 2041-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379GKU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    902900 | PA      | $65172.69     | 0.01%             | 2044-09-20      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKHP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8277 | PA      | $8338.59      | 0.00%             | 2028-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3132XVR54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1214728 | PA      | $1132649.88   | 0.10%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36198NUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28822 | PA      | $28796.19     | 0.00%             | 2064-10-20      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31406YYD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235342 | PA      | $239163.51    | 0.02%             | 2035-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378CCS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84153 | PA      | $84801.59     | 0.01%             | 2039-04-16      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38383UPY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    400000 | PA      | $340387.68    | 0.03%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378AMF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1184924 | PA      | $203802.85    | 0.02%             | 2041-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291KHU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26026 | PA      | $25736.95     | 0.00%             | 2034-04-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140FXD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3794478 | PA      | $3571470.12   | 0.32%             | 2056-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2002-W12                               | CUSIP: 31392GSP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2131 | PA      | $2122.53      | 0.00%             | 2033-02-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137ABE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154189 | PA      | $154901.32    | 0.01%             | 2039-03-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379G4J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    635305 | PA      | $47294.30     | 0.00%             | 2044-11-20      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31335YYA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85050 | PA      | $87803.87     | 0.01%             | 2037-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31012 | PA      | $30989.04     | 0.00%             | 2033-09-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380GLA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $841779.60    | 0.08%             | 2047-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31397AM59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4479151 | PA      | $4668900.00   | 0.42%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23920960 | PA      | $282379.75    | 0.03%             | 2027-09-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36201EHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13253 | PA      | $13240.54     | 0.00%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376T2S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    332825 | PA      | $41703.98     | 0.00%             | 2040-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38382QR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13426800 | PA      | $187289.10    | 0.02%             | 2051-05-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137AQA57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1648362 | PA      | $1628161.52   | 0.15%             | 2042-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137AWPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3890061 | PA      | $3590976.82   | 0.32%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae Remic Trust 2001-W4                                | CUSIP: 3139216U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1567 | PA      | $1566.27      | 0.00%             | 2032-01-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93571 | PA      | $93815.20     | 0.01%             | 2064-03-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31411YK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39528 | PA      | $40985.13     | 0.00%             | 2037-05-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A6ZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1632294.27   | 0.15%             | 2042-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622AAGA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16791350 | PA      | $15478724.14  | 1.40%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31028473 | PA      | $1236493.95   | 0.11%             | 2029-12-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36294TEY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102048 | PA      | $106883.95    | 0.01%             | 2037-09-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FTBP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29534823 | PA      | $1818221.32   | 0.16%             | 2030-03-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375GFP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456658 | PA      | $39138.11     | 0.00%             | 2042-07-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae Trust 2004-W2                                      | CUSIP: 31393XGS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    806430 | PA      | $816456.40    | 0.07%             | 2044-02-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380Q4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113799 | PA      | $105655.88    | 0.01%             | 2066-10-20      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413JJM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70550 | PA      | $73136.78     | 0.01%             | 2037-08-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202FJL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63030 | PA      | $62238.38     | 0.01%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31396LT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38470 | PA      | $45140.50     | 0.00%             | 2036-12-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375GWV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281496 | PA      | $5211.45      | 0.00%             | 2040-08-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291BAA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102956 | PA      | $103507.46    | 0.01%             | 2033-11-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377WVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1519700 | PA      | $1440690.34   | 0.13%             | 2041-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381N3N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14955572 | PA      | $15008093.36  | 1.36%             | 2055-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EXM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13147 | PA      | $13175.72     | 0.00%             | 2038-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38373MV80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211425 | PA      | $2188.82      | 0.00%             | 2048-02-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177MAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150763 | PA      | $140087.10    | 0.01%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14851583 | PA      | $12806075.40  | 1.16%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2391278 | PA      | $1940216.83   | 0.18%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291BSM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48165 | PA      | $48335.51     | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381QXW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4994823 | PA      | $4998902.72   | 0.45%             | 2055-08-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31390F2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26023 | PA      | $26429.43     | 0.00%             | 2032-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291BA64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20033 | PA      | $20010.73     | 0.00%             | 2033-11-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RAM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    523897 | PA      | $523744.53    | 0.05%             | 2065-04-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36291UMM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59576 | PA      | $61578.21     | 0.01%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B3N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118098 | PA      | $118088.39    | 0.01%             | 2063-06-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381BXF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1360662 | PA      | $1285720.50   | 0.12%             | 2049-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DPP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28070 | PA      | $29156.19     | 0.00%             | 2037-08-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36291FKA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104972 | PA      | $107133.32    | 0.01%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31397YXN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80912 | PA      | $8494.92      | 0.00%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413SKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214192 | PA      | $216165.75    | 0.02%             | 2037-11-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291G5N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37256 | PA      | $38473.21     | 0.00%             | 2034-02-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137BKBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4705119 | PA      | $4604626.46   | 0.42%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381JLC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4016472 | PA      | $279588.62    | 0.03%             | 2065-03-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ACB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300197 | PA      | $18355.58     | 0.00%             | 2042-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617VQGL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20407678 | PA      | $17835448.52  | 1.61%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AEMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1108434 | PA      | $81762.39     | 0.01%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394U5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1861549 | PA      | $1903206.56   | 0.17%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2309725 | PA      | $2065335.22   | 0.19%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DFX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45097 | PA      | $46793.50     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413JJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94751 | PA      | $96159.31     | 0.01%             | 2047-08-01      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2273470 | PA      | $1929054.07   | 0.17%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AA6U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1058122 | PA      | $119547.30    | 0.01%             | 2042-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3132GETT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138216 | PA      | $141282.80    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2002-W1                                | CUSIP: 31392CMV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     96680 | PA      | $93365.86     | 0.01%             | 2042-04-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291BBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29443 | PA      | $30473.43     | 0.00%             | 2033-12-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                    | CUSIP: 21H0226A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21130000 | PA      | $18194823.25  | 1.64%             | 2055-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291GZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50628 | PA      | $51757.13     | 0.00%             | 2034-01-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394AZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58413 | PA      | $58983.56     | 0.01%             | 2029-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31292HAK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1954 | PA      | $2014.45      | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620A65D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394608 | PA      | $401027.57    | 0.04%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DBZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29685 | PA      | $31002.15     | 0.00%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177WRX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24099 | PA      | $22445.61     | 0.00%             | 2042-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202DBG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        21 | PA      | $20.70        | 0.00%             | 2029-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243575 | PA      | $234377.12    | 0.02%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176B6T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65536 | PA      | $60946.53     | 0.01%             | 2041-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374KK93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    362437 | PA      | $364388.47    | 0.03%             | 2035-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379JEL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7645050 | PA      | $6656344.52   | 0.60%             | 2044-10-20      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36183MEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1095183 | PA      | $1043607.93   | 0.09%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328946 | PA      | $328958.59    | 0.03%             | 2063-06-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36211FCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13557 | PA      | $13529.50     | 0.00%             | 2029-06-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377JXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1776367 | PA      | $1774388.59   | 0.16%             | 2040-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38382RBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7076311 | PA      | $900861.74    | 0.08%             | 2051-04-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                     | Fannie Mae Grantor Trust 2003-T4                              | CUSIP: 31393AV79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27874 | PA      | $27645.37     | 0.00%             | 2033-07-26      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267969 | PA      | $257106.45    | 0.02%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36296UTT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63931 | PA      | $66229.40     | 0.01%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208269 | PA      | $208576.71    | 0.02%             | 2064-03-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36295LVH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57454 | PA      | $59968.84     | 0.01%             | 2038-09-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394CRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3372723 | PA      | $3529534.72   | 0.32%             | 2035-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BGS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23303 | PA      | $23295.23     | 0.00%             | 2058-08-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 312931EF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89105 | PA      | $89981.04     | 0.01%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through               | Freddie Mac Structured Pass-Through Certificates              | CUSIP: 31393LFP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    337735 | PA      | $326899.41    | 0.03%             | 2043-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EVH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47293 | PA      | $47839.55     | 0.00%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113561 | PA      | $117600.79    | 0.01%             | 2037-10-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31414DXC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102623 | PA      | $103274.16    | 0.01%             | 2038-04-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RUV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250980 | PA      | $250283.79    | 0.02%             | 2066-05-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31415TC32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55064 | PA      | $55444.08     | 0.01%             | 2038-05-01      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376ETW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126948 | PA      | $429.07       | 0.00%             | 2039-04-16      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384DHW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7884938 | PA      | $8287379.72   | 0.75%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AQ3B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3437586 | PA      | $399572.26    | 0.04%             | 2046-02-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F0406A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870000 | PA      | $820059.25    | 0.07%             | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378VSP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    842743 | PA      | $56593.29     | 0.01%             | 2043-07-20      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377LJM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461394 | PA      | $35324.51     | 0.00%             | 2040-09-16      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BRW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    361606 | PA      | $362055.25    | 0.03%             | 2062-04-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374XE76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1880732 | PA      | $1916941.81   | 0.17%             | 2039-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380F6N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1604809 | PA      | $341601.24    | 0.03%             | 2047-08-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31396URW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1862383 | PA      | $28327.03     | 0.00%             | 2036-07-15      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XXQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15395 | PA      | $15650.30     | 0.00%             | 2033-09-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380MXL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2115332 | PA      | $1407038.98   | 0.13%             | 2061-04-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31396KXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1438841 | PA      | $128550.48    | 0.01%             | 2036-08-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137AQZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5075000 | PA      | $4867443.67   | 0.44%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RB51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20046 | PA      | $19980.28     | 0.00%             | 2033-05-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B5R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    457856 | PA      | $458174.08    | 0.04%             | 2063-05-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31335Y6E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31262 | PA      | $32211.49     | 0.00%             | 2038-01-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413SND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66247 | PA      | $66064.77     | 0.01%             | 2037-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                       | Vendee Mortgage Trust 2011-2                                  | CUSIP: 92262BAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2038196 | PA      | $1923506.21   | 0.17%             | 2041-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106747 | PA      | $107773.47    | 0.01%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B6F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323543 | PA      | $326950.42    | 0.03%             | 2063-08-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138AWVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61483 | PA      | $60368.60     | 0.01%             | 2041-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AP2Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711932 | PA      | $693068.65    | 0.06%             | 2030-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176TCQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62569 | PA      | $59732.42     | 0.01%             | 2041-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376GVM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51654 | PA      | $486.22       | 0.00%             | 2052-10-16      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376CRQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2722011 | PA      | $2833765.61   | 0.26%             | 2039-09-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ACKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1118592 | PA      | $72998.91     | 0.01%             | 2033-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291G2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167380 | PA      | $169099.78    | 0.02%             | 2033-12-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AU2B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2630000 | PA      | $2348553.71   | 0.21%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31411NJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52128 | PA      | $52696.48     | 0.00%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128L8KE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30342 | PA      | $31163.52     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EV71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6525 | PA      | $6529.51      | 0.00%             | 2038-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617AAQ98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84710 | PA      | $75865.67     | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380LX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140145 | PA      | $139865.36    | 0.01%             | 2070-01-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138E0JD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54957 | PA      | $53766.64     | 0.00%             | 2041-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UDJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245356 | PA      | $246027.53    | 0.02%             | 2064-02-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    484650 | PA      | $484773.05    | 0.04%             | 2065-03-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31411APC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8305 | PA      | $8453.66      | 0.00%             | 2036-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36211SDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9543 | PA      | $9780.49      | 0.00%             | 2035-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617MAVL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1712750 | PA      | $1506335.16   | 0.14%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375QLL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    343378 | PA      | $21347.91     | 0.00%             | 2038-05-16      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    395541 | PA      | $367389.92    | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380MN98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2801531 | PA      | $2218317.43   | 0.20%             | 2060-11-16      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385CET1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7881529 | PA      | $7909536.92   | 0.71%             | 2055-01-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14730271 | PA      | $12696865.20  | 1.15%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RNP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120980 | PA      | $121264.77    | 0.01%             | 2066-01-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374JN51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    436120 | PA      | $38577.72     | 0.00%             | 2034-11-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379EGH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1941301 | PA      | $1856358.07   | 0.17%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374FGZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42457 | PA      | $42896.34     | 0.00%             | 2034-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B8A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145796 | PA      | $146301.08    | 0.01%             | 2063-08-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291EES6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34849 | PA      | $35734.71     | 0.00%             | 2034-01-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379Q7Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1525307 | PA      | $328766.85    | 0.03%             | 2045-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36193BMR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1232054 | PA      | $1180208.51   | 0.11%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381BVD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10506545 | PA      | $9025054.20   | 0.82%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36200NGV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68229 | PA      | $68503.02     | 0.01%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38373ATV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3479640 | PA      | $3594106.73   | 0.32%             | 2039-08-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2003-W15                               | CUSIP: 31393TC53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2163916 | PA      | $2178114.36   | 0.20%             | 2043-08-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374NU21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33502 | PA      | $33503.21     | 0.00%             | 2036-11-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413UWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80087 | PA      | $82214.06     | 0.01%             | 2037-09-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385CEY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8985141 | PA      | $9035827.55   | 0.82%             | 2055-01-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3618HEDX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1185663 | PA      | $1209786.01   | 0.11%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376GJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7189289 | PA      | $18714.80     | 0.00%             | 2051-01-16      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291KFN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33622 | PA      | $33249.26     | 0.00%             | 2034-04-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31407M5Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255300 | PA      | $255399.66    | 0.02%             | 2035-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376CUB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1409815 | PA      | $1443138.32   | 0.13%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29508202 | PA      | $25444164.61  | 2.30%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EWU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1288 | PA      | $1283.21      | 0.00%             | 2038-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620ADSF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218243 | PA      | $217570.35    | 0.02%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                   | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19400000 | PA      | $19397835.74  | 1.75%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2002-W6                                | CUSIP: 31392DG63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    429734 | PA      | $415333.25    | 0.04%             | 2042-01-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31398MDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610693 | PA      | $613474.86    | 0.06%             | 2036-11-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177U5N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145504 | PA      | $133926.62    | 0.01%             | 2042-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137FQRX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2213868 | PA      | $1974452.15   | 0.18%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622AAU51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8188199 | PA      | $7072926.30   | 0.64%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377YN71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1146174 | PA      | $65813.49     | 0.01%             | 2041-06-16      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10272 | PA      | $8864.46      | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380TB96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4083621 | PA      | $3453978.85   | 0.31%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    319264 | PA      | $319359.74    | 0.03%             | 2065-08-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374TWL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    947023 | PA      | $954512.82    | 0.09%             | 2039-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EE62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59669 | PA      | $58352.76     | 0.01%             | 2035-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31396NX27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187739 | PA      | $194209.67    | 0.02%             | 2036-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376PAW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    725686 | PA      | $749020.45    | 0.07%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A96R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233002 | PA      | $1937.22      | 0.00%             | 2027-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379FCK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15125000 | PA      | $14048875.91  | 1.27%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375QZ44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    591371 | PA      | $54066.06     | 0.00%             | 2038-06-16      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380GHF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1802774 | PA      | $1431994.69   | 0.13%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376PLJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1560345 | PA      | $1602193.70   | 0.14%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31393CGD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1288067 | PA      | $1306803.34   | 0.12%             | 2033-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31414KSK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82857 | PA      | $82941.20     | 0.01%             | 2037-12-01      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177MAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36793 | PA      | $34050.24     | 0.00%             | 2041-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2 | CUSIP: 35563PFB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1131750 | PA      | $1074028.34   | 0.10%             | 2057-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137HB4J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8800000 | PA      | $9614623.04   | 0.87%             | 2053-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128K8QJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    303501 | PA      | $311709.18    | 0.03%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177LYK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58251 | PA      | $54162.42     | 0.00%             | 2041-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RDQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36352 | PA      | $36206.11     | 0.00%             | 2033-08-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26428 | PA      | $26985.99     | 0.00%             | 2035-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       270 | NC      | $-11015.05    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3620C0P69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1508221 | PA      | $1402841.74   | 0.13%             | 2042-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137BSZ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3339812 | PA      | $3131033.86   | 0.28%             | 2046-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176BLN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44219 | PA      | $41003.12     | 0.00%             | 2041-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138E5SY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82187 | PA      | $79758.79     | 0.01%             | 2041-10-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DM81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78182 | PA      | $81121.60     | 0.01%             | 2037-12-01      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31398TYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746417 | PA      | $737736.53    | 0.07%             | 2040-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291A2C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200246 | PA      | $204691.07    | 0.02%             | 2033-10-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36295LVG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56519 | PA      | $56419.84     | 0.01%             | 2038-08-20      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A7BY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    584203 | PA      | $33901.47     | 0.00%             | 2032-06-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385GD55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19864368 | PA      | $19968332.30  | 1.80%             | 2055-06-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RBF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54508 | PA      | $54521.09     | 0.00%             | 2065-05-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202E5Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69594 | PA      | $69298.38     | 0.01%             | 2039-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F0426A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5083000 | PA      | $4930978.75   | 0.45%             | 2055-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKHJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12958 | PA      | $13212.36     | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179RZU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51961 | PA      | $49918.56     | 0.00%             | 2046-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394UAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274859 | PA      | $280585.48    | 0.03%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176TQJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77324 | PA      | $74094.87     | 0.01%             | 2041-10-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137ADHB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    814479 | PA      | $789180.04    | 0.07%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376FEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8617658 | PA      | $9162633.71   | 0.83%             | 2039-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                     | Fannie Mae Grantor Trust 2001-T9                              | CUSIP: 313921FG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    472874 | PA      | $469317.84    | 0.04%             | 2031-09-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195015 | PA      | $193257.87    | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36291HTN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23462 | PA      | $23516.66     | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31383HEB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9660 | PA      | $9667.61      | 0.00%             | 2029-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RUS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21577 | PA      | $21613.38     | 0.00%             | 2066-05-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Trust Series 2019-2     | CUSIP: 35564CCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2595719 | PA      | $2481750.23   | 0.22%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379U4L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323118 | PA      | $9801.94      | 0.00%             | 2057-01-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BQSP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3816287 | PA      | $4013991.27   | 0.36%             | 2053-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291EDH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57127 | PA      | $58008.01     | 0.01%             | 2033-12-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       649 | PA      | $649.18       | 0.00%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377X4P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9673862 | PA      | $1540066.24   | 0.14%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617AARE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59329 | PA      | $57095.29     | 0.01%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q4L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23012 | PA      | $22987.88     | 0.00%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380XUH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $843906.00    | 0.08%             | 2048-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128KRMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61024 | PA      | $63676.86     | 0.01%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85426 | PA      | $85545.98     | 0.01%             | 2062-05-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A72S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3457000 | PA      | $2969493.86   | 0.27%             | 2042-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137BGLS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4797532 | PA      | $436008.10    | 0.04%             | 2045-02-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394VV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2554097 | PA      | $206813.76    | 0.02%             | 2036-03-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291A5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168809 | PA      | $170621.65    | 0.02%             | 2033-11-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380GHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $821654.00    | 0.07%             | 2047-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137BCLN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9840575 | PA      | $9532186.97   | 0.86%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291G7K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30314 | PA      | $31304.08     | 0.00%             | 2034-03-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291HB86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33047 | PA      | $32680.24     | 0.00%             | 2034-03-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22556968 | PA      | $19449854.29  | 1.76%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36230QQZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43605 | PA      | $41309.29     | 0.00%             | 2040-12-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3620AWJA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252226 | PA      | $254808.27    | 0.02%             | 2030-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384DEV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18513043 | PA      | $19199365.83  | 1.73%             | 2063-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385BZM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25813192 | PA      | $25903604.83  | 2.34%             | 2055-01-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202ETU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1717 | PA      | $1720.24      | 0.00%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413JU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162595 | PA      | $164685.10    | 0.01%             | 2047-09-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377DAL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    361452 | PA      | $15297.53     | 0.00%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375GC58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455868 | PA      | $36453.72     | 0.00%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31407G5C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299310 | PA      | $304171.28    | 0.03%             | 2035-07-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381AZV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    383270 | PA      | $352573.98    | 0.03%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202DCS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6680 | PA      | $6871.60      | 0.00%             | 2029-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A9QK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1763222 | PA      | $85202.94     | 0.01%             | 2042-06-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28902303 | PA      | $23915237.55  | 2.16%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36297F6L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174832 | PA      | $173969.55    | 0.02%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BDG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176062 | PA      | $177227.08    | 0.02%             | 2060-06-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177MAU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75422 | PA      | $68300.02     | 0.01%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36176LGJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    848864 | PA      | $805567.60    | 0.07%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413SEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253884 | PA      | $257469.63    | 0.02%             | 2047-10-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48066 | PA      | $48016.62     | 0.00%             | 2063-03-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177MMN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150364 | PA      | $139875.09    | 0.01%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176KXB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    277143 | PA      | $257692.98    | 0.02%             | 2041-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145968 | PA      | $145926.44    | 0.01%             | 2067-08-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413SEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101540 | PA      | $103050.29    | 0.01%             | 2047-10-01      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -123 | NC      | $-118449.99   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40728414 | PA      | $33699042.54  | 3.04%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291TMU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42825 | PA      | $44344.00     | 0.00%             | 2034-09-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379TPZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2072897 | PA      | $2099278.80   | 0.19%             | 2046-01-20      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UUF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    377155 | PA      | $377251.36    | 0.03%             | 2065-02-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380ATE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8438141 | PA      | $984701.08    | 0.09%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RYS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55746 | PA      | $55925.36     | 0.01%             | 2066-08-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36296GXT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69836 | PA      | $72335.60     | 0.01%             | 2038-04-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176TQF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52647 | PA      | $48722.45     | 0.00%             | 2041-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376ULK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5437609 | PA      | $4661789.02   | 0.42%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179UGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75985 | PA      | $75069.25     | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    828000 | PA      | $826577.32    | 0.07%             | 2060-10-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36209DQP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13901 | PA      | $14095.32     | 0.00%             | 2028-05-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376FSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    403233 | PA      | $15665.35     | 0.00%             | 2039-07-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137B5W90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2333235 | PA      | $2134637.01   | 0.19%             | 2035-10-15      | Floating      | 1.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617GCFX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8513 | PA      | $8465.29      | 0.00%             | 2068-02-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 312938Z97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98805 | PA      | $101360.55    | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378PUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1900000 | PA      | $239097.05    | 0.02%             | 2043-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1004532 | PA      | $966596.63    | 0.09%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394CQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32267 | PA      | $279.72       | 0.00%             | 2035-03-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKHG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39090 | PA      | $39310.89     | 0.00%             | 2030-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3390762 | PA      | $2923710.29   | 0.26%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36297GKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55294 | PA      | $57285.06     | 0.01%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UTM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    325779 | PA      | $325945.07    | 0.03%             | 2064-12-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128M8YJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1149286 | PA      | $1179027.45   | 0.11%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Series 2019-1           | CUSIP: 35564CBC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7955000 | PA      | $7733869.30   | 0.70%             | 2029-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36183MGQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    933107 | PA      | $889176.50    | 0.08%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3 | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1497758 | PA      | $1409073.30   | 0.13%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                    | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 111275000 | PA      | $110554542.22 | 9.98%             | 2055-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177MMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370815 | PA      | $341312.47    | 0.03%             | 2042-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36181CJW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237983 | PA      | $235227.49    | 0.02%             | 2034-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374N8C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2315605 | PA      | $6689.90      | 0.00%             | 2046-11-16      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36296Q5L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35494 | PA      | $36369.54     | 0.00%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38382RKX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4930178 | PA      | $765973.10    | 0.07%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380LVZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171041 | PA      | $170884.00    | 0.02%             | 2069-05-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36296DPD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91612 | PA      | $91977.91     | 0.01%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BLE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    351407 | PA      | $351564.29    | 0.03%             | 2061-03-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379QDJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130000 | PA      | $102876.62    | 0.01%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375KQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40437 | PA      | $41022.30     | 0.00%             | 2037-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                              | CUSIP: 3133B3C21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1303888 | PA      | $1156701.63   | 0.10%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3397913 | PA      | $2928811.41   | 0.26%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36292FMA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120890 | PA      | $127118.01    | 0.01%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3132WPND5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    772437 | PA      | $744203.46    | 0.07%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74508 | PA      | $74557.28     | 0.01%             | 2062-10-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EA25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27778 | PA      | $29117.32     | 0.00%             | 2034-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380LR88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    521536 | PA      | $521431.62    | 0.05%             | 2069-11-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374VZX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    241433 | PA      | $247847.61    | 0.02%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BTU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92878 | PA      | $92960.19     | 0.01%             | 2062-07-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    379287 | PA      | $379569.13    | 0.03%             | 2065-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291HB37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97648 | PA      | $100838.73    | 0.01%             | 2034-04-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381DBS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5393616 | PA      | $2042932.77   | 0.18%             | 2063-08-16      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                   | CUSIP: 912797RE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1025000 | PA      | $1021894.56   | 0.09%             | 2025-10-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202DY21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44754 | PA      | $45886.09     | 0.00%             | 2033-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138WESG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253431 | PA      | $244135.37    | 0.02%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291AX46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116308 | PA      | $116992.77    | 0.01%             | 2033-10-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31411XB61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43835 | PA      | $45143.78     | 0.00%             | 2037-01-01      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413SU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104775 | PA      | $106032.69    | 0.01%             | 2047-08-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36192ST34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74815 | PA      | $67112.03     | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394FAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153906 | PA      | $164562.06    | 0.01%             | 2035-08-25      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36292EXK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65387 | PA      | $66758.67     | 0.01%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36212UN80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14729 | PA      | $14778.46     | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137HBD43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4643779 | PA      | $4814621.77   | 0.43%             | 2054-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31398R2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409285 | PA      | $416399.43    | 0.04%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36182DF67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3206 | PA      | $3195.80      | 0.00%             | 2065-04-20      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374TG81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    978116 | PA      | $983758.88    | 0.09%             | 2039-05-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31397QY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4393006 | PA      | $483262.70    | 0.04%             | 2041-01-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AQJE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    847438 | PA      | $838452.73    | 0.08%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36294TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206667 | PA      | $213623.04    | 0.02%             | 2037-09-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RTJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    611597 | PA      | $613803.22    | 0.06%             | 2066-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36296UNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30369 | PA      | $31149.34     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36297E2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       474 | PA      | $468.23       | 0.00%             | 2061-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376R5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456258 | PA      | $456473.61    | 0.04%             | 2067-06-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                              | CUSIP: 3132DWCQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2023795 | PA      | $1789559.51   | 0.16%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377VEM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1011315 | PA      | $1000005.46   | 0.09%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620C3RB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98583 | PA      | $94576.60     | 0.01%             | 2040-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291HCA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29669 | PA      | $30423.07     | 0.00%             | 2034-03-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                   | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12700000 | PA      | $12671502.60  | 1.14%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138AKAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22747 | PA      | $22720.39     | 0.00%             | 2041-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381LHP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  57479050 | PA      | $3710292.81   | 0.34%             | 2065-10-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UAN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29758 | PA      | $29840.48     | 0.00%             | 2063-09-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FRUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8661536 | PA      | $424390.14    | 0.04%             | 2030-01-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375CTM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1796724 | PA      | $214212.81    | 0.02%             | 2042-04-16      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKHH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126904 | PA      | $128880.09    | 0.01%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377RQA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    654277 | PA      | $636247.02    | 0.06%             | 2040-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31393WQ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173746 | PA      | $174328.26    | 0.02%             | 2033-07-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36193SDY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2990 | PA      | $2945.28      | 0.00%             | 2066-04-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q4H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22023 | PA      | $21950.02     | 0.00%             | 2033-05-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377LAH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1905864 | PA      | $1959279.42   | 0.18%             | 2040-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ABMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2308724 | PA      | $51499.10     | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36295Q6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66915 | PA      | $69314.39     | 0.01%             | 2037-09-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376FBJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1690195 | PA      | $1783592.79   | 0.16%             | 2039-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375YDM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1105429 | PA      | $91486.22     | 0.01%             | 2038-09-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XSJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59308 | PA      | $59474.73     | 0.01%             | 2033-08-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380XHT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    502275 | PA      | $72040.50     | 0.01%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376KQG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    766426 | PA      | $799235.66    | 0.07%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385B5L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10745000 | PA      | $11040792.66  | 1.00%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31397SMB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    941077 | PA      | $960886.80    | 0.09%             | 2041-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291EDF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35373 | PA      | $35357.12     | 0.00%             | 2033-11-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9745 | PA      | $9798.90      | 0.00%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291BBB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125139 | PA      | $126290.51    | 0.01%             | 2033-12-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622A26J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3091597 | PA      | $2902263.64   | 0.26%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36297DB63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90821 | PA      | $93701.48     | 0.01%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31407EE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315599 | PA      | $320757.14    | 0.03%             | 2035-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379FCC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    721630 | PA      | $67813.29     | 0.01%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413AK36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36255 | PA      | $37458.85     | 0.00%             | 2037-01-01      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137H0H76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33908865 | PA      | $2438537.36   | 0.22%             | 2031-01-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BJS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    591523 | PA      | $591816.85    | 0.05%             | 2061-01-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36230KJ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55352 | PA      | $53427.17     | 0.00%             | 2040-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B7F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28577 | PA      | $28590.50     | 0.00%             | 2063-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136B14Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539682 | PA      | $515881.93    | 0.05%             | 2048-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384C2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1148178 | PA      | $1188348.43   | 0.11%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374TXJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    633014 | PA      | $641622.08    | 0.06%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202SPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101744 | PA      | $102884.89    | 0.01%             | 2033-03-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620C3JF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45541 | PA      | $44824.39     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177VCU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123393 | PA      | $111793.83    | 0.01%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q6R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69360 | PA      | $69576.55     | 0.01%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374VME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118499 | PA      | $3782.75      | 0.00%             | 2037-06-16      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    581559 | PA      | $581617.42    | 0.05%             | 2061-08-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202DX55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37004 | PA      | $35944.82     | 0.00%             | 2033-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31406EEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176927 | PA      | $176239.88    | 0.02%             | 2034-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ABNF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1246660 | PA      | $1204693.35   | 0.11%             | 2042-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88515 | PA      | $90117.41     | 0.01%             | 2033-09-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36296WKB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26131 | PA      | $26093.55     | 0.00%             | 2034-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31396PJH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580446 | PA      | $894810.12    | 0.08%             | 2037-02-25      | Floating      | 13.52%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179R7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    616928 | PA      | $592300.87    | 0.05%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380MFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2103400 | PA      | $1585746.36   | 0.14%             | 2060-04-16      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4127043 | PA      | $3420056.56   | 0.31%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3132XCR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2339197 | PA      | $2187821.86   | 0.20%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384EFA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12895745 | PA      | $13301110.88  | 1.20%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q6U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23234 | PA      | $23018.27     | 0.00%             | 2033-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31395DQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227802 | PA      | $15594.22     | 0.00%             | 2036-05-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394VEC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51392 | PA      | $52389.98     | 0.00%             | 2035-11-25      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EV89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7339 | PA      | $7484.73      | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380M4J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3639592 | PA      | $2626703.82   | 0.24%             | 2061-06-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3275892 | PA      | $2927599.45   | 0.26%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36181PCC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3717 | PA      | $3665.06      | 0.00%             | 2064-09-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13546063 | PA      | $11225425.83  | 1.01%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                    | CUSIP: 21H0326A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4967000 | PA      | $4529549.11   | 0.41%             | 2055-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                     | Federal Home Loan Bank Discount Notes                         | CUSIP: 313385MZ6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    300000 | PA      | $299497.50    | 0.03%             | 2025-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31398NEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1094656 | PA      | $82019.43     | 0.01%             | 2040-09-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380UFA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $8707714.00   | 0.79%             | 2047-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11029810 | PA      | $9126378.12   | 0.82%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137BDB47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2363674 | PA      | $2169933.67   | 0.20%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379VDH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5832567 | PA      | $687174.44    | 0.06%             | 2046-02-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BUS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7626941 | PA      | $7660575.42   | 0.69%             | 2054-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B7T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    276654 | PA      | $276771.59    | 0.02%             | 2063-04-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EJT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4085 | PA      | $4089.19      | 0.00%             | 2036-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177WX70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50614 | PA      | $46998.03     | 0.00%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38373MW63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    437737 | PA      | $423703.98    | 0.04%             | 2048-02-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381VZW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10285402 | PA      | $2495899.99   | 0.23%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413H2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172908 | PA      | $177538.67    | 0.02%             | 2037-08-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379DCW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1458830 | PA      | $301263.15    | 0.03%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US LONG BOND(CBT)                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -156 | NC      | $-334271.34   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BU26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207606 | PA      | $207087.10    | 0.02%             | 2063-04-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176TQH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91849 | PA      | $87513.32     | 0.01%             | 2041-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -237 | NC      | $-78256.22    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52340 | PA      | $54553.36     | 0.00%             | 2037-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413KA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75296 | PA      | $75731.49     | 0.01%             | 2037-09-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375PAK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    260865 | PA      | $26754.64     | 0.00%             | 2038-01-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RMX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165876 | PA      | $166255.79    | 0.02%             | 2065-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381DDV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2667789 | PA      | $1087550.07   | 0.10%             | 2062-12-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EY86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96882 | PA      | $97822.95     | 0.01%             | 2039-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291EER8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21260 | PA      | $21074.60     | 0.00%             | 2034-01-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291A2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22877 | PA      | $22791.17     | 0.00%             | 2033-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128K0MY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15803 | PA      | $16210.58     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379AAV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    961428 | PA      | $56272.36     | 0.01%             | 2040-03-20      | Floating      | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176BRQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219689 | PA      | $204109.04    | 0.02%             | 2041-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19928 | PA      | $20611.51     | 0.00%             | 2036-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31394THM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391106 | PA      | $408144.48    | 0.04%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4411899 | PA      | $4353305.53   | 0.39%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31412YD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133601 | PA      | $138697.79    | 0.01%             | 2036-11-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EWT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144223 | PA      | $144586.91    | 0.01%             | 2038-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36291T4Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27063 | PA      | $27429.03     | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137FW5C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18341668 | PA      | $3437205.62   | 0.31%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38382FLB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2520264 | PA      | $317095.60    | 0.03%             | 2050-05-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384JXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6544623 | PA      | $6726719.49   | 0.61%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128M6SL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7299 | PA      | $7496.85      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2196185 | PA      | $1817170.57   | 0.16%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377EEV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3743868 | PA      | $3939091.50   | 0.36%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F6GV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2945656 | PA      | $111682.50    | 0.01%             | 2030-09-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31392JQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387238 | PA      | $405848.94    | 0.04%             | 2033-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BUB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16831504 | PA      | $16987757.58  | 1.53%             | 2055-02-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202SRX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15368 | PA      | $15241.06     | 0.00%             | 2033-04-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377RAW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482442 | PA      | $51217.87     | 0.00%             | 2040-12-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374UCV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1004694 | PA      | $1024980.38   | 0.09%             | 2039-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384JE34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8266241 | PA      | $8442385.83   | 0.76%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377J4M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5155337 | PA      | $5178044.74   | 0.47%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620A9YX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69304 | PA      | $69218.27     | 0.01%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161938 | PA      | $160086.93    | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UWT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365007 | PA      | $366140.48    | 0.03%             | 2066-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20402757 | PA      | $18556921.96  | 1.68%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31335Y5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23351 | PA      | $24303.56     | 0.00%             | 2038-02-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3144314 | PA      | $2601680.76   | 0.23%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137AXXX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8921331 | PA      | $8459604.14   | 0.76%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115180 | PA      | $115237.42    | 0.01%             | 2061-02-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BKX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76077 | PA      | $76112.52     | 0.01%             | 2061-02-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394ARP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58921 | PA      | $65575.30     | 0.01%             | 2032-11-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3132WPRL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    557765 | PA      | $521958.56    | 0.05%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375LTF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    459657 | PA      | $458569.03    | 0.04%             | 2037-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291KFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36121 | PA      | $37401.89     | 0.00%             | 2034-04-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36290T5F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71767 | PA      | $75654.18     | 0.01%             | 2037-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374HA42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    415335 | PA      | $422512.50    | 0.04%             | 2034-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177WRW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40076 | PA      | $36605.70     | 0.00%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176SX70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216899 | PA      | $206147.97    | 0.02%             | 2041-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128L5HY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7078 | PA      | $7269.31      | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36213M5S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191313 | PA      | $192302.23    | 0.02%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31712 | PA      | $31217.67     | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620A9TT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313389 | PA      | $318576.36    | 0.03%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378PUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    362228 | PA      | $48348.65     | 0.00%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38383HBR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12221994 | PA      | $12256108.03  | 1.11%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BAN34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2123951 | PA      | $295348.45    | 0.03%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ANQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1446917 | PA      | $1213145.43   | 0.11%             | 2045-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137A4LJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2903542 | PA      | $2926650.34   | 0.26%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1 | CUSIP: 35563PJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3510868 | PA      | $3297626.07   | 0.30%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36296Q6J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61997 | PA      | $63908.90     | 0.01%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379FB65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1925303 | PA      | $1831078.14   | 0.17%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176LMK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    542140 | PA      | $503692.17    | 0.05%             | 2041-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31397QLM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    920995 | PA      | $949424.05    | 0.09%             | 2040-05-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36182HRB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176419 | PA      | $175365.54    | 0.02%             | 2065-01-20      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413HRJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5859 | PA      | $5888.82      | 0.00%             | 2037-05-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377QTH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3736465 | PA      | $3671713.27   | 0.33%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385GB24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10016439 | PA      | $10059536.71  | 0.91%             | 2055-05-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394CQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1339903 | PA      | $118444.01    | 0.01%             | 2035-03-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EXL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25643 | PA      | $25707.32     | 0.00%             | 2038-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31390F2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23588 | PA      | $23691.51     | 0.00%             | 2032-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384XWA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4975109 | PA      | $4981015.99   | 0.45%             | 2054-11-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177LYJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113656 | PA      | $105792.62    | 0.01%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16062679 | PA      | $13295996.89  | 1.20%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36176F3X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2097 | PA      | $2094.39      | 0.00%             | 2062-09-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394BQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1367850 | PA      | $1467420.14   | 0.13%             | 2034-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38382FFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16697645 | PA      | $1721724.23   | 0.16%             | 2035-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1395 | NC      | $19117.78     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291LUJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55215 | PA      | $56934.47     | 0.01%             | 2034-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137ATRR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    976495 | PA      | $926863.87    | 0.08%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AVJ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23973 | PA      | $24198.34     | 0.00%             | 2029-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384CJJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7068644 | PA      | $7238450.13   | 0.65%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394ETR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61454 | PA      | $62569.95     | 0.01%             | 2035-05-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14628557 | PA      | $1358646.25   | 0.12%             | 2035-07-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EHR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75971 | PA      | $77507.84     | 0.01%             | 2036-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291PDP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30019 | PA      | $30782.26     | 0.00%             | 2034-06-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A1MS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $677386.28    | 0.06%             | 2041-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    417350 | PA      | $416933.13    | 0.04%             | 2062-12-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622AAEV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2246830 | PA      | $2082126.39   | 0.19%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378VYA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    911024 | PA      | $825617.32    | 0.07%             | 2043-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    503965 | PA      | $504219.88    | 0.05%             | 2067-08-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36291RY71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6318 | PA      | $6421.24      | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374VVT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1212022 | PA      | $1266136.14   | 0.11%             | 2039-07-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202V5J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40747 | PA      | $40864.97     | 0.00%             | 2033-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36212XE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109972 | PA      | $109920.20    | 0.01%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EWV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11379 | PA      | $11706.37     | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107387 | PA      | $116348.48    | 0.01%             | 2035-03-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138LSKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4063796 | PA      | $3954602.15   | 0.36%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137AJH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3136610 | PA      | $297617.91    | 0.03%             | 2041-11-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57137 | PA      | $56448.37     | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140JBCA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    588732 | PA      | $583985.90    | 0.05%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385CNX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6897664 | PA      | $6699626.55   | 0.61%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291KMV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33163 | PA      | $32795.59     | 0.00%             | 2034-06-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38382AJM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8859357 | PA      | $8052981.13   | 0.73%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384CKP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    923648 | PA      | $927104.92    | 0.08%             | 2053-08-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2311145 | PA      | $2283297.35   | 0.21%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XSM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19766 | PA      | $19671.41     | 0.00%             | 2033-08-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae Trust 2004-W2                                      | CUSIP: 31393XGT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    602064 | PA      | $595269.79    | 0.05%             | 2044-02-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381WDH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109899 | PA      | $91422.12     | 0.01%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376XL68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    678639 | PA      | $689614.20    | 0.06%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2002-W9                                | CUSIP: 31392ESN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2839413 | PA      | $2872036.77   | 0.26%             | 2042-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ATEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1990157 | PA      | $1726823.88   | 0.16%             | 2043-10-25      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31397NKP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83345 | PA      | $94329.21     | 0.01%             | 2039-03-25      | Variable      | 14.03%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31406TMD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127742 | PA      | $129735.87    | 0.01%             | 2035-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31393YFF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2298785 | PA      | $2342440.75   | 0.21%             | 2034-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380LCU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89727 | PA      | $89557.65     | 0.01%             | 2068-02-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36296UNS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41232 | PA      | $42719.93     | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RDT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53747 | PA      | $54382.70     | 0.00%             | 2033-07-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379CZ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    666573 | PA      | $54614.97     | 0.00%             | 2044-07-16      | Floating      | 1.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377FZV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    533358 | PA      | $535159.50    | 0.05%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413DWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45594 | PA      | $47049.51     | 0.00%             | 2037-07-01      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376ETX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7224702 | PA      | $7372386.10   | 0.67%             | 2039-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3620C0PN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2224808 | PA      | $2051527.84   | 0.19%             | 2042-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BJN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259860 | PA      | $259795.03    | 0.02%             | 2060-11-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179U6X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3571997 | PA      | $3484854.10   | 0.31%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62917 | PA      | $63955.95     | 0.01%             | 2029-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36210SDX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43550 | PA      | $44052.54     | 0.00%             | 2029-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385DFL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208311 | PA      | $226609.27    | 0.02%             | 2055-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36202XLN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117284 | PA      | $117225.23    | 0.01%             | 2034-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    340309 | PA      | $340354.32    | 0.03%             | 2065-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                     | Federal Home Loan Bank Discount Notes                         | CUSIP: 313385MM5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   3600000 | PA      | $3598794.00   | 0.33%             | 2025-10-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42814 | PA      | $43400.35     | 0.00%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    723195 | PA      | $725942.00    | 0.07%             | 2062-03-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202D5D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78565 | PA      | $81097.71     | 0.01%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617AALR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232060 | PA      | $207404.04    | 0.02%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375K7C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158829 | PA      | $161261.46    | 0.01%             | 2037-08-16      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EVG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10044 | PA      | $10081.37     | 0.00%             | 2038-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKHM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16496 | PA      | $16746.67     | 0.00%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381XL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2399085 | PA      | $2346105.33   | 0.21%             | 2049-08-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202FKG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    524155 | PA      | $496339.47    | 0.04%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AAJ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470644 | PA      | $8728.84      | 0.00%             | 2027-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3691148 | PA      | $3599650.76   | 0.33%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1258316 | PA      | $1125112.34   | 0.10%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413EAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151955 | PA      | $153884.27    | 0.01%             | 2047-08-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374GSH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143338 | PA      | $124752.54    | 0.01%             | 2034-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137B0PV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1882489 | PA      | $38424.06     | 0.00%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36181KE63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    817716 | PA      | $749948.29    | 0.07%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202SRU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52721 | PA      | $53700.39     | 0.00%             | 2033-04-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379Q2P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2364266 | PA      | $35684.82     | 0.00%             | 2045-06-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36291UMP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64089 | PA      | $66244.26     | 0.01%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617AFU84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    976423 | PA      | $919028.31    | 0.08%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377RG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5314595 | PA      | $536678.47    | 0.05%             | 2040-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31335B5H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2621362 | PA      | $2455114.50   | 0.22%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DKJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24898 | PA      | $25797.57     | 0.00%             | 2037-09-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1115762 | PA      | $1072590.97   | 0.10%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177WX88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70562 | PA      | $65300.97     | 0.01%             | 2042-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378YBA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1614758 | PA      | $1516970.05   | 0.14%             | 2043-10-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202FDQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21416 | PA      | $21068.23     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376KPV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2799894 | PA      | $2900626.65   | 0.26%             | 2039-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380KLU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750000 | PA      | $633246.90    | 0.06%             | 2047-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380MK67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2104308 | PA      | $1322149.22   | 0.12%             | 2060-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XUR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117765 | PA      | $119104.57    | 0.01%             | 2033-09-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381QEE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9989211 | PA      | $10002939.98  | 0.90%             | 2055-08-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36201F2A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29096 | PA      | $29704.85     | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374MXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    898111 | PA      | $915364.79    | 0.08%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36178SC89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99079 | PA      | $95643.73     | 0.01%             | 2042-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374MAM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    586025 | PA      | $588611.77    | 0.05%             | 2035-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378EWC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2389264 | PA      | $220043.33    | 0.02%             | 2042-05-16      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379HXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    769050 | PA      | $112055.31    | 0.01%             | 2035-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379PF69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4759398 | PA      | $4229008.58   | 0.38%             | 2045-05-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202D2V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13207 | PA      | $13550.00     | 0.00%             | 2033-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140XGLU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4109353 | PA      | $3810556.88   | 0.34%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan                      | Freddie Mac Securities REMIC Trust 2005-S001                  | CUSIP: 35562QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1184122 | PA      | $1161103.21   | 0.10%             | 2045-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36192ST75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45150 | PA      | $40509.93     | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3618HEDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2018021 | PA      | $2055520.06   | 0.19%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128KRUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78652 | PA      | $82157.39     | 0.01%             | 2037-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202FHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20034 | PA      | $19707.92     | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DBX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29908 | PA      | $31161.24     | 0.00%             | 2037-01-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138E46D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56072 | PA      | $53431.95     | 0.00%             | 2041-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31378JD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2101 | PA      | $2099.18      | 0.00%             | 2027-07-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27321 | PA      | $30100.16     | 0.00%             | 2037-09-20      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378AAH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    945000 | PA      | $829555.30    | 0.07%             | 2041-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36292KJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       376 | PA      | $374.86       | 0.00%             | 2026-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378D5F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106216 | PA      | $3922.49      | 0.00%             | 2041-04-16      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379WM25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3544465 | PA      | $3173080.83   | 0.29%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38373MJ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39520 | PA      | $39413.89     | 0.00%             | 2048-01-16      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A4CM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2607506 | PA      | $2533588.33   | 0.23%             | 2042-03-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AHLJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    858813 | PA      | $761832.15    | 0.07%             | 2039-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AVV22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5577528 | PA      | $5337785.59   | 0.48%             | 2047-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AERJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1059922 | PA      | $972074.32    | 0.09%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381TKB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    661726 | PA      | $150844.51    | 0.01%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140MGMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1267472 | PA      | $1166259.06   | 0.11%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XSQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19280 | PA      | $19251.47     | 0.00%             | 2033-08-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q4M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39352 | PA      | $39191.62     | 0.00%             | 2033-06-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376FDM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10472958 | PA      | $10838334.68  | 0.98%             | 2039-08-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q6M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11368 | PA      | $11399.16     | 0.00%             | 2033-07-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31398VN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    915564 | PA      | $935503.47    | 0.08%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RJV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88545 | PA      | $88722.44     | 0.01%             | 2065-08-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176TCM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10970 | PA      | $10903.21     | 0.00%             | 2041-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413JJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160320 | PA      | $162375.34    | 0.01%             | 2047-08-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q4K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81597 | PA      | $82207.17     | 0.01%             | 2033-06-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374GCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    290324 | PA      | $294978.95    | 0.03%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18157814 | PA      | $1089722.13   | 0.10%             | 2030-04-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378H3V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166436 | PA      | $14136.45     | 0.00%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179XQV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    616500 | PA      | $602011.60    | 0.05%             | 2053-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AFDR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226707 | PA      | $226567.71    | 0.02%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36295Q3G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82122 | PA      | $85863.27     | 0.01%             | 2037-09-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376UMU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1021967 | PA      | $948787.81    | 0.09%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    401847 | PA      | $401805.29    | 0.04%             | 2067-02-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EVF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12173 | PA      | $12293.82     | 0.00%             | 2038-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379GSV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1850316 | PA      | $1681871.93   | 0.15%             | 2044-10-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374KT37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42207 | PA      | $5198.29      | 0.00%             | 2034-01-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35484 | PA      | $35341.79     | 0.00%             | 2033-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DGB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241282 | PA      | $251881.98    | 0.02%             | 2037-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378UNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7000000 | PA      | $6686624.70   | 0.60%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36200J6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63446 | PA      | $64079.04     | 0.01%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376CR68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    776854 | PA      | $767969.79    | 0.07%             | 2039-10-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128KRN75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70494 | PA      | $71189.45     | 0.01%             | 2037-01-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36182HR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275258 | PA      | $274118.93    | 0.02%             | 2065-02-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36295H3Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94614 | PA      | $99092.78     | 0.01%             | 2037-07-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394DVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    844430 | PA      | $890204.66    | 0.08%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374GCG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197395 | PA      | $196288.51    | 0.02%             | 2044-03-16      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36295YLY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95196 | PA      | $99708.59     | 0.01%             | 2038-01-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384GMM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1250802 | PA      | $1290820.66   | 0.12%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378PTP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2487341 | PA      | $2202144.33   | 0.20%             | 2043-12-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                    | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  94500000 | PA      | $95218061.09  | 8.60%             | 2055-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36181V6L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    539437 | PA      | $511400.24    | 0.05%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291KN60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26880 | PA      | $27897.02     | 0.00%             | 2034-06-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129673 | PA      | $129681.21    | 0.01%             | 2063-05-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BAHQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15549392 | PA      | $1143597.14   | 0.10%             | 2035-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291HBZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61696 | PA      | $61806.65     | 0.01%             | 2034-03-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622AAE59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6016560 | PA      | $5558753.69   | 0.50%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202FB54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15488 | PA      | $16020.65     | 0.00%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291BA80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16587 | PA      | $16485.21     | 0.00%             | 2033-12-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36210WBA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15580 | PA      | $15549.22     | 0.00%             | 2029-04-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374MSG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12049 | PA      | $12184.43     | 0.00%             | 2031-09-16      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374JQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1017017 | PA      | $1013974.75   | 0.09%             | 2034-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36181PCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10989 | PA      | $10977.10     | 0.00%             | 2064-09-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31411EDG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51353 | PA      | $52491.31     | 0.00%             | 2036-12-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375JSW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600911 | PA      | $81494.37     | 0.01%             | 2037-04-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377JT86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4359678 | PA      | $4297437.91   | 0.39%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384MEN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6154000 | PA      | $6272360.50   | 0.57%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31407G5D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57160 | PA      | $57549.16     | 0.01%             | 2035-07-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DHW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48258 | PA      | $50447.31     | 0.00%             | 2037-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                    | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9600000 | PA      | $9027949.63   | 0.82%             | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202SP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28953 | PA      | $29371.25     | 0.00%             | 2033-03-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381JUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2406423 | PA      | $116092.20    | 0.01%             | 2065-05-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 312979KQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35219 | PA      | $36788.05     | 0.00%             | 2038-02-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36200NZ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       139 | PA      | $140.34       | 0.00%             | 2034-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3546128 | PA      | $3266573.58   | 0.30%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F8TU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33682992 | PA      | $1450194.28   | 0.13%             | 2035-12-25      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376ETM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162386 | PA      | $163728.03    | 0.01%             | 2059-11-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKZC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    533333 | PA      | $539984.57    | 0.05%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413AK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165342 | PA      | $171606.12    | 0.02%             | 2037-02-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379EWR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2793200 | PA      | $2667458.79   | 0.24%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374KA37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199094 | PA      | $15065.40     | 0.00%             | 2035-02-16      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36295MVF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62005 | PA      | $64787.78     | 0.01%             | 2037-08-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AHYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    897924 | PA      | $658469.46    | 0.06%             | 2044-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622ABZB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7090021 | PA      | $6292572.13   | 0.57%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380HXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2890000 | PA      | $2275432.25   | 0.21%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211464 | PA      | $211650.11    | 0.02%             | 2061-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377RL60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    413728 | PA      | $415033.24    | 0.04%             | 2040-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31398P4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    629565 | PA      | $632848.19    | 0.06%             | 2040-05-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413JU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51676 | PA      | $53570.22     | 0.00%             | 2037-09-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RNW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72900 | PA      | $73094.08     | 0.01%             | 2065-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BCF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22476320 | PA      | $4265197.46   | 0.39%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291KHX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46737 | PA      | $48220.67     | 0.00%             | 2034-04-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through               | Freddie Mac Structured Pass-Through Certificates              | CUSIP: 31392UZ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    653172 | PA      | $624059.76    | 0.06%             | 2033-07-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31412YDZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21409 | PA      | $22125.29     | 0.00%             | 2036-11-01      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177VCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34381 | PA      | $31817.47     | 0.00%             | 2042-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136B1VB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443764 | PA      | $403892.47    | 0.04%             | 2048-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA BOND CBT                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        19 | NC      | $64676.57     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377KWB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    918000 | PA      | $879559.76    | 0.08%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377YEW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67575 | PA      | $3516.88      | 0.00%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137FVF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2597868 | PA      | $2294193.34   | 0.21%             | 2040-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380MGJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11849897 | PA      | $9873810.44   | 0.89%             | 2058-06-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q6Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8865 | PA      | $8832.20      | 0.00%             | 2033-05-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EF20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152544 | PA      | $156002.45    | 0.01%             | 2035-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XUX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32181 | PA      | $32145.65     | 0.00%             | 2033-09-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366300 | PA      | $365630.44    | 0.03%             | 2062-12-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ANEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1401927 | PA      | $1098839.07   | 0.10%             | 2045-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36297KMZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19752 | PA      | $20768.55     | 0.00%             | 2039-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 312940FU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358860 | PA      | $366188.50    | 0.03%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137B4QW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1871677 | PA      | $1434271.81   | 0.13%             | 2043-09-15      | Floating      | 1.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B3Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104190 | PA      | $104328.27    | 0.01%             | 2063-07-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ATVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4333554 | PA      | $4005932.12   | 0.36%             | 2046-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2004-W11                               | CUSIP: 31394AC46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1333787 | PA      | $1273621.54   | 0.12%             | 2043-03-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378MAU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1284885 | PA      | $204241.66    | 0.02%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36181CPF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    276193 | PA      | $272865.98    | 0.02%             | 2034-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4034819 | PA      | $3998464.69   | 0.36%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179W7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7537719 | PA      | $7166455.14   | 0.65%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36212XHB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32953 | PA      | $32696.15     | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RPV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    637240 | PA      | $640401.17    | 0.06%             | 2066-01-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622A2MZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    705910 | PA      | $670106.22    | 0.06%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F0306A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2233000 | PA      | $1961721.03   | 0.18%             | 2055-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140MGLQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1348910 | PA      | $1159301.13   | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                    | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29750000 | PA      | $28854946.56  | 2.61%             | 2055-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617AW2W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    688130 | PA      | $635756.09    | 0.06%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176TQL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125084 | PA      | $116306.47    | 0.01%             | 2041-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617AAP40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2234067 | PA      | $2140059.72   | 0.19%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4302 | PA      | $4295.91      | 0.00%             | 2037-08-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38382ECA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16668927 | PA      | $3251343.33   | 0.29%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ACYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42927 | PA      | $38560.98     | 0.00%             | 2042-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                     | CUSIP: 01F0326A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1257000 | PA      | $1148590.74   | 0.10%             | 2055-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31406EEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39713 | PA      | $40341.79     | 0.00%             | 2034-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31395TX74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82531 | PA      | $68355.57     | 0.01%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202CXA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       921 | PA      | $930.58       | 0.00%             | 2027-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620ARHH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144763 | PA      | $150149.66    | 0.01%             | 2040-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374UGL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    825974 | PA      | $850201.33    | 0.08%             | 2039-05-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 312934HK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325501 | PA      | $333918.92    | 0.03%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RGP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    632649 | PA      | $632828.71    | 0.06%             | 2065-09-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UDY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305450 | PA      | $306083.96    | 0.03%             | 2063-12-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B8G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208154 | PA      | $210067.58    | 0.02%             | 2063-09-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381DJJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2333712 | PA      | $1087947.36   | 0.10%             | 2061-05-16      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98649 | PA      | $98618.04     | 0.01%             | 2065-05-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16272266 | PA      | $1729723.98   | 0.16%             | 2035-05-25      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378TE48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    489526 | PA      | $38484.09     | 0.00%             | 2043-06-20      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A5CH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2338647.50   | 0.21%             | 2042-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291A2D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34426 | PA      | $34392.72     | 0.00%             | 2033-09-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EY94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4980 | PA      | $4983.52      | 0.00%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36201QC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136779 | PA      | $138910.83    | 0.01%             | 2029-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit              | Freddie Mac Whole Loan Securities Trust 2017-SC02             | CUSIP: 3137G1BU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6320068 | PA      | $5435431.62   | 0.49%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374MU98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1312859 | PA      | $1323536.31   | 0.12%             | 2036-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    676908 | PA      | $677487.47    | 0.06%             | 2064-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377YCJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    317925 | PA      | $315206.28    | 0.03%             | 2041-05-16      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3620AXEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    634938 | PA      | $647692.24    | 0.06%             | 2036-01-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291EDD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90954 | PA      | $91472.18     | 0.01%             | 2033-12-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202FVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    341577 | PA      | $349977.88    | 0.03%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B7B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    279799 | PA      | $279937.41    | 0.03%             | 2063-06-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291PL20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72355 | PA      | $73091.61     | 0.01%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179MK82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3536262 | PA      | $3424614.45   | 0.31%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202SRW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33535 | PA      | $33420.05     | 0.00%             | 2033-04-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WG28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6232456 | PA      | $5156968.87   | 0.47%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138ERG87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295773 | PA      | $284526.01    | 0.03%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A4F38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3072936 | PA      | $2998499.38   | 0.27%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DNN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74314 | PA      | $77051.91     | 0.01%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31397QPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    849943 | PA      | $867831.88    | 0.08%             | 2041-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BSP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    319387 | PA      | $320657.68    | 0.03%             | 2062-05-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137FGWE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1937447 | PA      | $1849970.65   | 0.17%             | 2048-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31395WWD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15323 | PA      | $15638.32     | 0.00%             | 2035-04-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379C5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1396856 | PA      | $112259.57    | 0.01%             | 2044-07-16      | Floating      | 1.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202DVM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14215 | PA      | $14636.94     | 0.00%             | 2032-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620A65E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    337349 | PA      | $343008.44    | 0.03%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176SX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225875 | PA      | $210026.81    | 0.02%             | 2041-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31396WSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350666 | PA      | $351881.74    | 0.03%             | 2037-05-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617BQ4H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4357 | PA      | $4326.78      | 0.00%             | 2067-10-20      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385DRG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2896475 | PA      | $2900201.38   | 0.26%             | 2055-02-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AMAC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37267 | PA      | $38037.03     | 0.00%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36182RXZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    287917 | PA      | $285309.18    | 0.03%             | 2034-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376EUN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1018184 | PA      | $1005222.32   | 0.09%             | 2039-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376CRH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345423 | PA      | $28332.11     | 0.00%             | 2039-09-16      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380BHT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3976882 | PA      | $710693.69    | 0.06%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 312979GQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74679 | PA      | $77662.31     | 0.01%             | 2037-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291SSS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81296 | PA      | $81642.24     | 0.01%             | 2035-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622AAFU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4478108 | PA      | $4093058.20   | 0.37%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291A7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18464 | PA      | $18396.30     | 0.00%             | 2033-11-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                       | Vendee Mortgage Trust 2011-2                                  | CUSIP: 92262BAG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17852218 | PA      | $284946.39    | 0.03%             | 2041-10-15      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36182HRK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109997 | PA      | $109446.97    | 0.01%             | 2065-01-20      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ2J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    299133 | PA      | $295942.22    | 0.03%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AEVL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    656012 | PA      | $30227.44     | 0.00%             | 2033-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ABLP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2916762 | PA      | $280667.62    | 0.03%             | 2042-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38383MX94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2346452 | PA      | $2006238.99   | 0.18%             | 2037-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136B55B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2944970 | PA      | $200129.58    | 0.02%             | 2033-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378F5U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1485039 | PA      | $139324.10    | 0.01%             | 2042-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202WQV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66135 | PA      | $66464.66     | 0.01%             | 2033-05-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202WUQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59135 | PA      | $59415.28     | 0.01%             | 2033-05-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13217 | PA      | $13175.40     | 0.00%             | 2033-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2002-W2                                | CUSIP: 31392CEN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1592 | PA      | $1608.82      | 0.00%             | 2032-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31335Y2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107827 | PA      | $110891.77    | 0.01%             | 2037-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378CCP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12227 | PA      | $12405.88     | 0.00%             | 2032-05-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    453953 | PA      | $456890.38    | 0.04%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** Voya Funds Trust

**Signature:** Dorothy Roman

**Name of Signer:** Dorothy Roman

**Title:** Vice President, Fund Administration