# EDGAR Filing Document

**Accession Number:** 0001066602
**File Stem:** 0000940400-26-008666
**Filing Date:** 2026-2
**Character Count:** 326118
**Document Hash:** 640838b9e2deec01956e26e14b0d9a34
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-008666.hdr.sgml**: 20260226

**ACCESSION NUMBER**: 0000940400-26-008666

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260226

**DATE AS OF CHANGE**: 20260226

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08895
- **FILM NUMBER:** 26687470

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Scottsdale

  - **State:** AZ

  - **Foreign country:** US

  - **Zip / Postal Code:** 85258

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

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1516954405.20

**Total Liabilities:** $445066228.17

**Net Assets:** $1071888177.03

**Stand-by Commitments:** $437401730.97

**Cash Not Reported:** $460228.35

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 29.93945000 | **1-Year:** 60051.44824000 | **5-Year:** 441382.86725000 | **10-Year:** 162330.65847000 | **30-Year:** 18819.74467000

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

- **3-Month:** 0.00000000 | **1-Year:** 2221.52227000 | **5-Year:** 5831.99522000 | **10-Year:** 1422.64962000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000023002 | 0.60%                | 0.85%                | -0.20%               |
| Class ID C000023004 | 0.67%                | 0.66%                | -0.26%               |
| Class ID C000023005 | 0.76%                | 0.74%                | -0.17%               |
| Class ID C000057275 | 0.75%                | 0.74%                | -0.04%               |
| Class ID C000122009 | 0.76%                | 0.75%                | -0.03%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $796647.21               | $4089279.16                                |
| Month 2  | $-1973949.70             | $7789545.66                                |
| Month 3  | $420968.52               | $-5799967.90                               |

**Designated Index Information**

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

- **Index Identifier:** LGNMTRUU

### Schedule of Portfolio Investments

| Name                                        | Title                                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US LONG BOND(CBT)                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -61 | NC      | $56103.83     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31411EDG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49296 | PA      | $50859.57     | 0.00%             | 2036-12-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XUX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31275 | PA      | $31377.06     | 0.00%             | 2033-09-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394U5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1861549 | PA      | $1907796.95   | 0.18%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through               | Freddie Mac Structured Pass-Through Certificates              | CUSIP: 31392UZ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    632427 | PA      | $607771.79    | 0.06%             | 2033-07-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137HBD43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4643779 | PA      | $4820652.18   | 0.45%             | 2054-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70434 | PA      | $70657.24     | 0.01%             | 2064-03-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through               | Freddie Mac Structured Pass-Through Certificates              | CUSIP: 31393LFP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311254 | PA      | $303932.74    | 0.03%             | 2043-02-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378CCS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80575 | PA      | $81029.97     | 0.01%             | 2039-04-16      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375QLL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    326103 | PA      | $20004.51     | 0.00%             | 2038-05-16      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36295H3Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93211 | PA      | $97768.74     | 0.01%             | 2037-07-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AHLJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    867430 | PA      | $785407.71    | 0.07%             | 2039-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128L5HY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6601 | PA      | $6799.48      | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413SKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209570 | PA      | $211835.98    | 0.02%             | 2037-11-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14401434 | PA      | $12438088.80  | 1.16%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                              | CUSIP: 3133B3C21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1228271 | PA      | $1098133.88   | 0.10%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DBX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29419 | PA      | $30741.31     | 0.00%             | 2037-01-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36295YLY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93793 | PA      | $98382.42     | 0.01%             | 2038-01-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKHP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7330 | PA      | $7383.04      | 0.00%             | 2028-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202FHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19758 | PA      | $19523.48     | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377YCJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    304834 | PA      | $302408.42    | 0.03%             | 2041-05-16      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2228355 | PA      | $1898707.24   | 0.18%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291BA80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16180 | PA      | $16136.91     | 0.00%             | 2033-12-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RMX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136793 | PA      | $137186.64    | 0.01%             | 2065-11-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BUS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7732292 | PA      | $7745958.50   | 0.72%             | 2054-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379AAV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    936246 | PA      | $53651.03     | 0.01%             | 2040-03-20      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AQJE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    802570 | PA      | $797577.36    | 0.07%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2351900 | PA      | $1910248.47   | 0.18%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UAN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26945 | PA      | $27015.92     | 0.00%             | 2063-09-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137BSZ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3262785 | PA      | $3063499.98   | 0.29%             | 2046-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374TG81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    938281 | PA      | $948133.10    | 0.09%             | 2039-05-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291KN60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26208 | PA      | $26317.15     | 0.00%             | 2034-06-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31383HEB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8977 | PA      | $8997.94      | 0.00%             | 2029-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176KXB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273372 | PA      | $254326.65    | 0.02%             | 2041-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394DVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    811478 | PA      | $859231.47    | 0.08%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374KK93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    369216 | PA      | $371605.29    | 0.03%             | 2035-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177WRW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39592 | PA      | $36325.24     | 0.00%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31397QPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    813117 | PA      | $833347.69    | 0.08%             | 2041-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AVV22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5449841 | PA      | $5222533.16   | 0.49%             | 2047-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622ABZB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6869316 | PA      | $6136918.19   | 0.57%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376CRH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    335978 | PA      | $27420.04     | 0.00%             | 2039-09-16      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36291RY71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6170 | PA      | $6286.15      | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202DBG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         6 | PA      | $5.49         | 0.00%             | 2029-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378CCP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11202 | PA      | $11330.14     | 0.00%             | 2032-05-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3315203 | PA      | $2863212.13   | 0.27%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385CEY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8113044 | PA      | $8166772.95   | 0.76%             | 2055-01-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617AFU84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    969411 | PA      | $916755.73    | 0.09%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291A5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164634 | PA      | $166723.95    | 0.02%             | 2033-11-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379G4J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    599546 | PA      | $44557.48     | 0.00%             | 2044-11-20      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2004-W3                                | CUSIP: 31393XVK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1748119 | PA      | $1763229.00   | 0.16%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291BA64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19546 | PA      | $19628.77     | 0.00%             | 2033-11-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 312979GQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73571 | PA      | $76522.09     | 0.01%             | 2037-06-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413SEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100418 | PA      | $102434.26    | 0.01%             | 2047-10-01      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177MMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365409 | PA      | $337554.21    | 0.03%             | 2042-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381VZW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10015765 | PA      | $2423385.41   | 0.23%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EXM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12976 | PA      | $13106.92     | 0.00%             | 2038-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36212XE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106745 | PA      | $106924.80    | 0.01%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AEVL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604012 | PA      | $25887.37     | 0.00%             | 2033-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179W7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7339887 | PA      | $6999818.94   | 0.65%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36291FKA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102080 | PA      | $104425.35    | 0.01%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380KLU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750000 | PA      | $637721.10    | 0.06%             | 2047-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202SRX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14727 | PA      | $14517.61     | 0.00%             | 2033-04-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKHM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15042 | PA      | $15278.87     | 0.00%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31398P4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    603063 | PA      | $606308.38    | 0.06%             | 2040-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UTM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    270915 | PA      | $271067.30    | 0.03%             | 2064-12-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202SRW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32568 | PA      | $32517.88     | 0.00%             | 2033-04-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36297F6L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169315 | PA      | $169170.30    | 0.02%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137BCLN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9643623 | PA      | $9360813.45   | 0.87%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413SEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252409 | PA      | $257400.67    | 0.02%             | 2047-10-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AQ3B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3335549 | PA      | $373317.81    | 0.03%             | 2046-02-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36295GYK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    791877 | PA      | $791170.04    | 0.07%             | 2031-11-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375LTF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    443570 | PA      | $442598.73    | 0.04%             | 2037-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379QDJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130000 | PA      | $103031.41    | 0.01%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EVH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46432 | PA      | $46837.25     | 0.00%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381DJJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2333712 | PA      | $1092398.92   | 0.10%             | 2061-05-16      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137FGWE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1889194 | PA      | $1806116.27   | 0.17%             | 2048-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379Q7Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1468307 | PA      | $304006.99    | 0.03%             | 2045-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130041 | PA      | $130021.20    | 0.01%             | 2067-08-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375CTM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1740689 | PA      | $205931.93    | 0.02%             | 2042-04-16      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EXL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25302 | PA      | $25444.48     | 0.00%             | 2038-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36294TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203690 | PA      | $210148.64    | 0.02%             | 2037-09-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31393YFF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2333440 | PA      | $2379736.76   | 0.22%             | 2034-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177WRX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23649 | PA      | $22062.21     | 0.00%             | 2042-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376KQG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    777012 | PA      | $813987.68    | 0.08%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36182HRB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55737 | PA      | $55122.69     | 0.01%             | 2065-01-20      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31396LT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35320 | PA      | $41364.78     | 0.00%             | 2036-12-25      | Floating      | 10.61%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291A7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17992 | PA      | $17944.95     | 0.00%             | 2033-11-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                    | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  73593000 | PA      | $74952745.48  | 6.99%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36182DF67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3074 | PA      | $3073.03      | 0.00%             | 2065-04-20      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38382ECA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16131765 | PA      | $3125267.33   | 0.29%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181838 | PA      | $182123.39    | 0.02%             | 2064-03-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EVG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9910 | PA      | $10024.58     | 0.00%             | 2038-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379GKU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    857778 | PA      | $61107.33     | 0.01%             | 2044-09-20      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AEMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1049842 | PA      | $74537.78     | 0.01%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DKJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24539 | PA      | $25535.91     | 0.00%             | 2037-09-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138E46D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55409 | PA      | $52817.73     | 0.00%             | 2041-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381AZV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    387598 | PA      | $356837.54    | 0.03%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DGB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236778 | PA      | $247130.86    | 0.02%             | 2037-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177MMN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148336 | PA      | $138592.96    | 0.01%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BUB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14141682 | PA      | $14272823.47  | 1.33%             | 2055-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38383MX94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2346452 | PA      | $2020367.68   | 0.19%             | 2037-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375GC58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    422452 | PA      | $32727.93     | 0.00%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202SRU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51157 | PA      | $52202.45     | 0.00%             | 2033-04-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EVF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11947 | PA      | $12101.90     | 0.00%             | 2038-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36296WKB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25202 | PA      | $25269.41     | 0.00%             | 2034-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40098 | PA      | $40687.83     | 0.00%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A1MS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $679652.40    | 0.06%             | 2041-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385CET1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6421180 | PA      | $6467202.02   | 0.60%             | 2055-01-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DBZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29084 | PA      | $30339.53     | 0.00%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BJS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    568454 | PA      | $568764.66    | 0.05%             | 2061-01-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202FJL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62244 | PA      | $61735.24     | 0.01%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       188 | NC      | $-30467.23    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394CQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17483 | PA      | $103.24       | 0.00%             | 2035-03-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31396NX27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183176 | PA      | $190160.33    | 0.02%             | 2036-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BDG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146599 | PA      | $147599.56    | 0.01%             | 2060-06-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36296DPD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89126 | PA      | $89654.95     | 0.01%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380ATE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8067752 | PA      | $902470.82    | 0.08%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31393CGD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1260999 | PA      | $1283959.94   | 0.12%             | 2033-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413JU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50749 | PA      | $52720.81     | 0.00%             | 2037-09-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B6F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299199 | PA      | $302234.30    | 0.03%             | 2063-08-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376PAW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    704747 | PA      | $728975.25    | 0.07%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    446546 | PA      | $447359.38    | 0.04%             | 2064-10-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374GCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    276316 | PA      | $280499.55    | 0.03%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31335Y6E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30829 | PA      | $31908.68     | 0.00%             | 2038-01-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374MXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    860875 | PA      | $879092.71    | 0.08%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385B5L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10745000 | PA      | $11042059.49  | 1.03%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177LYK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57499 | PA      | $53534.43     | 0.00%             | 2041-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97188 | PA      | $97248.27     | 0.01%             | 2061-02-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    516339 | PA      | $516430.49    | 0.05%             | 2061-08-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EY94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4919 | PA      | $4960.79      | 0.00%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413SU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103951 | PA      | $105785.83    | 0.01%             | 2047-08-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36181KE63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    802785 | PA      | $734966.53    | 0.07%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DFX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44348 | PA      | $46019.27     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ACYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42074 | PA      | $38001.17     | 0.00%             | 2042-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413H2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170074 | PA      | $175034.50    | 0.02%             | 2037-08-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    980450 | PA      | $948406.41    | 0.09%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380F6N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1558287 | PA      | $328174.24    | 0.03%             | 2047-08-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177LYJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111789 | PA      | $104556.73    | 0.01%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377RAW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    469507 | PA      | $49172.20     | 0.00%             | 2040-12-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36181PCC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3721 | PA      | $3684.73      | 0.00%             | 2064-09-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622AAFU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4383142 | PA      | $3999222.28   | 0.37%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EY86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95630 | PA      | $97459.14     | 0.01%             | 2039-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2254670 | PA      | $2029932.77   | 0.19%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                       | Vendee Mortgage Trust 2011-2                                  | CUSIP: 92262BAG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17288330 | PA      | $280480.68    | 0.03%             | 2041-10-15      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176LAZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313291 | PA      | $290910.53    | 0.03%             | 2041-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31411YK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38759 | PA      | $40275.47     | 0.00%             | 2037-05-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291LUJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54018 | PA      | $55578.01     | 0.01%             | 2034-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36297DB63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89635 | PA      | $93076.37     | 0.01%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A5CH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2350849.00   | 0.22%             | 2042-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                       | Vendee Mortgage Trust 2011-2                                  | CUSIP: 92262BAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1973817 | PA      | $1863912.70   | 0.17%             | 2041-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38382FLB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2434436 | PA      | $294498.35    | 0.03%             | 2050-05-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AFDR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223001 | PA      | $223840.65    | 0.02%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22035322 | PA      | $19030955.31  | 1.78%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620A65D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    389170 | PA      | $398343.54    | 0.04%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265623 | PA      | $265929.42    | 0.02%             | 2065-07-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UDJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    224119 | PA      | $224706.41    | 0.02%             | 2064-02-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31335B5H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2556129 | PA      | $2417662.74   | 0.23%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138AKAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22359 | PA      | $22343.93     | 0.00%             | 2041-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EF20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144747 | PA      | $148467.76    | 0.01%             | 2035-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BAHQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14437108 | PA      | $1029367.22   | 0.10%             | 2035-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384CKP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    833276 | PA      | $836523.67    | 0.08%             | 2053-08-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136B14Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528375 | PA      | $505796.72    | 0.05%             | 2048-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379FCC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    682887 | PA      | $56882.64     | 0.01%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2002-W9                                | CUSIP: 31392ESN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2703092 | PA      | $2744229.51   | 0.26%             | 2042-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137ABE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146771 | PA      | $148616.13    | 0.01%             | 2039-03-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413JU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161691 | PA      | $164681.55    | 0.02%             | 2047-09-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177U5N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133161 | PA      | $123109.27    | 0.01%             | 2042-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XUR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114591 | PA      | $116124.73    | 0.01%             | 2033-09-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385DFL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211978 | PA      | $229294.88    | 0.02%             | 2055-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    371600 | PA      | $371254.83    | 0.03%             | 2062-12-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 312938Z97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95064 | PA      | $97923.18     | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377VEM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    967568 | PA      | $960224.37    | 0.09%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291SSS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79659 | PA      | $80067.18     | 0.01%             | 2035-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384GMM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1250802 | PA      | $1295132.92   | 0.12%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378PUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1900000 | PA      | $226267.96    | 0.02%             | 2043-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617MAVL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1647178 | PA      | $1458306.83   | 0.14%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137HB4J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8800000 | PA      | $9587085.20   | 0.89%             | 2053-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622AAE59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5789358 | PA      | $5339556.58   | 0.50%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394FAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139465 | PA      | $149644.62    | 0.01%             | 2035-08-25      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140MGLQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1315553 | PA      | $1134013.41   | 0.11%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137A4LJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2888638 | PA      | $2922122.12   | 0.27%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376ETX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7324498 | PA      | $7452550.74   | 0.70%             | 2039-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31395TX74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80441 | PA      | $67346.65     | 0.01%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31411XB61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42535 | PA      | $43888.92     | 0.00%             | 2037-01-01      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38373MV80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210039 | PA      | $2176.21      | 0.00%             | 2048-02-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381QXW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4968024 | PA      | $4991592.23   | 0.47%             | 2055-08-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291BAA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98909 | PA      | $99645.98     | 0.01%             | 2033-11-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UUF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313959 | PA      | $314046.55    | 0.03%             | 2065-02-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23862754 | PA      | $239097.63    | 0.02%             | 2027-09-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617AAP40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2113784 | PA      | $2034270.95   | 0.19%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202SPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98573 | PA      | $99871.64     | 0.01%             | 2033-03-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376CUB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1431068 | PA      | $1481826.34   | 0.14%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31335Y5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22984 | PA      | $23999.42     | 0.00%             | 2038-02-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202DX55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35465 | PA      | $34553.45     | 0.00%             | 2033-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378H3V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162250 | PA      | $13635.60     | 0.00%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128KRN75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67242 | PA      | $68270.79     | 0.01%             | 2037-01-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36230KJ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54691 | PA      | $53033.87     | 0.00%             | 2040-09-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376PLJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1509274 | PA      | $1556110.84   | 0.15%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31407G5D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56050 | PA      | $56552.74     | 0.01%             | 2035-07-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376FSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    364921 | PA      | $14151.92     | 0.00%             | 2039-07-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374KT37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38815 | PA      | $4769.23      | 0.00%             | 2034-01-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31407G5C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292214 | PA      | $297317.64    | 0.03%             | 2035-07-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394UAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263966 | PA      | $270306.90    | 0.03%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31397QY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4198748 | PA      | $458632.18    | 0.04%             | 2041-01-25      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140JBCA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510881 | PA      | $509952.26    | 0.05%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    729235 | PA      | $728054.19    | 0.07%             | 2060-10-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617AARE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58864 | PA      | $56910.22     | 0.01%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379CZ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    649004 | PA      | $52203.40     | 0.00%             | 2044-07-16      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380GHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $827058.10    | 0.08%             | 2047-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137AWPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3784816 | PA      | $3505667.27   | 0.33%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B8G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152424 | PA      | $153836.31    | 0.01%             | 2063-09-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376CRQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2632723 | PA      | $2749755.59   | 0.26%             | 2039-09-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380LR88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    447860 | PA      | $447810.00    | 0.04%             | 2069-11-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378YBA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1626899 | PA      | $1539443.91   | 0.14%             | 2043-10-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RAM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    458901 | PA      | $459408.09    | 0.04%             | 2065-04-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176SX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222107 | PA      | $206797.78    | 0.02%             | 2041-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WG28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6106044 | PA      | $5062797.62   | 0.47%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413DWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43489 | PA      | $45238.34     | 0.00%             | 2037-07-01      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378EWC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2279351 | PA      | $207490.91    | 0.02%             | 2042-05-16      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374NU21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44537 | PA      | $44535.20     | 0.00%             | 2036-11-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3620AWJA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238755 | PA      | $241483.39    | 0.02%             | 2030-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30826 | PA      | $30466.14     | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA BOND CBT                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -14 | NC      | $25781.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620ADSF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214754 | PA      | $215033.15    | 0.02%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14514827 | PA      | $12536560.88  | 1.17%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374KA37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185045 | PA      | $13921.93     | 0.00%             | 2035-02-16      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31411APC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7577 | PA      | $7690.00      | 0.00%             | 2036-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36295Q6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65903 | PA      | $68108.16     | 0.01%             | 2037-09-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31412YDZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21059 | PA      | $21823.89     | 0.00%             | 2036-11-01      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31410T5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54652 | PA      | $56664.70     | 0.01%             | 2037-09-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B3Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96272 | PA      | $96414.85     | 0.01%             | 2063-07-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380GHF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1816329 | PA      | $1449978.15   | 0.14%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A7BY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535482 | PA      | $30286.60     | 0.00%             | 2032-06-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381QEE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9897706 | PA      | $9951400.96   | 0.93%             | 2055-08-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36295MVF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60628 | PA      | $63458.69     | 0.01%             | 2037-08-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176SX70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213720 | PA      | $203432.12    | 0.02%             | 2041-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36178SC89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97533 | PA      | $94586.59     | 0.01%             | 2042-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620A9YX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66841 | PA      | $66525.77     | 0.01%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291AX46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113275 | PA      | $114188.01    | 0.01%             | 2033-10-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                    | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  94500000 | PA      | $95431074.48  | 8.90%             | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B8A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134316 | PA      | $134780.70    | 0.01%             | 2063-08-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384JXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6635025 | PA      | $6848221.45   | 0.64%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394CQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1276831 | PA      | $111970.82    | 0.01%             | 2035-03-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291G2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120100 | PA      | $121319.56    | 0.01%             | 2033-12-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137BKBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4573553 | PA      | $4460528.05   | 0.42%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2004-W11                               | CUSIP: 31394AC46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1262437 | PA      | $1206476.54   | 0.11%             | 2043-03-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111838 | PA      | $116135.38    | 0.01%             | 2037-10-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ANEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1401927 | PA      | $1099078.24   | 0.10%             | 2045-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380Q4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114682 | PA      | $107400.92    | 0.01%             | 2066-10-20      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3132XCR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2276879 | PA      | $2154202.90   | 0.20%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138ERG87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285905 | PA      | $276582.82    | 0.03%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376ETW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13003 | PA      | $20.92        | 0.00%             | 2039-04-16      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    385499 | PA      | $358277.31    | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38382RBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6969735 | PA      | $853793.59    | 0.08%             | 2051-04-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81746 | PA      | $82518.10     | 0.01%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381N3N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14887565 | PA      | $14994362.73  | 1.40%             | 2055-07-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31397NKP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81196 | PA      | $92123.10     | 0.01%             | 2039-03-25      | Variable      | 13.87%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413SND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65267 | PA      | $65160.17     | 0.01%             | 2037-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38373ATV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3527705 | PA      | $3649764.46   | 0.34%             | 2039-08-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374TXJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    616433 | PA      | $626272.50    | 0.06%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291EDD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88663 | PA      | $89368.15     | 0.01%             | 2033-12-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375PAK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252629 | PA      | $25709.73     | 0.00%             | 2038-01-20      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138E0JD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54358 | PA      | $53183.61     | 0.00%             | 2041-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31415TC32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54219 | PA      | $54656.25     | 0.01%             | 2038-05-01      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384XWA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4370030 | PA      | $4385657.10   | 0.41%             | 2054-11-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176TCM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10472 | PA      | $10369.91     | 0.00%             | 2041-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374GCG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192642 | PA      | $192463.70    | 0.02%             | 2044-03-16      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88955 | PA      | $88931.16     | 0.01%             | 2065-05-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36213M5S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180503 | PA      | $181714.77    | 0.02%             | 2029-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31414KSK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80587 | PA      | $80831.19     | 0.01%             | 2037-12-01      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36176F3X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2081 | PA      | $2082.40      | 0.00%             | 2062-09-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15724380 | PA      | $13038447.47  | 1.22%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374XE76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1904339 | PA      | $1951278.38   | 0.18%             | 2039-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RB51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19483 | PA      | $19451.70     | 0.00%             | 2033-05-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                     | Fannie Mae Grantor Trust 2001-T9                              | CUSIP: 313921FG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    410326 | PA      | $407426.57    | 0.04%             | 2031-09-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30200 | PA      | $30327.34     | 0.00%             | 2033-09-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RTJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    474971 | PA      | $477207.58    | 0.04%             | 2066-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31394THM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350044 | PA      | $366994.67    | 0.03%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374UCV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1018572 | PA      | $1026735.81   | 0.10%             | 2039-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36211FCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12404 | PA      | $12407.84     | 0.00%             | 2029-06-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DHW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47577 | PA      | $49707.02     | 0.00%             | 2037-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36295LVG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55780 | PA      | $55763.63     | 0.01%             | 2038-08-20      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3618N5ES4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9747181 | PA      | $9216929.43   | 0.86%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179R7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    601626 | PA      | $581208.37    | 0.05%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377LJM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    430157 | PA      | $32694.28     | 0.00%             | 2040-09-16      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375QZ44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    575057 | PA      | $52070.77     | 0.00%             | 2038-06-16      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376FBJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1628436 | PA      | $1725361.25   | 0.16%             | 2039-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34527 | PA      | $34435.86     | 0.00%             | 2033-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RGP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480143 | PA      | $480732.56    | 0.04%             | 2065-09-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377YEW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59181 | PA      | $2796.73      | 0.00%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    355686 | PA      | $355686.79    | 0.03%             | 2067-02-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620C3RB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97359 | PA      | $93829.21     | 0.01%             | 2040-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291EDF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34366 | PA      | $34529.66     | 0.00%             | 2033-11-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XXQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14455 | PA      | $14667.26     | 0.00%             | 2033-09-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379C5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1354879 | PA      | $107132.45    | 0.01%             | 2044-07-16      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291HBZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58193 | PA      | $58431.39     | 0.01%             | 2034-03-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128M8YJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1132769 | PA      | $1166856.72   | 0.11%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BQSP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3816287 | PA      | $4015667.39   | 0.37%             | 2053-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176TCP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165519 | PA      | $154114.42    | 0.01%             | 2041-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3464138 | PA      | $3194060.65   | 0.30%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae Trust 2004-W2                                      | CUSIP: 31393XGT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    566618 | PA      | $560454.36    | 0.05%             | 2044-02-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36291T4Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26465 | PA      | $26883.34     | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137AJH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3032734 | PA      | $286027.58    | 0.03%             | 2041-11-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376FDM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10630839 | PA      | $10948977.92  | 1.02%             | 2039-08-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137FW5C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17740625 | PA      | $3295426.73   | 0.31%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202ETU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1641 | PA      | $1657.69      | 0.00%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9416 | PA      | $9534.45      | 0.00%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376GVM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51014 | PA      | $477.15       | 0.00%             | 2052-10-16      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36200NGV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65833 | PA      | $66161.68     | 0.01%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKZC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    527085 | PA      | $535053.73    | 0.05%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377EEV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3652810 | PA      | $3844566.92   | 0.36%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378UNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7000000 | PA      | $6702726.80   | 0.63%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380HXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2890000 | PA      | $2274704.84   | 0.21%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14616415 | PA      | $1317795.47   | 0.12%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202FDQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21127 | PA      | $20875.80     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376GJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7117524 | PA      | $18123.35     | 0.00%             | 2051-01-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18075543 | PA      | $1042555.74   | 0.10%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176TCQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60853 | PA      | $58219.06     | 0.01%             | 2041-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380TB96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4114325 | PA      | $3506414.72   | 0.33%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ACB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276286 | PA      | $15428.32     | 0.00%             | 2042-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394AZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52360 | PA      | $52965.30     | 0.00%             | 2029-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1086641 | PA      | $1050537.44   | 0.10%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31392JQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307503 | PA      | $323250.83    | 0.03%             | 2033-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3915261 | PA      | $3880448.45   | 0.36%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12376 | PA      | $12353.92     | 0.00%             | 2033-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AP2Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711932 | PA      | $696005.44    | 0.06%             | 2030-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291EDH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55605 | PA      | $56558.15     | 0.01%             | 2033-12-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BU26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183659 | PA      | $183291.15    | 0.02%             | 2063-04-20      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31397SMB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    928708 | PA      | $951607.68    | 0.09%             | 2041-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413JJM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68978 | PA      | $71658.44     | 0.01%             | 2037-08-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136B55B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2747981 | PA      | $183752.53    | 0.02%             | 2033-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379VDH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5692606 | PA      | $645850.05    | 0.06%             | 2046-02-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140MGMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1246243 | PA      | $1159552.19   | 0.11%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       238 | NC      | $9206.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381JLC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4004599 | PA      | $271872.79    | 0.03%             | 2065-03-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36291UMM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58733 | PA      | $60832.98     | 0.01%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381XL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2329183 | PA      | $2291460.70   | 0.21%             | 2049-08-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177WX88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69801 | PA      | $64682.63     | 0.01%             | 2042-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291G7K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29518 | PA      | $29640.05     | 0.00%             | 2034-03-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A72S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3457000 | PA      | $2980326.37   | 0.28%             | 2042-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376EUN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1029681 | PA      | $1014139.06   | 0.09%             | 2039-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36192ST75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43546 | PA      | $39326.35     | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374HA42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394657 | PA      | $401082.10    | 0.04%             | 2034-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379U4L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321092 | PA      | $9212.78      | 0.00%             | 2057-01-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    261304 | PA      | $261623.71    | 0.02%             | 2065-08-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BSP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323403 | PA      | $324736.24    | 0.03%             | 2062-05-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                     | Federal Home Loan Bank Discount Notes                         | CUSIP: 313385RV0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    855000 | PA      | $853753.13    | 0.08%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31406YYD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188755 | PA      | $192225.87    | 0.02%             | 2035-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617AAQ98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83998 | PA      | $75719.50     | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375YDM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1067096 | PA      | $87741.27     | 0.01%             | 2038-09-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380MXL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2131237 | PA      | $1425302.13   | 0.13%             | 2061-04-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36182RXZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269989 | PA      | $268284.05    | 0.03%             | 2034-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375KWU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    692050 | PA      | $577760.40    | 0.05%             | 2037-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380MGJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11938993 | PA      | $10009604.34  | 0.93%             | 2058-06-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617GCFX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8313 | PA      | $8294.74      | 0.00%             | 2068-02-20      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177WX70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49926 | PA      | $46583.05     | 0.00%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31398MDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    594738 | PA      | $597522.59    | 0.06%             | 2036-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                     | Federal Home Loan Bank Discount Notes                         | CUSIP: 313385RW8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   1675000 | PA      | $1672394.44   | 0.16%             | 2026-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UDY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    304466 | PA      | $305049.34    | 0.03%             | 2063-12-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13256287 | PA      | $10991387.26  | 1.03%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140XGLU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3995571 | PA      | $3750882.27   | 0.35%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375JSW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    564035 | PA      | $73732.17     | 0.01%             | 2037-04-16      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31412YD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131160 | PA      | $136569.34    | 0.01%             | 2036-11-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177VCU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121266 | PA      | $110360.53    | 0.01%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36201QC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125450 | PA      | $127486.02    | 0.01%             | 2029-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85802 | PA      | $87521.34     | 0.01%             | 2033-09-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3618HEDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2009508 | PA      | $2051451.44   | 0.19%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137FVF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2597868 | PA      | $2320952.68   | 0.22%             | 2040-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38373MJ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38945 | PA      | $38849.14     | 0.00%             | 2048-01-16      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179UGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73913 | PA      | $73271.15     | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2002-W2                                | CUSIP: 31392CEN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1196 | PA      | $1209.78      | 0.00%             | 2032-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36192ST59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176625 | PA      | $169981.01    | 0.02%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379JEL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7565226 | PA      | $6696398.48   | 0.62%             | 2044-10-20      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100612 | PA      | $108887.31    | 0.01%             | 2035-03-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137ADHB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    787199 | PA      | $765771.81    | 0.07%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291HCA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28969 | PA      | $29063.02     | 0.00%             | 2034-03-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378PUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349300 | PA      | $45919.00     | 0.00%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189943 | PA      | $190187.67    | 0.02%             | 2061-10-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381TKB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    635397 | PA      | $144243.79    | 0.01%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3618HEDZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1629998 | PA      | $1663870.13   | 0.16%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157303 | PA      | $156005.66    | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ABNF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1197450 | PA      | $1162983.85   | 0.11%             | 2042-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A96R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155640 | PA      | $822.76       | 0.00%             | 2027-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    440503 | PA      | $443677.25    | 0.04%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379HXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    741845 | PA      | $106350.81    | 0.01%             | 2035-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380MN98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2824003 | PA      | $2249018.71   | 0.21%             | 2060-11-16      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176B6T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64508 | PA      | $60070.43     | 0.01%             | 2041-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31414DXC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101095 | PA      | $101847.91    | 0.01%             | 2038-04-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377FZV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    517635 | PA      | $521129.43    | 0.05%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384DHW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8003804 | PA      | $8426698.22   | 0.79%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384DEV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18792129 | PA      | $19537707.05  | 1.82%             | 2063-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F8TU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33618473 | PA      | $1453242.56   | 0.14%             | 2035-12-25      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DM81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76956 | PA      | $80203.50     | 0.01%             | 2037-12-01      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BAN34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1982592 | PA      | $273542.07    | 0.03%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q4H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21422 | PA      | $21388.10     | 0.00%             | 2033-05-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413JJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94182 | PA      | $96072.61     | 0.01%             | 2047-08-01      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379DCW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1418781 | PA      | $281257.15    | 0.03%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381JUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2399057 | PA      | $115914.64    | 0.01%             | 2065-05-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617AW2W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    682211 | PA      | $629191.87    | 0.06%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394ARP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54373 | PA      | $60456.60     | 0.01%             | 2032-11-25      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378F5U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1389595 | PA      | $126342.02    | 0.01%             | 2042-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379Q2P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2364266 | PA      | $30083.63     | 0.00%             | 2045-06-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19341 | PA      | $20047.06     | 0.00%             | 2036-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177VCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34004 | PA      | $31511.18     | 0.00%             | 2042-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377RQA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    626765 | PA      | $612556.17    | 0.06%             | 2040-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377DAL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310776 | PA      | $11745.73     | 0.00%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377KWB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    918000 | PA      | $880910.05    | 0.08%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3618HEDX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1063672 | PA      | $1087736.80   | 0.10%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36296UTT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62181 | PA      | $62266.37     | 0.01%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36291UMP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63091 | PA      | $65348.45     | 0.01%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378MAU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1247521 | PA      | $193335.26    | 0.02%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XSM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19254 | PA      | $19207.94     | 0.00%             | 2033-08-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128M6SL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7048 | PA      | $7260.03      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BGS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17523 | PA      | $17507.25     | 0.00%             | 2058-08-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413JJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159271 | PA      | $162211.10    | 0.02%             | 2047-08-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31390F2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22822 | PA      | $23184.24     | 0.00%             | 2032-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380M4J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3666957 | PA      | $2662375.67   | 0.25%             | 2061-06-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617VQGL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20128850 | PA      | $17815096.66  | 1.66%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291G5N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36355 | PA      | $36542.98     | 0.00%             | 2034-02-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374VVT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1155252 | PA      | $1209556.74   | 0.11%             | 2039-07-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31396KXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1377426 | PA      | $122155.38    | 0.01%             | 2036-08-25      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19226267 | PA      | $16605273.87  | 1.55%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3324086 | PA      | $2870856.12   | 0.27%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       640 | PA      | $645.48       | 0.00%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377QTH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3575921 | PA      | $3530975.59   | 0.33%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413UWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78821 | PA      | $81044.37     | 0.01%             | 2037-09-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291PDP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29325 | PA      | $30112.20     | 0.00%             | 2034-06-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137B0PV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1585145 | PA      | $28103.99     | 0.00%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31390F2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25111 | PA      | $25816.62     | 0.00%             | 2032-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202FKG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    517632 | PA      | $492471.13    | 0.05%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AMAC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36812 | PA      | $37643.98     | 0.00%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2003-W15                               | CUSIP: 31393TC53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2060426 | PA      | $2082002.01   | 0.19%             | 2043-08-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36297GKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54137 | PA      | $55926.76     | 0.01%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374VME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113368 | PA      | $3632.69      | 0.00%             | 2037-06-16      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q6M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11025 | PA      | $11182.71     | 0.00%             | 2033-07-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380LX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125477 | PA      | $125302.13    | 0.01%             | 2070-01-20      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36210SDX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40803 | PA      | $41297.07     | 0.00%             | 2029-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RNW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64844 | PA      | $65024.03     | 0.01%             | 2065-12-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376R5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386756 | PA      | $386982.67    | 0.04%             | 2067-06-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30879023 | PA      | $1172624.72   | 0.11%             | 2029-12-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381BVD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10598746 | PA      | $9154027.79   | 0.85%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380YAR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1088718 | PA      | $1020815.56   | 0.10%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394VV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2389413 | PA      | $192023.39    | 0.02%             | 2036-03-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BKX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60309 | PA      | $60346.63     | 0.01%             | 2061-02-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -121 | NC      | $48905.78     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376ETM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162538 | PA      | $164052.53    | 0.02%             | 2059-11-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36212XHB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31880 | PA      | $31518.07     | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394BQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1341406 | PA      | $1444334.65   | 0.13%             | 2034-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q4L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22368 | PA      | $22459.74     | 0.00%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EHR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73522 | PA      | $75232.42     | 0.01%             | 2036-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385DRG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2631653 | PA      | $2644356.86   | 0.25%             | 2055-02-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3076025 | PA      | $2550471.36   | 0.24%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F6GV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2933256 | PA      | $105780.99    | 0.01%             | 2030-09-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36297E2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       471 | PA      | $466.68       | 0.00%             | 2061-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RPV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    496601 | PA      | $499547.12    | 0.05%             | 2066-01-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DNN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73222 | PA      | $76076.72     | 0.01%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202D5D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74286 | PA      | $77050.70     | 0.01%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136B3Q60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2870524 | PA      | $2552325.59   | 0.24%             | 2059-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291KFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35306 | PA      | $36475.19     | 0.00%             | 2034-04-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36181PCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11119 | PA      | $11123.96     | 0.00%             | 2064-09-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620C3JF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45001 | PA      | $44490.28     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376FEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8780251 | PA      | $9357818.81   | 0.87%             | 2039-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q4K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79261 | PA      | $80021.29     | 0.01%             | 2033-06-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                       | Vendee Mortgage Trust 2003-2                                  | CUSIP: 911760TM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    838385 | PA      | $849280.65    | 0.08%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622A26J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2985106 | PA      | $2797530.53   | 0.26%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377X4P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9246558 | PA      | $1459262.66   | 0.14%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374VZX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233825 | PA      | $241035.81    | 0.02%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3197815 | PA      | $2879068.53   | 0.27%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2002-W1                                | CUSIP: 31392CMV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94633 | PA      | $91814.17     | 0.01%             | 2042-04-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38383HBR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12390818 | PA      | $12448200.92  | 1.16%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202FVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    329786 | PA      | $338900.74    | 0.03%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q6R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67560 | PA      | $67934.25     | 0.01%             | 2033-07-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377JT86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4408908 | PA      | $4361077.59   | 0.41%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EJT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3994 | PA      | $4015.92      | 0.00%             | 2036-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138WESG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251153 | PA      | $243302.57    | 0.02%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202DVM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13281 | PA      | $13726.61     | 0.00%             | 2032-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FTBP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29444060 | PA      | $1712697.64   | 0.16%             | 2030-03-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622A2MZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    686586 | PA      | $646849.52    | 0.06%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                    | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  78275000 | PA      | $78108336.87  | 7.29%             | 2056-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202DY21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42824 | PA      | $43986.83     | 0.00%             | 2033-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622AAGA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16341343 | PA      | $15037676.02  | 1.40%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q6Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7866 | PA      | $7840.45      | 0.00%             | 2033-05-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AVJ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22179 | PA      | $22408.85     | 0.00%             | 2029-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ATEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1944036 | PA      | $1675637.66   | 0.16%             | 2043-10-25      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137FQRX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2160878 | PA      | $1930304.38   | 0.18%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31396URW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1821702 | PA      | $27748.52     | 0.00%             | 2036-07-15      | Floating      | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379FCK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15125000 | PA      | $13957039.94  | 1.30%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384MEN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6154000 | PA      | $6281843.81   | 0.59%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q4M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38302 | PA      | $38200.50     | 0.00%             | 2033-06-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3132XVR54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1204240 | PA      | $1135916.63   | 0.11%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128KRUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77343 | PA      | $80696.64     | 0.01%             | 2037-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295867 | PA      | $295392.22    | 0.03%             | 2062-12-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176BRQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216806 | PA      | $201698.15    | 0.02%             | 2041-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36290T5F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70487 | PA      | $74455.73     | 0.01%             | 2037-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36212UN80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13729 | PA      | $13801.16     | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3620AXEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    622351 | PA      | $636518.52    | 0.06%             | 2036-01-20      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2002-W12                               | CUSIP: 31392GSP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1468 | PA      | $1465.61      | 0.00%             | 2033-02-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36296Q5L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34614 | PA      | $35537.13     | 0.00%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36291HTN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19223 | PA      | $19295.87     | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380GLA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $845728.80    | 0.08%             | 2047-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280288 | PA      | $280333.04    | 0.03%             | 2063-06-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65550 | PA      | $65597.23     | 0.01%             | 2062-10-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379TPZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1981697 | PA      | $2015598.60   | 0.19%             | 2046-01-20      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138E5SY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80895 | PA      | $78556.43     | 0.01%             | 2041-10-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36181CPF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269220 | PA      | $266632.03    | 0.02%             | 2034-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36201EHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7595 | PA      | $7587.41      | 0.00%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36192ST34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70598 | PA      | $63744.49     | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177MAU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74551 | PA      | $67815.14     | 0.01%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620A65E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    332725 | PA      | $339143.78    | 0.03%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31395DQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208433 | PA      | $14381.38     | 0.00%             | 2036-05-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202WUQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57510 | PA      | $57959.81     | 0.01%             | 2033-05-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379WM25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3462406 | PA      | $3140399.56   | 0.29%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31407M5Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249917 | PA      | $250314.10    | 0.02%             | 2035-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3620C0P69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1487977 | PA      | $1386140.46   | 0.13%             | 2042-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176LMK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    533355 | PA      | $494943.83    | 0.05%             | 2041-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378VYA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    881179 | PA      | $801698.66    | 0.07%             | 2043-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202SP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28049 | PA      | $28877.50     | 0.00%             | 2033-03-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376XL68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    660864 | PA      | $674053.21    | 0.06%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36193SDY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2976 | PA      | $2943.69      | 0.00%             | 2066-04-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177MAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36365 | PA      | $33699.49     | 0.00%             | 2041-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190099 | PA      | $188408.70    | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381WDH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109899 | PA      | $91069.33     | 0.01%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B7T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248834 | PA      | $249000.19    | 0.02%             | 2063-04-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379EWR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2793200 | PA      | $2678441.38   | 0.25%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RNP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96235 | PA      | $96486.71     | 0.01%             | 2066-01-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                     | Federal Home Loan Bank Discount Notes                         | CUSIP: 313385RG3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   3100000 | PA      | $3099397.24   | 0.29%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376T2S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303842 | PA      | $37854.98     | 0.00%             | 2040-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31335YYA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83860 | PA      | $86930.56     | 0.01%             | 2037-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413KA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74094 | PA      | $74615.68     | 0.01%             | 2037-09-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UWT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    266525 | PA      | $267679.65    | 0.02%             | 2066-04-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617AALR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    229981 | PA      | $206891.72    | 0.02%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381LHP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  57333223 | PA      | $3640576.53   | 0.34%             | 2065-10-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36198NUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29160 | PA      | $29227.01     | 0.00%             | 2064-10-20      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16245955 | PA      | $1679355.78   | 0.16%             | 2035-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31398TYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716152 | PA      | $712887.75    | 0.07%             | 2040-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4032755 | PA      | $3345191.59   | 0.31%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36230QQZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42759 | PA      | $40525.06     | 0.00%             | 2040-12-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290Q6U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22029 | PA      | $21685.37     | 0.00%             | 2033-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38382QR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13072897 | PA      | $160456.74    | 0.01%             | 2051-05-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31292HAK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1772 | PA      | $1824.34      | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137BDB47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2302092 | PA      | $2120015.55   | 0.20%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36177MAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148741 | PA      | $138875.94    | 0.01%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378AMF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1142686 | PA      | $194355.91    | 0.02%             | 2041-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55749 | PA      | $55285.11     | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617AAP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53768 | PA      | $48502.57     | 0.00%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202WQV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64323 | PA      | $64825.38     | 0.01%             | 2033-05-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A1KE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3963420 | PA      | $3964332.44   | 0.37%             | 2041-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380LCU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60302 | PA      | $60166.93     | 0.01%             | 2068-02-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36181CJW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231577 | PA      | $229441.89    | 0.02%             | 2034-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128L8KE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29724 | PA      | $30617.09     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3132GETT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136779 | PA      | $140264.76    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291A2C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194057 | PA      | $198691.88    | 0.02%             | 2033-10-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31406EEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171018 | PA      | $170741.31    | 0.02%             | 2034-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A4CM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2576152 | PA      | $2509804.01   | 0.23%             | 2042-03-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380LVZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149707 | PA      | $149581.67    | 0.01%             | 2069-05-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1320 | NC      | $214028.10    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377RL60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366740 | PA      | $369575.31    | 0.03%             | 2040-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36193BMR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1221147 | PA      | $1175209.71   | 0.11%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RDQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34317 | PA      | $34226.57     | 0.00%             | 2033-08-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202DCS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5872 | PA      | $6073.45      | 0.00%             | 2029-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FRUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8628829 | PA      | $398590.19    | 0.04%             | 2030-01-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BJN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239139 | PA      | $239097.40    | 0.02%             | 2060-11-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137BGLS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4522096 | PA      | $400383.63    | 0.04%             | 2045-02-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9856 | PA      | $8591.80      | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                              | CUSIP: 3132DWCQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1956964 | PA      | $1741268.20   | 0.16%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291A2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22280 | PA      | $22221.34     | 0.00%             | 2033-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31406EEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38830 | PA      | $39527.90     | 0.00%             | 2034-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BSK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78623 | PA      | $78900.33     | 0.01%             | 2062-02-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EWV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7393 | PA      | $7518.02      | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377LAH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1842769 | PA      | $1902578.55   | 0.18%             | 2040-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384EFA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13090150 | PA      | $13495665.42  | 1.26%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381UFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12117551 | PA      | $12149761.82  | 1.13%             | 2055-08-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4301188 | PA      | $4260066.65   | 0.40%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36295Q3G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80916 | PA      | $84726.10     | 0.01%             | 2037-09-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AAJ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372396 | PA      | $5653.04      | 0.00%             | 2027-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKHH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116138 | PA      | $118076.08    | 0.01%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit              | Freddie Mac Whole Loan Securities Trust 2017-SC02             | CUSIP: 3137G1BU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6162150 | PA      | $5311317.74   | 0.50%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EWU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1271 | PA      | $1276.59      | 0.00%             | 2038-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380XUH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $811254.50    | 0.08%             | 2048-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380MFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2119744 | PA      | $1607205.45   | 0.15%             | 2060-04-16      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3612560 | PA      | $3543428.51   | 0.33%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3545 | PA      | $3544.76      | 0.00%             | 2037-08-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31411NJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51256 | PA      | $51880.50     | 0.00%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 312931EF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87978 | PA      | $89199.82     | 0.01%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128K8QJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297736 | PA      | $306214.50    | 0.03%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380UFA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $8757375.00   | 0.82%             | 2047-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25190 | PA      | $25798.40     | 0.00%             | 2035-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291BBB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121802 | PA      | $123168.67    | 0.01%             | 2033-12-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36296UNS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40721 | PA      | $42071.16     | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae Trust 2004-W2                                      | CUSIP: 31393XGS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    757031 | PA      | $767525.85    | 0.07%             | 2044-02-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2244997 | PA      | $2225492.83   | 0.21%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176BLN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43685 | PA      | $40562.04     | 0.00%             | 2041-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374N8C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1773494 | PA      | $35.74        | 0.00%             | 2046-11-16      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377WVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1476577 | PA      | $1406137.57   | 0.13%             | 2041-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58953 | PA      | $59978.87     | 0.01%             | 2029-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae Remic Trust 2001-W4                                | CUSIP: 3139216U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1376 | PA      | $1378.14      | 0.00%             | 2032-01-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622AAEV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2182136 | PA      | $2018674.17   | 0.19%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202WQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24220 | PA      | $24577.97     | 0.00%             | 2033-04-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EWT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142310 | PA      | $143110.19    | 0.01%             | 2038-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374UGL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    789007 | PA      | $803540.24    | 0.07%             | 2039-05-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10791112 | PA      | $8947399.31   | 0.83%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291A2D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33569 | PA      | $33691.52     | 0.00%             | 2033-09-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38382AJM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8754366 | PA      | $7964969.16   | 0.74%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Series 2019-1           | CUSIP: 35564CBC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7955000 | PA      | $7764313.08   | 0.72%             | 2029-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137B4QW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1871677 | PA      | $1422994.02   | 0.13%             | 2043-09-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKHJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10270 | PA      | $10484.16     | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138AWVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60468 | PA      | $59431.78     | 0.01%             | 2041-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378VSP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    819859 | PA      | $54086.32     | 0.01%             | 2043-07-20      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36296UNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29891 | PA      | $30709.53     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377JXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1736522 | PA      | $1733462.97   | 0.16%             | 2040-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 312979KQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34584 | PA      | $36082.53     | 0.00%             | 2038-02-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2147174 | PA      | $1780319.18   | 0.17%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291KFN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32794 | PA      | $32669.48     | 0.00%             | 2034-04-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374FGZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40288 | PA      | $40584.18     | 0.00%             | 2034-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128K0MY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15301 | PA      | $15740.76     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31398NEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009260 | PA      | $74988.95     | 0.01%             | 2040-09-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381DBS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5417247 | PA      | $2058399.50   | 0.19%             | 2063-08-16      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3620C0PN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2193809 | PA      | $2026085.44   | 0.19%             | 2042-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374MU98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1264860 | PA      | $1277304.62   | 0.12%             | 2036-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291KHU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25401 | PA      | $25225.32     | 0.00%             | 2034-04-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3622AAU51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8062589 | PA      | $6943306.98   | 0.65%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A6ZY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1640295.66   | 0.15%             | 2042-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36292FMA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118829 | PA      | $124233.06    | 0.01%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31393WQ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163758 | PA      | $165244.66    | 0.02%             | 2033-07-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378AAH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    945000 | PA      | $832139.41    | 0.08%             | 2041-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384JE34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8390855 | PA      | $8572736.11   | 0.80%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26409 | PA      | $28850.77     | 0.00%             | 2037-09-20      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3140FXD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3732015 | PA      | $3498252.83   | 0.33%             | 2056-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136B1VB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443764 | PA      | $405943.15    | 0.04%             | 2048-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DPP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27654 | PA      | $28843.14     | 0.00%             | 2037-08-01      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381DDV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2677806 | PA      | $1095628.22   | 0.10%             | 2062-12-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RUS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21845 | PA      | $21878.47     | 0.00%             | 2066-05-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137AXXX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8786424 | PA      | $8360996.31   | 0.78%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374MSG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7026 | PA      | $7101.92      | 0.00%             | 2031-09-16      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31335Y2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106126 | PA      | $109622.83    | 0.01%             | 2037-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2 | CUSIP: 35563PFB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1087005 | PA      | $1038358.07   | 0.10%             | 2057-11-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374JN51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416179 | PA      | $36705.09     | 0.00%             | 2034-11-20      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377YN71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1071253 | PA      | $60574.24     | 0.01%             | 2041-06-16      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RDT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51954 | PA      | $52092.88     | 0.00%             | 2033-07-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39850668 | PA      | $33041992.42  | 3.08%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291BBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28735 | PA      | $28853.97     | 0.00%             | 2033-12-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374GSH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136266 | PA      | $118878.00    | 0.01%             | 2034-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31398R2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381389 | PA      | $389495.79    | 0.04%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237919 | PA      | $230143.21    | 0.02%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202FB54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15038 | PA      | $15588.12     | 0.00%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RUV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189298 | PA      | $188911.53    | 0.02%             | 2066-05-20      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B7F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25792 | PA      | $25810.91     | 0.00%             | 2063-07-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38381BXF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1350756 | PA      | $1277846.93   | 0.12%             | 2049-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176TQF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52035 | PA      | $48220.41     | 0.00%             | 2041-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1 | CUSIP: 35563PJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3432425 | PA      | $3293393.60   | 0.31%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620AKHG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36828 | PA      | $37097.47     | 0.00%             | 2030-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31398VN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    882315 | PA      | $904188.20    | 0.08%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291HB37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95369 | PA      | $98264.44     | 0.01%             | 2034-04-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374TWL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    917969 | PA      | $929082.04    | 0.09%             | 2039-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13248155 | PA      | $12118940.02  | 1.13%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AHYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    879202 | PA      | $643939.53    | 0.06%             | 2044-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378TE48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    454008 | PA      | $35198.96     | 0.00%             | 2043-06-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36176LGJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    812502 | PA      | $779794.63    | 0.07%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44080 | PA      | $44041.81     | 0.00%             | 2063-03-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36209DQP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12696 | PA      | $13038.56     | 0.00%             | 2028-05-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378D5F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93768 | PA      | $3301.17      | 0.00%             | 2041-04-16      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312412 | PA      | $312668.65    | 0.03%             | 2065-10-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137AQZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5075000 | PA      | $4900379.40   | 0.46%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36200NZ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       136 | PA      | $136.94       | 0.00%             | 2034-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36296GXT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68355 | PA      | $70637.38     | 0.01%             | 2038-04-20      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620A9TT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308057 | PA      | $314505.83    | 0.03%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111694 | PA      | $111712.57    | 0.01%             | 2063-05-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31407EE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308994 | PA      | $314421.86    | 0.03%             | 2035-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36183MEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1056184 | PA      | $1011160.78   | 0.09%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179U6X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3467441 | PA      | $3396995.31   | 0.32%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375GWV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227454 | PA      | $3445.06      | 0.00%             | 2040-08-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36201F2A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27972 | PA      | $29034.29     | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179MK82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3461391 | PA      | $3366483.39   | 0.31%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A4F38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2906143 | PA      | $2846236.60   | 0.27%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan                      | Freddie Mac Securities REMIC Trust 2005-S001                  | CUSIP: 35562QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1137232 | PA      | $1116237.05   | 0.10%             | 2045-09-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36292EXK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64072 | PA      | $65403.11     | 0.01%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31396WSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316558 | PA      | $318438.71    | 0.03%             | 2037-05-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1227141 | PA      | $1105761.96   | 0.10%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137H0H76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33812864 | PA      | $2272797.56   | 0.21%             | 2031-01-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376CR68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    785626 | PA      | $778821.52    | 0.07%             | 2039-10-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3 | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1513052 | PA      | $1433200.89   | 0.13%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385BZM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22754877 | PA      | $22860837.44  | 2.13%             | 2055-01-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202V5J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39364 | PA      | $39523.22     | 0.00%             | 2033-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    671988 | PA      | $674413.16    | 0.06%             | 2062-03-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380BHT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3820204 | PA      | $666688.80    | 0.06%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176TQH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89311 | PA      | $85223.36     | 0.01%             | 2041-10-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31396PJH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580446 | PA      | $878106.66    | 0.08%             | 2037-02-25      | Floating      | 17.19%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380XHT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    486378 | PA      | $68950.90     | 0.01%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374JQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    965664 | PA      | $963811.70    | 0.09%             | 2034-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179XQV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600917 | PA      | $589405.34    | 0.05%             | 2053-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EA25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26791 | PA      | $27837.62     | 0.00%             | 2034-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128KRMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60071 | PA      | $62635.95     | 0.01%             | 2036-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291KHX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45400 | PA      | $47154.18     | 0.00%             | 2034-04-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377J4M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4997626 | PA      | $5041445.10   | 0.47%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379EGH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1917974 | PA      | $1838623.60   | 0.17%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38382FFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15812343 | PA      | $1564667.68   | 0.15%             | 2035-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38373MW63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    433090 | PA      | $421675.93    | 0.04%             | 2048-02-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31378JD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1503 | PA      | $1500.92      | 0.00%             | 2027-07-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31406TMD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124355 | PA      | $126562.80    | 0.01%             | 2035-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    440285 | PA      | $440541.11    | 0.04%             | 2067-08-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63542 | PA      | $63648.92     | 0.01%             | 2062-05-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291HB86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32227 | PA      | $32106.22     | 0.00%             | 2034-03-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394VEC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32008 | PA      | $32591.84     | 0.00%             | 2035-11-25      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413AK36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35670 | PA      | $36959.42     | 0.00%             | 2037-01-01      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                        | Fannie Mae REMIC Trust 2002-W6                                | CUSIP: 31392DG63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    406787 | PA      | $394149.92    | 0.04%             | 2042-01-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B7B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246827 | PA      | $246971.31    | 0.02%             | 2063-06-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 312934HK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320774 | PA      | $330420.60    | 0.03%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137AQA57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1669052 | PA      | $1654146.56   | 0.15%             | 2042-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394ETR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51419 | PA      | $52494.62     | 0.00%             | 2035-05-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176TQJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76490 | PA      | $73543.75     | 0.01%             | 2041-10-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375GFP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    434722 | PA      | $37487.97     | 0.00%             | 2042-07-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B5R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456890 | PA      | $457243.31    | 0.04%             | 2063-05-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31394CRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3261562 | PA      | $3410564.18   | 0.32%             | 2035-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375KQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38920 | PA      | $39326.22     | 0.00%             | 2037-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36202XLN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113733 | PA      | $113570.33    | 0.01%             | 2034-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413AK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161494 | PA      | $168113.09    | 0.02%             | 2037-02-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3132WPND5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    758004 | PA      | $734389.79    | 0.07%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291PL20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70533 | PA      | $71396.42     | 0.01%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3132WPRL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    544455 | PA      | $514532.01    | 0.05%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                   | CUSIP: 912797RL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20500000 | PA      | $20431632.09  | 1.91%             | 2026-02-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38383UPY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    400000 | PA      | $340255.80    | 0.03%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 3138LSKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3793263 | PA      | $3711884.96   | 0.35%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AERJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1044393 | PA      | $960815.06    | 0.09%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BRW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312572 | PA      | $311039.91    | 0.03%             | 2062-04-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EV89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4180 | PA      | $4244.10      | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36297KMZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19122 | PA      | $19990.72     | 0.00%             | 2039-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38382RKX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4788859 | PA      | $722618.03    | 0.07%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BLE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    282362 | PA      | $282518.48    | 0.03%             | 2061-03-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38377RG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5138541 | PA      | $514153.20    | 0.05%             | 2040-12-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384CJJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7175205 | PA      | $7347005.90   | 0.69%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 31286DF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51443 | PA      | $53575.98     | 0.00%             | 2037-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RBF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39888 | PA      | $39898.98     | 0.00%             | 2065-05-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RJV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70505 | PA      | $70649.42     | 0.01%             | 2065-08-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136A9QK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1645308 | PA      | $73705.37     | 0.01%             | 2042-06-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385GB24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9841879 | PA      | $9918466.70   | 0.93%             | 2055-05-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 3617BQ4H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4109 | PA      | $4096.73      | 0.00%             | 2067-10-20      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 3620ARHH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142938 | PA      | $148156.52    | 0.01%             | 2040-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202D2V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12668 | PA      | $13019.65     | 0.00%             | 2033-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202E5Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68700 | PA      | $68950.34     | 0.01%             | 2039-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36176TQL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123215 | PA      | $114720.26    | 0.01%             | 2041-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ACKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1037617 | PA      | $66829.87     | 0.01%             | 2033-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376RYS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53744 | PA      | $53920.01     | 0.01%             | 2066-08-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ABLP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2779551 | PA      | $251572.57    | 0.02%             | 2042-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 312940FU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    345518 | PA      | $354033.10    | 0.03%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376ULK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5478493 | PA      | $4744816.17   | 0.44%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379FB65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1878971 | PA      | $1762730.49   | 0.16%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ANQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1457796 | PA      | $1230130.55   | 0.11%             | 2045-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385CNX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6897664 | PA      | $6733764.47   | 0.63%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376KPV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2842102 | PA      | $2957595.03   | 0.28%             | 2039-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36181V6L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    528347 | PA      | $503245.16    | 0.05%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EE62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58105 | PA      | $56985.73     | 0.01%             | 2035-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31395WWD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11339 | PA      | $11565.37     | 0.00%             | 2035-04-15      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291BSM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47067 | PA      | $47279.71     | 0.00%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137B5W90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2266216 | PA      | $2093488.39   | 0.20%             | 2035-10-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379GSV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1850316 | PA      | $1686073.44   | 0.16%             | 2044-10-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 31397QLM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    886464 | PA      | $905715.99    | 0.08%             | 2040-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375BTU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78665 | PA      | $78760.06     | 0.01%             | 2062-07-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31397AM59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4552332 | PA      | $4748713.47   | 0.44%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384USE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2053511 | PA      | $2079421.02   | 0.19%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XSJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56441 | PA      | $56744.91     | 0.01%             | 2033-08-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 3137ATRR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    941617 | PA      | $896978.56    | 0.08%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375K7C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152947 | PA      | $154242.17    | 0.01%             | 2037-08-16      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36182HR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132326 | PA      | $132041.85    | 0.01%             | 2065-02-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202CXA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       734 | PA      | $741.71       | 0.00%             | 2027-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                         | CUSIP: 3128MJ2J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    293834 | PA      | $292346.90    | 0.03%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38376UMU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    988522 | PA      | $921146.98    | 0.09%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291EES6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34021 | PA      | $34149.08     | 0.00%             | 2034-01-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36202EV71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6441 | PA      | $6495.55      | 0.00%             | 2038-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36200J6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57344 | PA      | $57931.21     | 0.01%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AU2B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2630000 | PA      | $2359183.38   | 0.22%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375UVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365218 | PA      | $365327.31    | 0.03%             | 2065-03-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36211SDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9333 | PA      | $9580.36      | 0.00%             | 2035-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38385GD55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19475495 | PA      | $19600957.92  | 1.83%             | 2055-06-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36183MGQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    872139 | PA      | $834971.58    | 0.08%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290RBZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26048 | PA      | $26921.36     | 0.00%             | 2033-07-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38374MAM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    557018 | PA      | $560118.35    | 0.05%             | 2035-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413EAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151095 | PA      | $153866.20    | 0.01%             | 2047-08-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                     | Fannie Mae Grantor Trust 2003-T4                              | CUSIP: 31393AV79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24656 | PA      | $24487.55     | 0.00%             | 2033-07-26      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38380MK67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2120130 | PA      | $1339297.95   | 0.12%             | 2060-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36182HRK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101898 | PA      | $101603.13    | 0.01%             | 2065-01-20      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38378PTP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2412899 | PA      | $2145509.11   | 0.20%             | 2043-12-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ABMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1921568 | PA      | $35452.55     | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136ATVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4333554 | PA      | $4029187.70   | 0.38%             | 2046-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38379PF69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4638758 | PA      | $4138583.84   | 0.39%             | 2045-05-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36290XSQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18800 | PA      | $18860.23     | 0.00%             | 2033-08-20      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38384C2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    849053 | PA      | $883997.71    | 0.08%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    260732 | PA      | $251789.18    | 0.02%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291TMU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41907 | PA      | $43296.24     | 0.00%             | 2034-09-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179RZU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50627 | PA      | $48927.25     | 0.00%             | 2046-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                            | CUSIP: 31397YXN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74541 | PA      | $7515.23      | 0.00%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                      | CUSIP: 38375B3N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102880 | PA      | $102891.19    | 0.01%             | 2063-06-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                               | CUSIP: 31413HRJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2667 | PA      | $2670.93      | 0.00%             | 2037-05-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291EER8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20687 | PA      | $20558.88     | 0.00%             | 2034-01-20      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18851062 | PA      | $15630268.29  | 1.46%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                             | CUSIP: 36296Q6J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60699 | PA      | $62870.23     | 0.01%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136BCF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21782523 | PA      | $4093076.50   | 0.38%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Trust Series 2019-2     | CUSIP: 35564CCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2500111 | PA      | $2409233.00   | 0.22%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                             | CUSIP: 3136AA6U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1029427 | PA      | $110639.98    | 0.01%             | 2042-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                            | CUSIP: 36291GZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48725 | PA      | $49836.82     | 0.00%             | 2034-01-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-26

**Name of Applicant:** Voya Funds Trust

**Signature:** Dorothy Roman

**Name of Signer:** Dorothy Roman

**Title:** Vice President, Fund Administration