# EDGAR Filing Document

**Accession Number:** 0001491978
**File Stem:** 0002071691-26-014823
**Filing Date:** 2026-6
**Character Count:** 167570
**Document Hash:** 63621d688eaf9b6bc5262be57fdd7df8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-014823.hdr.sgml**: 20260625

**ACCESSION NUMBER**: 0002071691-26-014823

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260625

**DATE AS OF CHANGE**: 20260625

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FLEXSHARES TRUST
- **CENTRAL INDEX KEY:** 0001491978

**ORGANIZATION NAME:**
- **EIN:** 272560399
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22555
- **FILM NUMBER:** 261119268

**BUSINESS ADDRESS:**
- **STREET 1:** 50 SOUTH LASALLE STREET
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60603
- **BUSINESS PHONE:** (855) 353-9383

**MAIL ADDRESS:**
- **STREET 1:** 50 SOUTH LASALLE STREET
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60603

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FlexShares Trust
- **DATE OF NAME CHANGE:** 20110414

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NT ETF Trust
- **DATE OF NAME CHANGE:** 20100513

## Series and Classes Contracts Data

### FlexShares Disciplined Duration MBS Index Fund (Series ID: S000046193)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000144481 | FlexShares Disciplined Duration MBS Index Fund | MBSD            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** FlexShares Trust

- **b. Investment Company Act file number:** 811-22555

- **c. CIK number of Registrant:** 0001491978

- **d. LEI of Registrant:** 5493007FU2RQX77I4604

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

  - **Street Address 1:** 50 South LaSalle Street

  - **City:** Chicago

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60603

  - **Telephone number:** 855-353-9383

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

- **a. Name of Series:** FlexShares Disciplined Duration MBS Index Fund

- **b. EDGAR series identifier (if any):** S000046193

- **c. LEI of Series:** 549300PAH536BT2V8S59

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

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-04-30

**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:** $105862650.01

**Total Liabilities:** $11836414.28

**Net Assets:** $94026235.73

**Cash Not Reported:** $14052618.20

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 6179.00000000 | **1-Year:** 216.00000000 | **5-Year:** 1206.00000000 | **10-Year:** 15253.00000000 | **30-Year:** 15137.00000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000144481 | 1.18%                | -1.18%               | 0.15%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-70255.47               | $911344.37                                 |
| Month 2  | $-58399.66               | $-1343363.79                               |
| Month 3  | $-57843.76               | $-73488.69                                 |

**Designated Index Information**

- **Index Name:** ICE BofA Constrained Duration US Mortgage Backed Securities Index

- **Index Identifier:** MLCDUSMBS

### Schedule of Portfolio Investments

| Name          | Title                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA or FHLMC | UMBS, 15 Year, Single Family | CUSIP: 01F022451<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $940902.10    | 1.00%             | 2041-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC | UMBS, 30 Year, Single Family | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $525175.51    | 0.56%             | 2056-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC | UMBS, 15 Year, Single Family | CUSIP: 01F032450<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $960275.55    | 1.02%             | 2041-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC | UMBS, 30 Year, Single Family | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $637095.45    | 0.68%             | 2056-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC | UMBS, 30 Year, Single Family | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2150000 | PA      | $2016045.22   | 2.14%             | 2056-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC | UMBS, 15 Year, Single Family | CUSIP: 01F042459<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $99214.93     | 0.11%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC | UMBS, 30 Year, Single Family | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $577083.40    | 0.61%             | 2056-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC | UMBS, 30 Year, Single Family | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1280617.31   | 1.36%             | 2056-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC | UMBS, 15 Year, Single Family | CUSIP: 01F060451<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $309614.00    | 0.33%             | 2041-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC | UMBS, 30 Year, Single Family | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1556204.18   | 1.66%             | 2056-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC | UMBS, 30 Year, Single Family | CUSIP: 01F070658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2750000 | PA      | $2904411.54   | 3.09%             | 2056-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128K8GL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11419 | PA      | $11572.49     | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6880 | PA      | $6948.89      | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128LXCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M4E90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31449 | PA      | $31870.91     | 0.03%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M4NK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32602 | PA      | $34208.75     | 0.04%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M4RD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21199 | PA      | $22246.25     | 0.02%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M6KB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31106 | PA      | $31523.46     | 0.03%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M6VZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27668 | PA      | $28039.29     | 0.03%             | 2038-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M74Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24171 | PA      | $25272.41     | 0.03%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M7HB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10093 | PA      | $10227.84     | 0.01%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M7MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19007 | PA      | $19261.94     | 0.02%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M7QY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11621 | PA      | $11776.93     | 0.01%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M7QZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22742 | PA      | $23046.87     | 0.02%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M8H98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16607 | PA      | $16772.50     | 0.02%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M8N26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20939 | PA      | $21971.71     | 0.02%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M9CN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55613 | PA      | $50933.99     | 0.05%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M9D25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3167 | PA      | $3209.26      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M9LK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15353 | PA      | $14061.32     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M9LU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26340 | PA      | $24124.25     | 0.03%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M9TQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    496819 | PA      | $466320.70    | 0.50%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MACV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59197 | PA      | $62069.89     | 0.07%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54513 | PA      | $52494.43     | 0.06%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MAEB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10720 | PA      | $9817.80      | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MDTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    361134 | PA      | $357212.10    | 0.38%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MEYU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184494 | PA      | $183503.24    | 0.20%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJFQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37355 | PA      | $39202.77     | 0.04%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJRE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7352 | PA      | $6733.29      | 0.01%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJRT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47803 | PA      | $43781.03     | 0.05%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJSK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14897 | PA      | $13635.46     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJSS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19307 | PA      | $17657.52     | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8447 | PA      | $8092.31      | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25820 | PA      | $24749.93     | 0.03%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10367 | PA      | $9929.51      | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61734 | PA      | $59140.53     | 0.06%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJXF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21883 | PA      | $20945.65     | 0.02%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJYW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17659 | PA      | $15251.45     | 0.02%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MMQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149910 | PA      | $147769.72    | 0.16%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MMQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172013 | PA      | $169456.53    | 0.18%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MMSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250729 | PA      | $246996.59    | 0.26%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MMUB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    470581 | PA      | $455039.24    | 0.48%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MMVV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    605136 | PA      | $588387.40    | 0.63%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MMVZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    751225 | PA      | $722381.94    | 0.77%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MMWV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    399874 | PA      | $388406.18    | 0.41%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31292SAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    444096 | PA      | $417892.97    | 0.44%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31292SAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14796 | PA      | $13543.09     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3129325Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34161 | PA      | $34619.69     | 0.04%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 312934HF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33455 | PA      | $33904.51     | 0.04%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 312938Z97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9485 | PA      | $9612.31      | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 312944K59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8828 | PA      | $8518.05      | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31296YNP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24516 | PA      | $24494.80     | 0.03%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131WM6M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52572 | PA      | $53214.49     | 0.06%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131WN3Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25832 | PA      | $26148.14     | 0.03%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131WNLY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15673 | PA      | $15864.86     | 0.02%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131WNX25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14218 | PA      | $14442.32     | 0.02%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131WRNG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23798 | PA      | $23596.94     | 0.03%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131WRR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17711 | PA      | $17561.01     | 0.02%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131X62L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2138 | PA      | $2129.37      | 0.00%             | 2026-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131X7HZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7133 | PA      | $7095.52      | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131X7KE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4526 | PA      | $4499.91      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131X8T63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82458 | PA      | $81350.15     | 0.09%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131X8YD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115500 | PA      | $113808.54    | 0.12%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131XCJX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7988 | PA      | $7595.79      | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131XGLC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10726 | PA      | $10635.06     | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131XH4A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39056 | PA      | $37596.32     | 0.04%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131XKV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59939 | PA      | $56240.24     | 0.06%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131XLT98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18777 | PA      | $17630.37     | 0.02%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131XTF54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7998 | PA      | $7860.87      | 0.01%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 31329LBH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14679 | PA      | $14572.64     | 0.02%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 31329LEW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4504 | PA      | $4461.31      | 0.00%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 31329LFE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7625 | PA      | $7522.38      | 0.01%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 31329M4J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8605 | PA      | $8288.53      | 0.01%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A22K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33351 | PA      | $33758.35     | 0.04%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A3GX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35234 | PA      | $35665.36     | 0.04%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A3NC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32219 | PA      | $30394.50     | 0.03%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A44X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12838 | PA      | $12729.80     | 0.01%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A4E95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    294835 | PA      | $260217.04    | 0.28%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A4M70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26709 | PA      | $26456.35     | 0.03%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A4Q84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10903 | PA      | $10486.13     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A4SQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14016 | PA      | $13748.72     | 0.01%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A5B38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12853 | PA      | $12641.52     | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A5CF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2997 | PA      | $2866.50      | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A5CQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9128 | PA      | $8733.62      | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A5DA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9703 | PA      | $9542.83      | 0.01%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A5EF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29156 | PA      | $27879.04     | 0.03%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A5ER2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192660 | PA      | $189484.17    | 0.20%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A5GT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317874 | PA      | $312240.75    | 0.33%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A7H20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14950 | PA      | $14855.97     | 0.02%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A8SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49683 | PA      | $47261.59     | 0.05%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A9AD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11048 | PA      | $10830.19     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A9NH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    688030 | PA      | $676691.02    | 0.72%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A9Q67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429215 | PA      | $415703.47    | 0.44%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A9S57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53940 | PA      | $51101.83     | 0.05%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A9SG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15332 | PA      | $14621.91     | 0.02%             | 2031-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A9SR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16417 | PA      | $15634.55     | 0.02%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AA4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24549 | PA      | $23505.10     | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AAB52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AAEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AAKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AAUN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47270 | PA      | $46490.99     | 0.05%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AAVR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30355 | PA      | $27531.37     | 0.03%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AAXZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31084 | PA      | $31463.99     | 0.03%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132ABA44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142716 | PA      | $140364.33    | 0.15%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132ACEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14224 | PA      | $13634.73     | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132ACHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22921 | PA      | $22628.48     | 0.02%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132ACQ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.02         | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132ADUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25927 | PA      | $24415.45     | 0.03%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132ADZX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11991 | PA      | $11791.99     | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AEGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216886 | PA      | $206020.26    | 0.22%             | 2032-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132CWGG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    479725 | PA      | $473182.45    | 0.50%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132CWZ31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    555637 | PA      | $523062.86    | 0.56%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132CWZJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    444128 | PA      | $401268.74    | 0.43%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493176 | PA      | $444048.63    | 0.47%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132D6CX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    622200 | PA      | $619157.13    | 0.66%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132D6HH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    777348 | PA      | $757932.73    | 0.81%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DM6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179906 | PA      | $173179.69    | 0.18%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DNDW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127819 | PA      | $121813.59    | 0.13%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DNWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    583812 | PA      | $616401.11    | 0.66%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DPWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61969 | PA      | $64631.46     | 0.07%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DUD87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.02         | 0.00%             | 2054-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DWBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    717729 | PA      | $577601.66    | 0.61%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1203983 | PA      | $967212.40    | 1.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DWJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220459 | PA      | $232717.82    | 0.25%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DWJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    270111 | PA      | $276093.48    | 0.29%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DWLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130842 | PA      | $135677.36    | 0.14%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DWMC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    280312 | PA      | $290671.29    | 0.31%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132FCBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4977 | PA      | $5044.15      | 0.01%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132GD6Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36165 | PA      | $36652.06     | 0.04%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132GLKV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44632 | PA      | $42141.61     | 0.04%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132HLM34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26062 | PA      | $23869.16     | 0.03%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132HQ3K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13695 | PA      | $12539.05     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132J6Z98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14177 | PA      | $13014.93     | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132L7F79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93300 | PA      | $89341.59     | 0.10%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132L7F95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13934 | PA      | $13318.78     | 0.01%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132QVMX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14363 | PA      | $13750.64     | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132WHXB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17025 | PA      | $15443.73     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335A3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36047 | PA      | $36529.31     | 0.04%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335ABB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.02         | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335ANN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8937 | PA      | $8554.56      | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335AQL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24959 | PA      | $26189.97     | 0.03%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335AUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61882 | PA      | $64933.27     | 0.07%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335AYK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13981 | PA      | $13403.40     | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335AZ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38501 | PA      | $35232.62     | 0.04%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335BEE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43474 | PA      | $44057.58     | 0.05%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335BQT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21390 | PA      | $21676.89     | 0.02%             | 2044-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133D3L94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83460 | PA      | $73507.80     | 0.08%             | 2040-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133G6PA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    912200 | PA      | $863900.36    | 0.92%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133GCJU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272589 | PA      | $251743.08    | 0.27%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133GCVZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217317 | PA      | $195598.73    | 0.21%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYR84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21405 | PA      | $20064.81     | 0.02%             | 2039-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYSC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76711 | PA      | $71482.37     | 0.08%             | 2039-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84356 | PA      | $78552.00     | 0.08%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    568469 | PA      | $481900.39    | 0.51%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    479077 | PA      | $421356.97    | 0.45%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYUG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434685 | PA      | $368768.84    | 0.39%             | 2040-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYUU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132141 | PA      | $116136.78    | 0.12%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    412738 | PA      | $361663.07    | 0.38%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    468181 | PA      | $395776.28    | 0.42%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644417 | PA      | $561291.39    | 0.60%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYVG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366328 | PA      | $329626.83    | 0.35%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    406042 | PA      | $352164.21    | 0.37%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133L7X51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    734890 | PA      | $675935.41    | 0.72%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31368HMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12841 | PA      | $12997.33     | 0.01%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31368HMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26807 | PA      | $27688.48     | 0.03%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31368HNG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17485 | PA      | $18328.66     | 0.02%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31371LVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19877 | PA      | $20752.00     | 0.02%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138AFCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12526 | PA      | $12419.95     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138AFEH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10258 | PA      | $10383.18     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138AFFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15818 | PA      | $15684.24     | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138AG3P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8686 | PA      | $8613.05      | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ANNB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202051 | PA      | $204523.12    | 0.22%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138APRG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103691 | PA      | $99816.92     | 0.11%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ARGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15714 | PA      | $15127.02     | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ASSD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51179 | PA      | $50746.47     | 0.05%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ASW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37808 | PA      | $36349.73     | 0.04%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138AWB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12715 | PA      | $12245.68     | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138AYV22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40502 | PA      | $40304.47     | 0.04%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138AYV30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13114 | PA      | $13044.29     | 0.01%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138E2NC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3758 | PA      | $3737.91      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138E3AV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19716 | PA      | $18978.94     | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138E7TW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8863 | PA      | $8812.95      | 0.01%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EBP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57128 | PA      | $55280.26     | 0.06%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5193 | PA      | $5332.90      | 0.01%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EGE75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77101 | PA      | $80620.36     | 0.09%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EHBB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44468 | PA      | $45011.75     | 0.05%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EHFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80251 | PA      | $82771.42     | 0.09%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39115 | PA      | $37653.66     | 0.04%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EJHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48955 | PA      | $48541.70     | 0.05%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EKA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95019 | PA      | $96181.49     | 0.10%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EKAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16283 | PA      | $16149.75     | 0.02%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EKG74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29596 | PA      | $27815.50     | 0.03%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EKGF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28775 | PA      | $27005.01     | 0.03%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EKSG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12811 | PA      | $12044.69     | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EKVL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59321 | PA      | $55881.32     | 0.06%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EL5N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9723 | PA      | $9363.91      | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ELKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280188 | PA      | $278408.29    | 0.30%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ELWE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65344 | PA      | $62906.93     | 0.07%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EMLK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15838 | PA      | $16602.72     | 0.02%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EMWZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    632267 | PA      | $605669.33    | 0.64%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15305 | PA      | $15175.80     | 0.02%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ENMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59802 | PA      | $57566.18     | 0.06%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ENU64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34201 | PA      | $33834.77     | 0.04%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ENVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25324 | PA      | $24384.87     | 0.03%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EPAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80787 | PA      | $79455.83     | 0.08%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EPLC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112712 | PA      | $111760.43    | 0.12%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EPSH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23165 | PA      | $22783.48     | 0.02%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EPTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11370 | PA      | $11508.74     | 0.01%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EPTS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80054 | PA      | $80029.64     | 0.09%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EQAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8729 | PA      | $8354.68      | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EQAM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95458 | PA      | $92417.98     | 0.10%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EQU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49285 | PA      | $47443.46     | 0.05%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ERDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15156 | PA      | $14906.54     | 0.02%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25945 | PA      | $25517.58     | 0.03%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ERT91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9522 | PA      | $9365.11      | 0.01%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ETDN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19483 | PA      | $19161.60     | 0.02%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ETDZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5587 | PA      | $5335.37      | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ETHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28485 | PA      | $28015.73     | 0.03%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ETMS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7922 | PA      | $7590.28      | 0.01%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ETWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63313 | PA      | $62269.43     | 0.07%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138LTKF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17149 | PA      | $16022.80     | 0.02%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138LTN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18299 | PA      | $17192.34     | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138LUSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11804 | PA      | $11115.94     | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138M0U24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9216 | PA      | $8871.79      | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138M6JS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48126 | PA      | $47735.70     | 0.05%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MALJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50460 | PA      | $46158.74     | 0.05%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MB5T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9810 | PA      | $9232.04      | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MC3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18208 | PA      | $17107.38     | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MDYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54806 | PA      | $50134.20     | 0.05%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MDZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39619 | PA      | $36242.71     | 0.04%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MQTK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177629 | PA      | $157047.10    | 0.17%             | 2042-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MQVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38095 | PA      | $37625.50     | 0.04%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MSC49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190227 | PA      | $167595.60    | 0.18%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138NXLD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119849 | PA      | $117903.76    | 0.13%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138NY4Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14216 | PA      | $13383.30     | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138NYES0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115157 | PA      | $113694.69    | 0.12%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138NYGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22306 | PA      | $20404.38     | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138NYQR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23272 | PA      | $21864.85     | 0.02%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138W0F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6242 | PA      | $5518.98      | 0.01%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138W4AY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7321 | PA      | $6441.54      | 0.01%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138W92S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15721 | PA      | $15141.60     | 0.02%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138W9HB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14549 | PA      | $14012.05     | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138W9HL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3814 | PA      | $3662.94      | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138W9TL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9277 | PA      | $9141.63      | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WAAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60906 | PA      | $59902.71     | 0.06%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WAWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19033 | PA      | $18324.02     | 0.02%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WAWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24374 | PA      | $23447.24     | 0.02%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WAYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12551 | PA      | $12344.58     | 0.01%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WBEH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11920 | PA      | $11988.06     | 0.01%             | 2044-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WBQU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29337 | PA      | $28866.76     | 0.03%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WBRB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110206 | PA      | $108389.82    | 0.12%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WCPE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790359 | PA      | $777403.56    | 0.83%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WDBZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5815 | PA      | $5719.01      | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WEAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19858 | PA      | $19012.55     | 0.02%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WEGT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17110 | PA      | $16390.77     | 0.02%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WFKD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242569 | PA      | $235017.89    | 0.25%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WGAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717608 | PA      | $701546.66    | 0.75%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WHMS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12614 | PA      | $12398.10     | 0.01%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WHWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12654 | PA      | $12061.33     | 0.01%             | 2031-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WJB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21566 | PA      | $21174.71     | 0.02%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30252 | PA      | $28792.66     | 0.03%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WJU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20018 | PA      | $19671.85     | 0.02%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WQAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9339 | PA      | $8227.51      | 0.01%             | 2043-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WQCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65902 | PA      | $64593.44     | 0.07%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WTRL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4974 | PA      | $4430.31      | 0.00%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WVFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11785 | PA      | $11590.86     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138X3EZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9896 | PA      | $9528.19      | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138X6P58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64560 | PA      | $62178.64     | 0.07%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138X6UF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8149 | PA      | $7838.45      | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138XBAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10493 | PA      | $10092.25     | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138XBBW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161045 | PA      | $155121.27    | 0.16%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138XDTR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21750 | PA      | $20945.33     | 0.02%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138XEJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14174 | PA      | $13856.15     | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138Y63W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88644 | PA      | $84401.04     | 0.09%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138Y64A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13017 | PA      | $12907.30     | 0.01%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31402DM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31900 | PA      | $33073.38     | 0.04%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31402QVH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85145 | PA      | $87828.68     | 0.09%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26776 | PA      | $28064.86     | 0.03%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31405ML62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20404 | PA      | $20871.68     | 0.02%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140EA3X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51058 | PA      | $48780.73     | 0.05%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140EUKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49770 | PA      | $48949.22     | 0.05%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140EVZB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28184 | PA      | $28528.09     | 0.03%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140HJJT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    901636 | PA      | $905638.76    | 0.96%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J54S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49322 | PA      | $48509.25     | 0.05%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J56K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59061 | PA      | $58235.89     | 0.06%             | 2029-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J56Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10030 | PA      | $9606.38      | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J5FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11826 | PA      | $11303.45     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572267 | PA      | $532720.62    | 0.57%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J5NB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45653 | PA      | $44900.56     | 0.05%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J5PN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42774 | PA      | $44840.74     | 0.05%             | 2042-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J5RK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236398 | PA      | $230248.05    | 0.24%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J74Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200009 | PA      | $197431.09    | 0.21%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J7MF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323472 | PA      | $319580.19    | 0.34%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J7YE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24363 | PA      | $24018.34     | 0.03%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J87F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19566 | PA      | $19804.52     | 0.02%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J87H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17533 | PA      | $18363.12     | 0.02%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J8JK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104276 | PA      | $100377.88    | 0.11%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J8MA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34998 | PA      | $34531.77     | 0.04%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    862590 | PA      | $840408.42    | 0.89%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J9W64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56434 | PA      | $49768.90     | 0.05%             | 2046-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140QQWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60682 | PA      | $64036.82     | 0.07%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140QRFX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140W0ZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1140871 | PA      | $1177993.56   | 1.25%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X43D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121962 | PA      | $119544.52    | 0.13%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X4GD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52509 | PA      | $55107.68     | 0.06%             | 2049-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X4H58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54543 | PA      | $53751.11     | 0.06%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X4TN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10811 | PA      | $10681.36     | 0.01%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X5FF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351715 | PA      | $342765.49    | 0.36%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X5VB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18635 | PA      | $18409.15     | 0.02%             | 2029-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X6KQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348925 | PA      | $341895.77    | 0.36%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X7M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    573030 | PA      | $543409.76    | 0.58%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XA7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297433 | PA      | $291493.27    | 0.31%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XALK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316023 | PA      | $293680.66    | 0.31%             | 2040-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XAXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277741 | PA      | $258113.16    | 0.27%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XCBQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    641769 | PA      | $589244.30    | 0.63%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XGHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XHKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1110808 | PA      | $1148020.02   | 1.22%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XHSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    999193 | PA      | $844292.36    | 0.90%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XJCA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480148 | PA      | $467503.46    | 0.50%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XKJA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    810922 | PA      | $756280.70    | 0.80%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XKME7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931429 | PA      | $912332.48    | 0.97%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XLTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XMGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222964 | PA      | $200050.42    | 0.21%             | 2037-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XNC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    612060 | PA      | $631228.63    | 0.67%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XNKZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300207 | PA      | $316737.11    | 0.34%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XPUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1296394 | PA      | $1262735.30   | 1.34%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XRJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829112 | PA      | $821943.16    | 0.87%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410F4V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12611 | PA      | $12765.09     | 0.01%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410GE90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6836 | PA      | $7037.80      | 0.01%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410GZ48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12014 | PA      | $12561.56     | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410KFX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23038 | PA      | $24283.23     | 0.03%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9547 | PA      | $10007.52     | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410LC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64872 | PA      | $64324.41     | 0.07%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410LHR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45439 | PA      | $44858.14     | 0.05%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410LL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8057 | PA      | $7988.83      | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410LNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26734 | PA      | $27060.54     | 0.03%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31414LB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33613 | PA      | $34023.37     | 0.04%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31415P4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4179 | PA      | $4296.58      | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31416BTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28625 | PA      | $28973.61     | 0.03%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31416XJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15938 | PA      | $15054.30     | 0.02%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31416XJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8045 | PA      | $7590.37      | 0.01%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31416YLR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13073 | PA      | $13233.18     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31416YWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16616 | PA      | $16819.46     | 0.02%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31416YXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7387 | PA      | $7331.72      | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417ACQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93340 | PA      | $87996.18     | 0.09%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417AQE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12921 | PA      | $12437.91     | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417ARG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5155 | PA      | $5129.75      | 0.01%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417ARL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8265 | PA      | $8220.98      | 0.01%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417AXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6070 | PA      | $6034.56      | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417BHU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18605 | PA      | $17019.18     | 0.02%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417BSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34923 | PA      | $31945.92     | 0.03%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417C5E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46724 | PA      | $44977.52     | 0.05%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417CBP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43310 | PA      | $43011.80     | 0.05%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417CKM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86801 | PA      | $81660.96     | 0.09%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417DJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18159 | PA      | $18005.89     | 0.02%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417ECJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29384 | PA      | $26879.19     | 0.03%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417EHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67167 | PA      | $61440.91     | 0.07%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417EMZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100357 | PA      | $91723.42     | 0.10%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417EWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85334 | PA      | $78037.72     | 0.08%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417EZB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23898 | PA      | $21835.95     | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417FMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35737 | PA      | $31305.09     | 0.03%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417FZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14378 | PA      | $14176.89     | 0.02%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417NBY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28672 | PA      | $29022.33     | 0.03%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417YTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417YUG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418AAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277946 | PA      | $272307.88    | 0.29%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418AAW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2031-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418ACN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    821509 | PA      | $804640.29    | 0.86%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418ADR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418AM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5514 | PA      | $5445.88      | 0.01%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418BFU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10597 | PA      | $10675.75     | 0.01%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418CCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46935 | PA      | $40483.91     | 0.04%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418CDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239299 | PA      | $222687.66    | 0.24%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418CE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15547 | PA      | $13384.19     | 0.01%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418CKW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319301 | PA      | $310901.71    | 0.33%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418D2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446201 | PA      | $401443.50    | 0.43%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418D4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1329949 | PA      | $1220667.26   | 1.30%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418D4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1172447 | PA      | $899087.01    | 0.96%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339075 | PA      | $330619.43    | 0.35%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26731 | PA      | $24873.09     | 0.03%             | 2040-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    462967 | PA      | $440044.60    | 0.47%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DTL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110265 | PA      | $99625.30     | 0.11%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681518 | PA      | $614264.67    | 0.65%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    625614 | PA      | $530918.94    | 0.56%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    609295 | PA      | $467013.34    | 0.50%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DYG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340765 | PA      | $288684.22    | 0.31%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418E3G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340604 | PA      | $359350.26    | 0.38%             | 2054-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418ENM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147789 | PA      | $153252.00    | 0.16%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418EPN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    737759 | PA      | $766722.18    | 0.82%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418EUS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589970 | PA      | $587088.79    | 0.62%             | 2038-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439179 | PA      | $455619.94    | 0.48%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418EZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    728250 | PA      | $744523.43    | 0.79%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418FBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205146 | PA      | $212727.60    | 0.23%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418FEV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    733050 | PA      | $773580.74    | 0.82%             | 2054-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418FH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    661700 | PA      | $698120.62    | 0.74%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418FKQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439127 | PA      | $455356.79    | 0.48%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418FL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677088 | PA      | $698815.85    | 0.74%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418FLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    848636 | PA      | $853394.45    | 0.91%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418FPT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434383 | PA      | $434610.78    | 0.46%             | 2045-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418MG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3899 | PA      | $4053.28      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418MKZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24535 | PA      | $24834.01     | 0.03%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10991 | PA      | $11320.92     | 0.01%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418MZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25394 | PA      | $25936.82     | 0.03%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8924 | PA      | $9033.49      | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31419A4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16345 | PA      | $15428.15     | 0.02%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8268 | PA      | $8605.26      | 0.01%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 31427QCF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1320034 | PA      | $1391688.84   | 1.48%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36176XJ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    749799 | PA      | $690640.43    | 0.73%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36176XUX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344921 | PA      | $322165.98    | 0.34%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179M5K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29514 | PA      | $26157.39     | 0.03%             | 2043-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179N5Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34293 | PA      | $35372.58     | 0.04%             | 2044-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179NDP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42504 | PA      | $37617.73     | 0.04%             | 2043-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87952 | PA      | $86727.50     | 0.09%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179QWC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29105 | PA      | $25843.84     | 0.03%             | 2044-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179R7L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213427 | PA      | $210458.61    | 0.22%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179RGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102950 | PA      | $104543.87    | 0.11%             | 2045-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179RVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184237 | PA      | $181672.55    | 0.19%             | 2045-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179SCB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257310 | PA      | $261292.67    | 0.28%             | 2046-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    296503 | PA      | $272482.48    | 0.29%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    689739 | PA      | $656580.56    | 0.70%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93152 | PA      | $94135.80     | 0.10%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179U6U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1230256 | PA      | $1099325.08   | 1.17%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216320 | PA      | $221505.19    | 0.24%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179UWC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5482 | PA      | $5636.73      | 0.01%             | 2049-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    954035 | PA      | $818705.33    | 0.87%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179WT32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305445 | PA      | $288260.72    | 0.31%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1058229 | PA      | $871039.52    | 0.93%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1090149 | PA      | $897313.29    | 0.95%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    952217 | PA      | $816423.19    | 0.87%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1246266 | PA      | $1110855.53   | 1.18%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179X5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378787 | PA      | $397382.56    | 0.42%             | 2053-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179XNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    426774 | PA      | $433517.50    | 0.46%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179XNH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272201 | PA      | $279769.05    | 0.30%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179XNJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    736284 | PA      | $773139.09    | 0.82%             | 2052-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179XTH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101974 | PA      | $105659.42    | 0.11%             | 2053-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179XVX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142736 | PA      | $147860.14    | 0.16%             | 2053-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179Y2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    251540 | PA      | $263111.50    | 0.28%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179Y2P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    524469 | PA      | $544617.14    | 0.58%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179Y5N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212956 | PA      | $222752.66    | 0.24%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179Y5Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127916 | PA      | $131911.12    | 0.14%             | 2054-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179YDN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321528 | PA      | $334225.89    | 0.36%             | 2053-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    528239 | PA      | $553833.09    | 0.59%             | 2053-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179YHV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90084 | PA      | $93641.16     | 0.10%             | 2053-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179YRM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187006 | PA      | $193382.95    | 0.21%             | 2054-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36180AAJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    515717 | PA      | $535344.10    | 0.57%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 3618N5MT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    413993 | PA      | $428429.28    | 0.46%             | 2055-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202D2E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14757 | PA      | $15045.72     | 0.02%             | 2033-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18003 | PA      | $18533.31     | 0.02%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202DY21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15486 | PA      | $15783.76     | 0.02%             | 2033-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202E2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10928 | PA      | $11272.68     | 0.01%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202EAK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5344 | PA      | $5525.04      | 0.01%             | 2034-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202EHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40017 | PA      | $41276.73     | 0.04%             | 2036-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202F4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9027 | PA      | $9311.82      | 0.01%             | 2042-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202FPJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12349 | PA      | $12738.62     | 0.01%             | 2041-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36209FDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243794 | PA      | $232954.70    | 0.25%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 3620A2UF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    727555 | PA      | $720208.70    | 0.77%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 3620AY6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420077 | PA      | $398839.09    | 0.42%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36225B5Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11654 | PA      | $11931.65     | 0.01%             | 2034-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 3622A22C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    662076 | PA      | $631954.41    | 0.67%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 3622AAXB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1328166 | PA      | $1231760.46   | 1.31%             | 2046-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36241K3U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33055 | PA      | $34097.84     | 0.04%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36241KU30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26615 | PA      | $27454.45     | 0.03%             | 2038-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36241L4P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32270 | PA      | $32714.63     | 0.03%             | 2041-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36241LLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210965 | PA      | $202379.27    | 0.22%             | 2040-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36241LM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217953 | PA      | $209058.54    | 0.22%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36241LSS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12431 | PA      | $12762.33     | 0.01%             | 2040-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36295DNC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    697940 | PA      | $693731.34    | 0.74%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36295WJR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164622 | PA      | $157683.64    | 0.17%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36296Q6W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    728490 | PA      | $738287.30    | 0.79%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36297F3D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.01         | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-01

**Name of Applicant:** FlexShares Trust

**Signature:** Randal Rein

**Name of Signer:** Randal Rein

**Title:** Treasurer and PFO