# EDGAR Filing Document

**Accession Number:** 0001454889
**File Stem:** 0001752724-25-179356
**Filing Date:** 2025-7
**Character Count:** 1808119
**Document Hash:** e00d93e06b324077341b2fb16fe9c166
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-179356.hdr.sgml**: 20250725

**ACCESSION NUMBER**: 0001752724-25-179356

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250725

**DATE AS OF CHANGE**: 20250725

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SCHWAB STRATEGIC TRUST
- **CENTRAL INDEX KEY:** 0001454889

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22311
- **FILM NUMBER:** 251150896

**BUSINESS ADDRESS:**
- **STREET 1:** 211 MAIN STREET
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94105
- **BUSINESS PHONE:** 1-415-667-7000

**MAIL ADDRESS:**
- **STREET 1:** 211 MAIN STREET
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Schwab Strategic Trust
- **DATE OF NAME CHANGE:** 20090127

## Series and Classes Contracts Data

### Schwab Mortgage-Backed Securities ETF (Series ID: S000088676)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000255020 | Schwab Mortgage-Backed Securities ETF | SMBS            |

## Nport-Ex

Schwab Strategic Trust

Schwab Mortgage-Backed Securities ETF

------

**Portfolio Holdings** as of May 31, 2025 (Unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

All securities are currently in a fixed rate coupon period based on index eligibility requirements and the fund's investment objective. The maturity date shown for all the securities is the final legal maturity.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **SECURITIZED** 99.6% OF NET ASSETS | **SECURITIZED** 99.6% OF NET ASSETS | **SECURITIZED** 99.6% OF NET ASSETS |
| **Mortgage-Backed Securities Pass-Through 99.6%** | **Mortgage-Backed Securities Pass-Through 99.6%** | **Mortgage-Backed Securities Pass-Through 99.6%** |
| **Federal Home Loan Mortgage Corp.** | **Federal Home Loan Mortgage Corp.** | **Federal Home Loan Mortgage Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 08/01/36 *(a)* | 33245 | 28511 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 07/01/35 to 11/01/51 *(a)* | 88902995 | 71394878 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 01/01/28 to 05/01/52 *(a)* | 428793951 | 344807330 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/01/27 to 11/01/52 *(a)* | 232400536 | 195926852 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 12/01/26 to 12/01/52 *(a)* | 165738499 | 145938587 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/01/33 to 09/01/52 *(a)* | 113934194 | 103301520 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/01/33 to 11/01/54 *(a)* | 77192322 | 72446987 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/01/37 to 02/01/55 *(a)* | 104297385 | 99583463 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/01/33 to 03/01/55 *(a)* | 151202837 | 147549272 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 06/01/33 to 03/01/55 *(a)* | 218125464 | 217054427 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 12/01/36 to 04/01/55 *(a)* | 184261269 | 187057417 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 11/01/52 to 04/01/55 *(a)* | 94288431 | 97285406 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 10/01/53 to 04/01/55 *(a)* | 13863110 | 14496051 |
| **Federal National Mortgage Association** | **Federal National Mortgage Association** | **Federal National Mortgage Association** |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 07/01/35 to 04/01/52 *(a)* | 117776807 | 93329802 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 11/01/27 to 04/01/52 *(a)* | 476011811 | 387068440 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 03/01/27 to 05/01/53 *(a)* | 404352356 | 338349146 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/27 to 06/01/52 *(a)* | 266827942 | 234507771 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 07/01/28 to 09/01/52 *(a)* | 176232413 | 160462055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/01/33 to 02/01/55 *(a)* | 173253630 | 161770642 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 07/01/29 to 12/01/54 *(a)* | 104083110 | 99826665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 06/01/33 to 04/01/55 *(a)* | 150786953 | 147396917 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 05/01/33 to 04/01/55 *(a)* | 181271463 | 180682873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 09/01/36 to 05/01/55 *(a)* | 180733455 | 183433651 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 01/01/53 to 05/01/55 *(a)* | 86157979 | 88820209 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 02/01/53 to 04/01/55 *(a)* | 22934823 | 23996026 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 11/01/53 to 02/01/54 *(a)* | 1962113 | 2072353 |
| **Government National Mortgage Association** | **Government National Mortgage Association** | **Government National Mortgage Association** |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 02/20/51 to 12/20/51 *(a)* | 4191375 | 3211979 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 08/20/50 to 05/20/52 *(a)* | 163554658 | 131542164 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 07/20/27 to 04/20/53 *(a)* | 162402877 | 136473278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 04/20/27 to 12/20/54 *(a)* | 162245615 | 142487380 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 12/20/40 to 04/20/55 *(a)* | 131871960 | 119252184 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/39 to 02/20/55 *(a)* | 97126688 | 90385320 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/34 to 03/20/55 *(a)* | 123334509 | 117460986 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 12/15/36 to 05/20/55 *(a)* | 159952168 | 155821421 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 10/20/52 to 05/20/55 *(a)* | 176129556 | 175424288 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 11/20/52 to 05/20/55 *(a)* | 112482923 | 114012929 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 12/20/52 to 04/20/55 *(a)* | 44872627 | 45892866 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 11/20/52 to 09/20/54 *(a)* | 13739813 | 14158481 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 01/20/54 to 02/20/54 *(a)* | 623632 | 643658 |
| **Government National Mortgage Association, TBA** | **Government National Mortgage Association, TBA** | **Government National Mortgage Association, TBA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/20/55 *(a)(b)* | 1500000 | 1374341 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/20/55 *(a)(b)* | 1000000 | 943699 |
| **Uniform Mortgage-Backed Security, TBA** | **Uniform Mortgage-Backed Security, TBA** | **Uniform Mortgage-Backed Security, TBA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 06/15/55 *(a)(b)* | 10000000 | 8869395 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/15/55 *(a)(b)* | 1500000 | 1415255 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 06/15/55 *(a)(b)* | 2000000 | 1936573 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 06/15/55 *(a)(b)* | 8000000 | 7921316 |
| **Total Securitized**<br> **(Cost $5,055,278,247)** | **Total Securitized**<br> **(Cost $5,055,278,247)** | **5067814764** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| SECURITY | NUMBER<br> OF SHARES<br>| VALUE ($) |
| **Short-Term Investments** 1.5% OF NET ASSETS | **Short-Term Investments** 1.5% OF NET ASSETS | **Short-Term Investments** 1.5% OF NET ASSETS |
| **Money Market Funds 1.5%** | **Money Market Funds 1.5%** | **Money Market Funds 1.5%** |
| &nbsp;&nbsp;&nbsp;&nbsp; State Street Institutional <br> U.S. Government Money Market <br> Fund, Premier Class 4.27% *(c)*<br>| 75701372 | **75701372** |
| **Total Short-Term Investments**<br> **(Cost $75,701,372)** | **Total Short-Term Investments**<br> **(Cost $75,701,372)** | **75701372** |
| **Total Investments in Securities**<br> **(Cost $5,130,979,619)** | **Total Investments in Securities**<br> **(Cost $5,130,979,619)** | **5143516136** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;*(a)* The effective maturity may be shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or as the result of embedded demand features (puts or calls).

&nbsp;&nbsp;&nbsp;&nbsp;*(b)* Security or a portion of the security purchased on a delayed-delivery or when-issued basis.

&nbsp;&nbsp;&nbsp;&nbsp;*(c)* The rate shown is the annualized 7-day yield.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

TBA — To-be-announced

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

**1**

------

Schwab Mortgage-Backed Securities ETF

**Portfolio Holdings** (Unaudited) continued

------

The following is a summary of the inputs used to value the fund's investments as of May 31, 2025 (see notes to portfolio holdings for additional information):

---

| | | | | |
|:---|:---|:---|:---|:---|
| DESCRIPTION | QUOTED PRICES IN<br> ACTIVE MARKETS FOR<br> IDENTICAL ASSETS<br> (LEVEL 1)<br>| &nbsp;&nbsp; OTHER SIGNIFICANT<br> OBSERVABLE INPUTS<br> (LEVEL 2)<br>| &nbsp;&nbsp; SIGNIFICANT<br> UNOBSERVABLE INPUTS<br> (LEVEL 3)<br>| TOTAL |
| **Assets** |  |  |  |  |
| Securitized<sup>1</sup> <br>| $— | &nbsp;&nbsp;&nbsp; $5067814764 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $5067814764 |
| Short-Term Investments<sup>1</sup> <br>| 75701372 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 75701372 |
| **Total** | **$75701372** | &nbsp;&nbsp; **$5067814764** | &nbsp;&nbsp; **$—** | &nbsp;&nbsp; **$5143516136** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>1</sup> As categorized in the Portfolio Holdings.

**2**

------

Schwab Strategic Trust

Schwab High Yield Bond ETF

------

**Portfolio Holdings** as of May 31, 2025 (Unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

Most securities are currently in a fixed rate coupon period based on index eligibility requirements and the fund's investment objective. Generally, for fixed rate securities, the rate shown is the interest rate that was established when the security was issued. The fund may invest in securities not included in its index, including variable rate securities. For variable rate securities, the rate shown is the interest rate as of the report date based on each security's rate reset date. The reference rate and spread used is shown parenthetically in the security description, if available; if not, the reference rate is described in a footnote. The maturity date shown for all the securities is the final legal maturity.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **CORPORATES** 97.7% OF NET ASSETS | **CORPORATES** 97.7% OF NET ASSETS | **CORPORATES** 97.7% OF NET ASSETS |
| **Agency 0.4%** | **Agency 0.4%** | **Agency 0.4%** |
| ***Owned No Guarantee 0.4%***  | ***Owned No Guarantee 0.4%***  | ***Owned No Guarantee 0.4%***  |
| **CITGO Petroleum Corp.** | **CITGO Petroleum Corp.** | **CITGO Petroleum Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 01/15/29 *(a)(b)* | 1056000 | 1074260 |
| **Electricite de France SA** | **Electricite de France SA** | **Electricite de France SA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.13%, *(a)(b)(c)(d)* | 992000 | 1122079 |
| **NOVA Chemicals Corp.** | **NOVA Chemicals Corp.** | **NOVA Chemicals Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 05/15/29 *(a)(b)* | 653000 | 624927 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 02/15/30 *(a)(b)* | 532000 | 573429 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 12/01/31 *(a)(b)* | 200000 | 209298 |
| **Teine Energy Ltd.** | **Teine Energy Ltd.** | **Teine Energy Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/15/29 *(a)(b)* | 318000 | 313848 |
|  |  | **3917841** |
| **Financial Institutions 11.6%** | **Financial Institutions 11.6%** | **Financial Institutions 11.6%** |
| ***Banking 0.3%***  | ***Banking 0.3%***  | ***Banking 0.3%***  |
| **Ally Financial, Inc.** | **Ally Financial, Inc.** | **Ally Financial, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.70%, 02/14/33 *(b)* | 381000 | 387703 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.65%, 01/17/40 *(b)(d)* | 420000 | 403620 |
| **Dresdner Funding Trust I** | **Dresdner Funding Trust I** | **Dresdner Funding Trust I** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.15%, 06/30/31 *(a)(b)* | 806000 | 883703 |
| **Popular, Inc.** | **Popular, Inc.** | **Popular, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 03/13/28 *(b)* | 336000 | 353424 |
| **Standard Chartered PLC** | **Standard Chartered PLC** | **Standard Chartered PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.01%, *(a)(b)(c)(d)* | 600000 | 615706 |
| **Synchrony Financial** | **Synchrony Financial** | **Synchrony Financial** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 02/02/33 *(b)* | 620000 | 633998 |
| **Valley National Bancorp** | **Valley National Bancorp** | **Valley National Bancorp** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 06/15/31 *(b)(d)* | 327000 | 299569 |
|  |  | **3577723** |
| ***Brokerage/Asset Managers/Exchanges 1.2%***  | ***Brokerage/Asset Managers/Exchanges 1.2%***  | ***Brokerage/Asset Managers/Exchanges 1.2%***  |
| **Acadian Asset Management, Inc.** | **Acadian Asset Management, Inc.** | **Acadian Asset Management, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 07/27/26  | 387000 | 385280 |
| **AG Issuer LLC** | **AG Issuer LLC** | **AG Issuer LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 03/01/28 *(a)(b)* | 566000 | 566400 |
| **AG TTMT Escrow Issuer LLC** | **AG TTMT Escrow Issuer LLC** | **AG TTMT Escrow Issuer LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 09/30/27 *(a)(b)* | 405000 | 420716 |
| **Aretec Group, Inc.** | **Aretec Group, Inc.** | **Aretec Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 04/01/29 *(a)(b)* | 518000 | 517985 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 08/15/30 *(a)(b)* | 513000 | 559641 |
| **Armor Holdco, Inc.** | **Armor Holdco, Inc.** | **Armor Holdco, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 11/15/29 *(a)(b)* | 298000 | 277923 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Coinbase Global, Inc.** | **Coinbase Global, Inc.** | **Coinbase Global, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 10/01/28 *(a)(b)* | 584000 | 543517 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 10/01/31 *(a)(b)* | 646000 | 562757 |
| **Compass Group Diversified Holdings LLC** | **Compass Group Diversified Holdings LLC** | **Compass Group Diversified Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/15/29 *(a)(b)* | 875000 | 757807 |
| **Focus Financial Partners LLC** | **Focus Financial Partners LLC** | **Focus Financial Partners LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 09/15/31 *(a)(b)* | 733000 | 742039 |
| **HA Sustainable Infrastructure Capital, Inc.** | **HA Sustainable Infrastructure Capital, Inc.** | **HA Sustainable Infrastructure Capital, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 07/01/34 *(b)* | 825000 | 806883 |
| **Hightower Holding LLC** | **Hightower Holding LLC** | **Hightower Holding LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 04/15/29 *(a)(b)(e)* | 500000 | 493497 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.13%, 01/31/30 *(a)(b)* | 283000 | 294808 |
| **Hunt Cos., Inc.** | **Hunt Cos., Inc.** | **Hunt Cos., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/15/29 *(a)(b)* | 469000 | 453099 |
| **Jane Street Group/JSG Finance, Inc.** | **Jane Street Group/JSG Finance, Inc.** | **Jane Street Group/JSG Finance, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/15/29 *(a)(b)* | 446000 | 429940 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 04/30/31 *(a)(b)* | 1140000 | 1191628 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 11/01/32 *(a)(b)* | 1191000 | 1193811 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 05/01/33 *(a)(b)* | 1050000 | 1077517 |
| **Jefferies Finance LLC/JFIN Co-Issuer Corp.** | **Jefferies Finance LLC/JFIN Co-Issuer Corp.** | **Jefferies Finance LLC/JFIN Co-Issuer Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 08/15/28 *(a)(b)* | 729000 | 691299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 10/15/31 *(a)(b)* | 370000 | 366647 |
| **Osaic Holdings, Inc.** | **Osaic Holdings, Inc.** | **Osaic Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.75%, 08/01/27 *(a)(b)* | 326000 | 328103 |
| **StoneX Group, Inc.** | **StoneX Group, Inc.** | **StoneX Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 03/01/31 *(a)(b)* | 302000 | 318300 |
| **VFH Parent LLC/Valor Co-Issuer, Inc.** | **VFH Parent LLC/Valor Co-Issuer, Inc.** | **VFH Parent LLC/Valor Co-Issuer, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 06/15/31 *(a)(b)* | 340000 | 354755 |
|  |  | **13334352** |
| ***Finance Companies 4.0%***  | ***Finance Companies 4.0%***  | ***Finance Companies 4.0%***  |
| **Azorra Finance Ltd.** | **Azorra Finance Ltd.** | **Azorra Finance Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 04/15/30 *(a)(b)* | 533000 | 534981 |
| **Bread Financial Holdings, Inc.** | **Bread Financial Holdings, Inc.** | **Bread Financial Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 03/15/29 *(a)(b)* | 750000 | 800348 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 06/15/35 *(a)(b)(d)* | 364000 | 353763 |
| **Cobra AcquisitionCo LLC** | **Cobra AcquisitionCo LLC** | **Cobra AcquisitionCo LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 11/01/29 *(a)(b)* | 297000 | 251279 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.25%, 11/01/29 *(a)(b)* | 200000 | 204181 |
| **Enova International, Inc.** | **Enova International, Inc.** | **Enova International, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.25%, 12/15/28 *(a)(b)* | 894000 | 960025 |
| **FirstCash, Inc.** | **FirstCash, Inc.** | **FirstCash, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 09/01/28 *(a)(b)* | 475000 | 463121 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 01/01/30 *(a)(b)* | 429000 | 426346 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 03/01/32 *(a)(b)* | 374000 | 383821 |
| **Fortress Transportation & Infrastructure Investors LLC** | **Fortress Transportation & Infrastructure Investors LLC** | **Fortress Transportation & Infrastructure Investors LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 05/01/28 *(a)(b)* | 748000 | 742310 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 12/01/30 *(a)(b)* | 598000 | 628814 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 05/01/31 *(a)(b)* | 646000 | 662087 |

---

**3**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 06/15/32 *(a)(b)* | 636000 | 650646 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 04/15/33 *(a)(b)* | 150000 | 144950 |
| **Freedom Mortgage Corp.** | **Freedom Mortgage Corp.** | **Freedom Mortgage Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 05/01/26 *(a)(b)* | 648000 | 647408 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 01/15/27 *(a)(b)* | 446000 | 445245 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.00%, 10/01/28 *(a)(b)* | 683000 | 733264 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.25%, 10/01/30 *(a)(b)* | 515000 | 569650 |
| **Freedom Mortgage Holdings LLC** | **Freedom Mortgage Holdings LLC** | **Freedom Mortgage Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 02/01/29 *(a)(b)* | 720000 | 742925 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.13%, 05/15/31 *(a)(b)* | 487000 | 497253 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 04/01/32 *(a)(b)* | 483000 | 477401 |
| **GGAM Finance Ltd.** | **GGAM Finance Ltd.** | **GGAM Finance Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 05/15/26 *(a)(b)* | 556000 | 561692 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 02/15/27 *(a)(b)* | 612000 | 630238 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 06/15/28 *(a)(b)* | 410000 | 430968 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/15/29 *(a)(b)* | 350000 | 357417 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 03/15/30 *(a)(b)* | 190000 | 189525 |
| **Global Aircraft Leasing Co. Ltd.** | **Global Aircraft Leasing Co. Ltd.** | **Global Aircraft Leasing Co. Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 09/01/27 *(a)(b)* | 818000 | 828213 |
| **goeasy Ltd.** | **goeasy Ltd.** | **goeasy Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 12/01/28 *(a)(b)* | 664000 | 697988 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 05/15/30 *(a)(b)* | 509000 | 503104 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 10/01/30 *(a)(b)* | 414000 | 413993 |
| **LD Holdings Group LLC** | **LD Holdings Group LLC** | **LD Holdings Group LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 11/01/27 *(a)(b)* | 270000 | 243475 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 04/01/28 *(a)(b)* | 404000 | 330423 |
| **LFS Topco LLC** | **LFS Topco LLC** | **LFS Topco LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 10/15/26 *(a)(b)* | 196000 | 194339 |
| **Midcap Financial Issuer Trust** | **Midcap Financial Issuer Trust** | **Midcap Financial Issuer Trust** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 05/01/28 *(a)(b)* | 693000 | 674358 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 01/15/30 *(a)(b)* | 494000 | 446939 |
| **Nationstar Mortgage Holdings, Inc.** | **Nationstar Mortgage Holdings, Inc.** | **Nationstar Mortgage Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 01/15/27 *(a)(b)* | 351000 | 351295 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 08/15/28 *(a)(b)* | 820000 | 818830 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 08/01/29 *(a)(b)* | 455000 | 463758 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 12/15/30 *(a)(b)* | 778000 | 778539 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 11/15/31 *(a)(b)* | 423000 | 424015 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 02/01/32 *(a)(b)* | 738000 | 769024 |
| **Navient Corp.** | **Navient Corp.** | **Navient Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 06/15/26  | 436000 | 441777 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/15/27 *(b)* | 500000 | 495229 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/15/28 *(b)* | 783000 | 764356 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/15/29 *(b)* | 471000 | 453517 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.50%, 03/15/31 *(b)* | 476000 | 539658 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 06/15/32 *(b)* | 400000 | 403911 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 08/01/33  | 858000 | 755610 |
| **OneMain Finance Corp.** | **OneMain Finance Corp.** | **OneMain Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/15/27 *(b)* | 709000 | 687416 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 01/15/28 *(b)* | 692000 | 705297 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 09/15/28 *(b)* | 487000 | 456998 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 01/15/29 *(b)* | 684000 | 717335 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 11/15/29 *(b)* | 678000 | 657457 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 03/15/30 *(b)* | 545000 | 569865 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/15/30 *(b)* | 801000 | 721478 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 05/15/31 *(b)* | 679000 | 698469 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 11/15/31 *(b)* | 836000 | 851256 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 03/15/32 *(b)* | 560000 | 557314 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 09/15/32 *(b)(f)* | 100000 | 100747 |
| **Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc.** | **Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc.** | **Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 02/01/27 *(a)(b)* | 577000 | 573502 |
| **PennyMac Financial Services, Inc.** | **PennyMac Financial Services, Inc.** | **PennyMac Financial Services, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 02/15/29 *(a)(b)* | 768000 | 729675 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 12/15/29 *(a)(b)* | 634000 | 668176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 11/15/30 *(a)(b)* | 475000 | 485788 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 09/15/31 *(a)(b)* | 556000 | 535909 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 05/15/32 *(a)(b)* | 725000 | 729056 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 02/15/33 *(a)(b)* | 275000 | 276821 |
| **Planet Financial Group LLC** | **Planet Financial Group LLC** | **Planet Financial Group LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 12/15/29 *(a)(b)* | 450000 | 443781 |
| **PROG Holdings, Inc.** | **PROG Holdings, Inc.** | **PROG Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 11/15/29 *(a)(b)* | 440000 | 418360 |
| **Prospect Capital Corp.** | **Prospect Capital Corp.** | **Prospect Capital Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.36%, 11/15/26 *(b)(e)* | 292000 | 275899 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.44%, 10/15/28 *(b)* | 297000 | 262218 |
| **Provident Funding Associates LP/PFG Finance Corp.** | **Provident Funding Associates LP/PFG Finance Corp.** | **Provident Funding Associates LP/PFG Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 09/15/29 *(a)(b)* | 388000 | 404195 |
| **Rfna LP** | **Rfna LP** | **Rfna LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 02/15/30 *(a)(b)* | 625000 | 627018 |
| **Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.** | **Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.** | **Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 10/15/26 *(a)(b)* | 509000 | 493254 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/01/29 *(a)(b)* | 618000 | 576969 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 03/01/31 *(a)(b)* | 1049000 | 949854 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/15/33 *(a)(b)* | 751000 | 649363 |
| **SLM Corp.** | **SLM Corp.** | **SLM Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 11/02/26 *(b)* | 480000 | 468868 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 01/31/30 *(b)* | 350000 | 361133 |
| **TrueNoord Capital DAC** | **TrueNoord Capital DAC** | **TrueNoord Capital DAC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 03/01/30 *(a)(b)* | 325000 | 337325 |
| **United Wholesale Mortgage LLC** | **United Wholesale Mortgage LLC** | **United Wholesale Mortgage LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 06/15/27 *(a)(b)* | 583000 | 575034 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/15/29 *(a)(b)* | 561000 | 537513 |
| **UWM Holdings LLC** | **UWM Holdings LLC** | **UWM Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 02/01/30 *(a)(b)* | 464000 | 455293 |
| **Walker & Dunlop, Inc.** | **Walker & Dunlop, Inc.** | **Walker & Dunlop, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 04/01/33 *(a)(b)* | 300000 | 304048 |
|  |  | **44144693** |
| ***Financial Other 1.1%***  | ***Financial Other 1.1%***  | ***Financial Other 1.1%***  |
| **Burford Capital Global Finance LLC** | **Burford Capital Global Finance LLC** | **Burford Capital Global Finance LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/15/30 *(a)(b)* | 614000 | 616099 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 07/01/31 *(a)(b)* | 416000 | 443731 |
| **Credit Acceptance Corp.** | **Credit Acceptance Corp.** | **Credit Acceptance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 12/15/28 *(a)(b)* | 362000 | 383502 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 03/15/30 *(a)(b)* | 516000 | 514953 |
| **Encore Capital Group, Inc.** | **Encore Capital Group, Inc.** | **Encore Capital Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 04/01/29 *(a)(b)* | 847000 | 904172 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 05/15/30 *(a)(b)* | 200000 | 212190 |
| **Five Point Operating Co. LP/Five Point Capital Corp.** | **Five Point Operating Co. LP/Five Point Capital Corp.** | **Five Point Operating Co. LP/Five Point Capital Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 01/15/28 *(a)(b)(g)* | 483989 | 493272 |
| **Greystar Real Estate Partners LLC** | **Greystar Real Estate Partners LLC** | **Greystar Real Estate Partners LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 09/01/30 *(a)(b)* | 481000 | 510727 |
| **Howard Hughes Corp.** | **Howard Hughes Corp.** | **Howard Hughes Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 08/01/28 *(a)(b)* | 502000 | 494012 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 02/01/31 *(a)(b)* | 1023000 | 929944 |
| **Icahn Enterprises LP/Icahn Enterprises Finance Corp.** | **Icahn Enterprises LP/Icahn Enterprises Finance Corp.** | **Icahn Enterprises LP/Icahn Enterprises Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 05/15/27 *(b)* | 981000 | 934278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 01/15/29 *(b)* | 639000 | 619977 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 02/01/29 *(b)* | 588000 | 480817 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 11/15/29 *(a)(b)* | 370000 | 361136 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 06/15/30 *(b)* | 726000 | 658827 |
| **Jefferson Capital Holdings LLC** | **Jefferson Capital Holdings LLC** | **Jefferson Capital Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 08/15/26 *(a)(b)* | 326000 | 324645 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 05/15/30 *(a)(b)* | 500000 | 512181 |
| **Kennedy-Wilson, Inc.** | **Kennedy-Wilson, Inc.** | **Kennedy-Wilson, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/01/29 *(b)* | 501000 | 460964 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/01/30 *(b)* | 446000 | 396238 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/01/31 *(b)* | 733000 | 636226 |
| **PHH Escrow Issuer LLC/PHH Corp.** | **PHH Escrow Issuer LLC/PHH Corp.** | **PHH Escrow Issuer LLC/PHH Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.88%, 11/01/29 *(a)(b)* | 269000 | 264389 |

---

**4**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **PRA Group, Inc.** | **PRA Group, Inc.** | **PRA Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 02/01/28 *(a)(b)* | 184000 | 185725 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/01/29 *(a)(b)* | 624000 | 560408 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 01/31/30 *(a)(b)* | 293000 | 300702 |
|  |  | **12199115** |
| ***Insurance 2.8%***  | ***Insurance 2.8%***  | ***Insurance 2.8%***  |
| **Acrisure LLC/Acrisure Finance, Inc.** | **Acrisure LLC/Acrisure Finance, Inc.** | **Acrisure LLC/Acrisure Finance, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 02/01/29 *(a)(b)* | 599000 | 619917 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 02/15/29 *(a)(b)* | 731000 | 701122 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 06/15/29 *(a)(b)* | 330000 | 345164 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 08/01/29 *(a)(b)* | 686000 | 664597 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 11/06/30 *(a)(b)* | 707000 | 730012 |
| **Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer** | **Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer** | **Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/15/27 *(a)(b)* | 557000 | 541672 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 10/15/27 *(a)(b)* | 741000 | 741275 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 04/15/28 *(a)(b)* | 1008000 | 1022746 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 11/01/29 *(a)(b)* | 393000 | 386341 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 01/15/31 *(a)(b)* | 1337000 | 1368378 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 10/01/31 *(a)(b)* | 797000 | 804376 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 10/01/32 *(a)(b)* | 803000 | 826395 |
| **AmWINS Group, Inc.** | **AmWINS Group, Inc.** | **AmWINS Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 02/15/29 *(a)(b)* | 565000 | 573269 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/30/29 *(a)(b)* | 681000 | 652899 |
| **APH Somerset Investor 2 LLC/APH2 Somerset Investor 2 LLC/APH3 Somerset** <br> **Investor 2 LLC** | **APH Somerset Investor 2 LLC/APH2 Somerset Investor 2 LLC/APH3 Somerset** <br> **Investor 2 LLC** | **APH Somerset Investor 2 LLC/APH2 Somerset Investor 2 LLC/APH3 Somerset** <br> **Investor 2 LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 11/01/29 *(a)(b)* | 607000 | 601058 |
| **Ardonagh Finco Ltd.** | **Ardonagh Finco Ltd.** | **Ardonagh Finco Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 02/15/31 *(a)(b)* | 924000 | 956087 |
| **Ardonagh Group Finance Ltd.** | **Ardonagh Group Finance Ltd.** | **Ardonagh Group Finance Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 02/15/32 *(a)(b)* | 1287000 | 1330969 |
| **AssuredPartners, Inc.** | **AssuredPartners, Inc.** | **AssuredPartners, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 01/15/29 *(a)(b)* | 691000 | 693370 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 02/15/32 *(a)(b)* | 532000 | 569886 |
| **Baldwin Insurance Group Holdings LLC/Baldwin Insurance Group Holdings Finance** | **Baldwin Insurance Group Holdings LLC/Baldwin Insurance Group Holdings Finance** | **Baldwin Insurance Group Holdings LLC/Baldwin Insurance Group Holdings Finance** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 05/15/31 *(a)(b)* | 600000 | 618952 |
| **BroadStreet Partners, Inc.** | **BroadStreet Partners, Inc.** | **BroadStreet Partners, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 04/15/29 *(a)(b)* | 617000 | 607978 |
| **Global Atlantic Fin Co.** | **Global Atlantic Fin Co.** | **Global Atlantic Fin Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 10/15/51 *(a)(b)(d)* | 570000 | 553042 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.95%, 10/15/54 *(a)(b)(d)* | 561000 | 576921 |
| **Howden U.K. Refinance PLC/Howden U.K. Refinance 2 PLC/Howden U.S. Refinance** <br> **LLC** | **Howden U.K. Refinance PLC/Howden U.K. Refinance 2 PLC/Howden U.S. Refinance** <br> **LLC** | **Howden U.K. Refinance PLC/Howden U.K. Refinance 2 PLC/Howden U.S. Refinance** <br> **LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 02/15/31 *(a)(b)* | 707000 | 726356 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 02/15/32 *(a)(b)* | 540000 | 554409 |
| **HUB International Ltd.** | **HUB International Ltd.** | **HUB International Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 12/01/29 *(a)(b)* | 697000 | 691807 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 06/15/30 *(a)(b)* | 2316000 | 2413381 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 01/31/32 *(a)(b)* | 1636000 | 1708351 |
| **Jones Deslauriers Insurance Management, Inc.** | **Jones Deslauriers Insurance Management, Inc.** | **Jones Deslauriers Insurance Management, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 03/15/30 *(a)(b)* | 442000 | 464458 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 12/15/30 *(a)(b)* | 293000 | 314506 |
| **Liberty Mutual Group, Inc.** | **Liberty Mutual Group, Inc.** | **Liberty Mutual Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.80%, 03/07/37 *(a)* | 250000 | 283166 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 12/15/51 *(a)(b)(d)* | 309000 | 297579 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 02/01/61 *(a)(b)* | 1088000 | 673415 |
| **Molina Healthcare, Inc.** | **Molina Healthcare, Inc.** | **Molina Healthcare, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 06/15/28 *(a)(b)* | 597000 | 579471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 11/15/30 *(a)(b)* | 766000 | 700859 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 05/15/32 *(a)(b)* | 738000 | 659581 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 01/15/33 *(a)(b)* | 349000 | 348751 |
| **Panther Escrow Issuer LLC** | **Panther Escrow Issuer LLC** | **Panther Escrow Issuer LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 06/01/31 *(a)(b)* | 2195000 | 2272108 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Ryan Specialty LLC** | **Ryan Specialty LLC** | **Ryan Specialty LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 02/01/30 *(a)(b)* | 548000 | 521860 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 08/01/32 *(a)(b)* | 791000 | 786674 |
| **USI, Inc.** | **USI, Inc.** | **USI, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 01/15/32 *(a)(b)* | 491000 | 515284 |
| **Wilton RE Ltd.** | **Wilton RE Ltd.** | **Wilton RE Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, *(a)(b)(c)(d)* | 292000 | 294920 |
|  |  | **31293362** |
| ***REITs 2.2%***  | ***REITs 2.2%***  | ***REITs 2.2%***  |
| **Apollo Commercial Real Estate Finance, Inc.** | **Apollo Commercial Real Estate Finance, Inc.** | **Apollo Commercial Real Estate Finance, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 06/15/29 *(a)(b)* | 389000 | 363526 |
| **Blackstone Mortgage Trust, Inc.** | **Blackstone Mortgage Trust, Inc.** | **Blackstone Mortgage Trust, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 01/15/27 *(a)(b)* | 464000 | 448240 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 12/01/29 *(a)(b)* | 215000 | 226517 |
| **Brandywine Operating Partnership LP** | **Brandywine Operating Partnership LP** | **Brandywine Operating Partnership LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 11/15/27 *(b)* | 378000 | 361071 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.30%, 03/15/28 *(b)* | 484000 | 507737 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 04/12/29 *(b)* | 486000 | 518005 |
| **Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC** | **Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC** | **Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/27 *(a)(b)* | 400000 | 388776 |
| **Diversified Healthcare Trust** | **Diversified Healthcare Trust** | **Diversified Healthcare Trust** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/15/28 *(b)* | 514000 | 473509 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 03/01/31 *(b)* | 458000 | 379528 |
| **Global Net Lease, Inc.** | **Global Net Lease, Inc.** | **Global Net Lease, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/30/28 *(a)(b)* | 444000 | 426142 |
| **Global Net Lease, Inc./Global Net Lease Operating Partnership LP** | **Global Net Lease, Inc./Global Net Lease Operating Partnership LP** | **Global Net Lease, Inc./Global Net Lease Operating Partnership LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 12/15/27 *(a)(b)* | 536000 | 509222 |
| **Hudson Pacific Properties LP** | **Hudson Pacific Properties LP** | **Hudson Pacific Properties LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 11/01/27 *(b)* | 200000 | 175171 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 02/15/28 *(b)* | 432000 | 371954 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 04/01/29 *(b)* | 647000 | 468882 |
| **Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.** | **Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.** | **Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 02/01/27 *(a)(b)* | 588000 | 575629 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 06/15/29 *(a)(b)* | 329000 | 318915 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 07/15/31 *(a)(b)* | 298000 | 309227 |
| **MPT Operating Partnership LP/MPT Finance Corp.** | **MPT Operating Partnership LP/MPT Finance Corp.** | **MPT Operating Partnership LP/MPT Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/15/27 *(b)(e)* | 1014000 | 887047 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 08/01/29 *(b)* | 798000 | 605561 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/15/31 *(b)* | 1154000 | 758280 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 02/15/32 *(a)(b)* | 1196000 | 1226832 |
| **Office Properties Income Trust** | **Office Properties Income Trust** | **Office Properties Income Trust** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 03/15/27 *(a)(b)* | 245222 | 196534 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 03/31/29 *(a)(b)* | 285000 | 271872 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 09/30/29 *(a)(b)* | 632000 | 467680 |
| **Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer** | **Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer** | **Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 10/01/28 *(a)(b)* | 567000 | 559124 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 05/15/29 *(a)(b)* | 609000 | 576505 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 02/01/30 *(a)(b)* | 424000 | 427432 |
| **Pebblebrook Hotel LP/PEB Finance Corp.** | **Pebblebrook Hotel LP/PEB Finance Corp.** | **Pebblebrook Hotel LP/PEB Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 10/15/29 *(a)(b)* | 193000 | 192085 |
| **RHP Hotel Properties LP/RHP Finance Corp.** | **RHP Hotel Properties LP/RHP Finance Corp.** | **RHP Hotel Properties LP/RHP Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 07/15/28 *(a)(b)* | 456000 | 470455 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/15/29 *(a)(b)* | 674000 | 651228 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 04/01/32 *(a)(b)* | 933000 | 946421 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 06/15/33 *(a)(b)* | 525000 | 534352 |
| **Rithm Capital Corp.** | **Rithm Capital Corp.** | **Rithm Capital Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 04/01/29 *(a)(b)* | 635000 | 637228 |
| **RLJ Lodging Trust LP** | **RLJ Lodging Trust LP** | **RLJ Lodging Trust LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 07/01/26 *(a)(b)* | 364000 | 358468 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/15/29 *(a)(b)* | 531000 | 485970 |
| **Service Properties Trust** | **Service Properties Trust** | **Service Properties Trust** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 02/15/27 *(b)* | 522000 | 503984 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/15/27 *(b)* | 478000 | 461669 |

---

**5**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 01/15/28 *(b)* | 576000 | 515077 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 06/15/29 *(b)* | 603000 | 611352 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 10/01/29 *(b)* | 418000 | 349585 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 02/15/30 *(b)* | 298000 | 240562 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 11/15/31 *(a)(b)* | 445000 | 474288 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 06/15/32 *(b)* | 493000 | 493368 |
| **Starwood Property Trust, Inc.** | **Starwood Property Trust, Inc.** | **Starwood Property Trust, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 07/15/26 *(a)(b)* | 464000 | 453392 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 01/15/27 *(a)(b)* | 245000 | 240810 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 04/01/29 *(a)(b)* | 475000 | 494392 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 04/15/30 *(a)(b)* | 324000 | 323293 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/01/30 *(a)(b)* | 200000 | 202986 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 10/15/30 *(a)(b)* | 800000 | 811600 |
| **Vornado Realty LP** | **Vornado Realty LP** | **Vornado Realty LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 06/01/26 *(b)* | 194000 | 187632 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 06/01/31 *(b)* | 389000 | 334529 |
| **XHR LP** | **XHR LP** | **XHR LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/01/29 *(a)(b)* | 439000 | 417259 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 05/15/30 *(a)(b)* | 282000 | 282953 |
|  |  | **24473856** |
|  |  | **129023101** |
| **Industrial 82.5%** | **Industrial 82.5%** | **Industrial 82.5%** |
| ***Basic Industry 6.3%***  | ***Basic Industry 6.3%***  | ***Basic Industry 6.3%***  |
| **Alcoa Nederland Holding BV** | **Alcoa Nederland Holding BV** | **Alcoa Nederland Holding BV** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 03/15/31 *(a)(b)* | 924000 | 959832 |
| **Algoma Steel, Inc.** | **Algoma Steel, Inc.** | **Algoma Steel, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.13%, 04/15/29 *(a)(b)* | 409000 | 354155 |
| **Alliance Resource Operating Partners LP/Alliance Resource Finance Corp.** | **Alliance Resource Operating Partners LP/Alliance Resource Finance Corp.** | **Alliance Resource Operating Partners LP/Alliance Resource Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 06/15/29 *(a)(b)* | 424000 | 443589 |
| **Alumina Pty. Ltd.** | **Alumina Pty. Ltd.** | **Alumina Pty. Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 03/15/30 *(a)(b)* | 450000 | 451004 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 09/15/32 *(a)(b)* | 450000 | 445359 |
| **Arsenal AIC Parent LLC** | **Arsenal AIC Parent LLC** | **Arsenal AIC Parent LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 10/01/30 *(a)(b)* | 539000 | 566693 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.50%, 10/01/31 *(a)(b)* | 462000 | 515043 |
| **Ashland, Inc.** | **Ashland, Inc.** | **Ashland, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 09/01/31 *(a)(b)* | 539000 | 464834 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 05/15/43 *(b)* | 311000 | 318411 |
| **ATI, Inc.** | **ATI, Inc.** | **ATI, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 12/01/27 *(b)* | 289000 | 289189 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 10/01/29 *(b)* | 432000 | 419433 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 08/15/30 *(b)* | 312000 | 326966 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 10/01/31 *(b)* | 256000 | 247250 |
| **Avient Corp.** | **Avient Corp.** | **Avient Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 08/01/30 *(a)(b)* | 779000 | 803246 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 11/01/31 *(a)(b)* | 329000 | 329721 |
| **Axalta Coating Systems Dutch Holding B BV** | **Axalta Coating Systems Dutch Holding B BV** | **Axalta Coating Systems Dutch Holding B BV** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 02/15/31 *(a)(b)* | 378000 | 395862 |
| **Axalta Coating Systems LLC** | **Axalta Coating Systems LLC** | **Axalta Coating Systems LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 02/15/29 *(a)(b)* | 471000 | 438727 |
| **Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV** | **Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV** | **Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 06/15/27 *(a)(b)* | 445000 | 440654 |
| **Baffinland Iron Mines Corp./Baffinland Iron Mines LP** | **Baffinland Iron Mines Corp./Baffinland Iron Mines LP** | **Baffinland Iron Mines Corp./Baffinland Iron Mines LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 07/15/26 *(a)(b)* | 545000 | 496116 |
| **Big River Steel LLC/BRS Finance Corp.** | **Big River Steel LLC/BRS Finance Corp.** | **Big River Steel LLC/BRS Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 01/31/29 *(a)(b)* | 778000 | 784321 |
| **Calderys Financing LLC** | **Calderys Financing LLC** | **Calderys Financing LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.25%, 06/01/28 *(a)(b)* | 469000 | 499969 |
| **Carpenter Technology Corp.** | **Carpenter Technology Corp.** | **Carpenter Technology Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 07/15/28 *(b)* | 259000 | 260230 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 03/15/30 *(b)* | 300000 | 309596 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Cascades, Inc./Cascades USA, Inc.** | **Cascades, Inc./Cascades USA, Inc.** | **Cascades, Inc./Cascades USA, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 01/15/28 *(a)(b)* | 364000 | 358797 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 07/15/30 *(a)(b)(f)* | 250000 | 251751 |
| **Celanese U.S. Holdings LLC** | **Celanese U.S. Holdings LLC** | **Celanese U.S. Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 08/05/26 *(b)* | 740000 | 709625 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.42%, 07/15/27 *(b)(g)* | 568000 | 582725 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.85%, 11/15/28 *(b)(g)* | 575000 | 595752 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.58%, 07/15/29 *(b)* | 790000 | 811990 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 04/15/30 *(b)* | 555000 | 559747 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.05%, 11/15/30 *(b)* | 852000 | 878668 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 07/15/32 *(b)* | 901000 | 922759 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 04/15/33 *(b)(e)* | 857000 | 834901 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.20%, 11/15/33 *(b)* | 1110000 | 1159606 |
| **Century Aluminum Co.** | **Century Aluminum Co.** | **Century Aluminum Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 04/01/28 *(a)(b)* | 207000 | 211613 |
| **Cerdia Finanz GmbH** | **Cerdia Finanz GmbH** | **Cerdia Finanz GmbH** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.38%, 10/03/31 *(a)(b)* | 677000 | 697326 |
| **Chemours Co.** | **Chemours Co.** | **Chemours Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 05/15/27 *(b)* | 394000 | 386002 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 11/15/28 *(a)(b)* | 506000 | 453579 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/15/29 *(a)(b)* | 579000 | 474258 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 01/15/33 *(a)(b)* | 561000 | 489655 |
| **Clearwater Paper Corp.** | **Clearwater Paper Corp.** | **Clearwater Paper Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 08/15/28 *(a)(b)* | 302000 | 289183 |
| **Cleveland-Cliffs, Inc.** | **Cleveland-Cliffs, Inc.** | **Cleveland-Cliffs, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/01/27 *(b)* | 384000 | 378448 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/01/29 *(a)(b)* | 591000 | 528859 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 11/01/29 *(a)(b)* | 748000 | 696088 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 04/15/30 *(a)(b)* | 615000 | 552869 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/01/31 *(a)(b)* | 465000 | 381571 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 09/15/31 *(a)(b)* | 622000 | 559946 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 03/15/32 *(a)(b)* | 1021000 | 881937 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 05/01/33 *(a)(b)* | 669000 | 575291 |
| **Coeur Mining, Inc.** | **Coeur Mining, Inc.** | **Coeur Mining, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 02/15/29 *(a)(b)* | 469000 | 451789 |
| **Commercial Metals Co.** | **Commercial Metals Co.** | **Commercial Metals Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 01/15/30 *(b)* | 334000 | 314861 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 03/15/32 *(b)* | 323000 | 293923 |
| **Compass Minerals International, Inc.** | **Compass Minerals International, Inc.** | **Compass Minerals International, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 12/01/27 *(a)(b)* | 371000 | 371240 |
| **Consolidated Energy Finance SA** | **Consolidated Energy Finance SA** | **Consolidated Energy Finance SA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 10/15/28 *(a)(b)* | 459000 | 372865 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.00%, 02/15/31 *(a)(b)* | 501000 | 459595 |
| **Constellium SE** | **Constellium SE** | **Constellium SE** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/15/29 *(a)(b)* | 555000 | 512805 |
| **Coronado Finance Pty. Ltd.** | **Coronado Finance Pty. Ltd.** | **Coronado Finance Pty. Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 10/01/29 *(a)(b)* | 361000 | 268655 |
| **CVR Partners LP/CVR Nitrogen Finance Corp.** | **CVR Partners LP/CVR Nitrogen Finance Corp.** | **CVR Partners LP/CVR Nitrogen Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 06/15/28 *(a)(b)* | 452000 | 449884 |
| **Domtar Corp.** | **Domtar Corp.** | **Domtar Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 10/01/28 *(a)(b)* | 553000 | 486363 |
| **Eldorado Gold Corp.** | **Eldorado Gold Corp.** | **Eldorado Gold Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 09/01/29 *(a)(b)* | 242000 | 240655 |
| **Element Solutions, Inc.** | **Element Solutions, Inc.** | **Element Solutions, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 09/01/28 *(a)(b)* | 833000 | 800636 |
| **FMC Corp.** | **FMC Corp.** | **FMC Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.45%, 11/01/55 *(b)(d)* | 625000 | 631766 |
| **FMG Resources August 2006 Pty. Ltd.** | **FMG Resources August 2006 Pty. Ltd.** | **FMG Resources August 2006 Pty. Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/27 *(a)(b)* | 521000 | 510858 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 04/15/30 *(a)(b)* | 584000 | 584005 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 04/01/31 *(a)(b)* | 920000 | 845328 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 04/15/32 *(a)(b)* | 558000 | 557017 |
| **GrafTech Finance, Inc.** | **GrafTech Finance, Inc.** | **GrafTech Finance, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 12/23/29 *(a)(b)* | 431000 | 271095 |

---

**6**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **GrafTech Global Enterprises, Inc.** | **GrafTech Global Enterprises, Inc.** | **GrafTech Global Enterprises, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.88%, 12/23/29 *(a)(b)* | 350000 | 273875 |
| **Graphic Packaging International LLC** | **Graphic Packaging International LLC** | **Graphic Packaging International LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 07/15/27 *(a)(b)* | 401000 | 396345 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/15/28 *(a)(b)* | 342000 | 324691 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/01/29 *(a)(b)* | 240000 | 222373 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/01/30 *(a)(b)* | 657000 | 606238 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 07/15/32 *(a)(b)* | 254000 | 254693 |
| **HB Fuller Co.** | **HB Fuller Co.** | **HB Fuller Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/15/27 *(b)* | 414000 | 407231 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/15/28 *(b)* | 316000 | 301333 |
| **Hecla Mining Co.** | **Hecla Mining Co.** | **Hecla Mining Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 02/15/28 *(b)* | 864000 | 873712 |
| **Herens Holdco SARL** | **Herens Holdco SARL** | **Herens Holdco SARL** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 05/15/28 *(a)(b)* | 250000 | 219235 |
| **Hudbay Minerals, Inc.** | **Hudbay Minerals, Inc.** | **Hudbay Minerals, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 04/01/29 *(a)(b)* | 412000 | 413354 |
| **IAMGOLD Corp.** | **IAMGOLD Corp.** | **IAMGOLD Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/15/28 *(a)(b)* | 388000 | 384795 |
| **Illuminate Buyer LLC/Illuminate Holdings IV, Inc.** | **Illuminate Buyer LLC/Illuminate Holdings IV, Inc.** | **Illuminate Buyer LLC/Illuminate Holdings IV, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 07/01/28 *(a)(b)* | 354000 | 355428 |
| **INEOS Finance PLC** | **INEOS Finance PLC** | **INEOS Finance PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 05/15/28 *(a)(b)* | 668000 | 654713 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 04/15/29 *(a)(b)* | 275000 | 270516 |
| **INEOS Quattro Finance 2 PLC** | **INEOS Quattro Finance 2 PLC** | **INEOS Quattro Finance 2 PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.63%, 03/15/29 *(a)(b)* | 350000 | 348694 |
| **Infrabuild Australia Pty. Ltd.** | **Infrabuild Australia Pty. Ltd.** | **Infrabuild Australia Pty. Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 14.50%, 11/15/28 *(a)(b)* | 296000 | 308665 |
| **Ingevity Corp.** | **Ingevity Corp.** | **Ingevity Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 11/01/28 *(a)(b)* | 484000 | 455310 |
| **Innophos Holdings, Inc.** | **Innophos Holdings, Inc.** | **Innophos Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.50%, 06/15/29 *(a)(b)* | 422000 | 425642 |
| **JW Aluminum Continuous Cast Co.** | **JW Aluminum Continuous Cast Co.** | **JW Aluminum Continuous Cast Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.25%, 04/01/30 *(a)(b)* | 250000 | 247992 |
| **Kaiser Aluminum Corp.** | **Kaiser Aluminum Corp.** | **Kaiser Aluminum Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/01/28 *(a)(b)* | 390000 | 379331 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/01/31 *(a)(b)* | 412000 | 378872 |
| **LSB Industries, Inc.** | **LSB Industries, Inc.** | **LSB Industries, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 10/15/28 *(a)(b)* | 597000 | 591529 |
| **Magnera Corp.** | **Magnera Corp.** | **Magnera Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 11/15/29 *(a)(b)* | 325000 | 275813 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 11/15/31 *(a)(b)* | 596000 | 545763 |
| **Mativ Holdings, Inc.** | **Mativ Holdings, Inc.** | **Mativ Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 10/01/29 *(a)(b)* | 395000 | 337480 |
| **Mercer International, Inc.** | **Mercer International, Inc.** | **Mercer International, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.88%, 10/01/28 *(a)(b)* | 307000 | 305721 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 02/01/29 *(b)* | 691000 | 549991 |
| **Methanex Corp.** | **Methanex Corp.** | **Methanex Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 10/15/27 *(b)* | 559000 | 554597 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 12/15/29 *(b)* | 484000 | 469776 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 12/01/44 *(b)* | 448000 | 344907 |
| **Methanex U.S. Operations, Inc.** | **Methanex U.S. Operations, Inc.** | **Methanex U.S. Operations, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 03/15/32 *(a)(b)* | 424000 | 410704 |
| **Mineral Resources Ltd.** | **Mineral Resources Ltd.** | **Mineral Resources Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 05/01/27 *(a)(b)* | 498000 | 498824 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 11/01/27 *(a)(b)* | 540000 | 539974 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 10/01/28 *(a)(b)* | 925000 | 944925 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 05/01/30 *(a)(b)* | 463000 | 459022 |
| **Minerals Technologies, Inc.** | **Minerals Technologies, Inc.** | **Minerals Technologies, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/01/28 *(a)(b)* | 537000 | 522141 |
| **New Gold, Inc.** | **New Gold, Inc.** | **New Gold, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/01/32 *(a)(b)* | 300000 | 306715 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Novelis Corp.** | **Novelis Corp.** | **Novelis Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/15/26 *(a)(b)* | 837000 | 821620 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/30/30 *(a)(b)* | 1398000 | 1329994 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 01/30/30 *(a)(b)* | 561000 | 578873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 08/15/31 *(a)(b)* | 584000 | 519671 |
| **Nufarm Australia Ltd./Nufarm Americas, Inc.** | **Nufarm Australia Ltd./Nufarm Americas, Inc.** | **Nufarm Australia Ltd./Nufarm Americas, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/27/30 *(a)(b)* | 386000 | 354500 |
| **OCI NV** | **OCI NV** | **OCI NV** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.70%, 03/16/33 *(a)(b)* | 491000 | 537194 |
| **Olin Corp.** | **Olin Corp.** | **Olin Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 08/01/29 *(b)* | 434000 | 425119 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/01/30 *(b)* | 602000 | 570285 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 04/01/33 *(a)(b)* | 636000 | 609553 |
| **Olympus Water U.S. Holding Corp.** | **Olympus Water U.S. Holding Corp.** | **Olympus Water U.S. Holding Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 10/01/27 *(a)(b)* | 413000 | 420288 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/01/28 *(a)(b)* | 419000 | 395246 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 11/15/28 *(a)(b)* | 796000 | 835574 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 10/01/29 *(a)(b)(e)* | 655000 | 608560 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 06/15/31 *(a)(b)* | 377000 | 377292 |
| **Perenti Finance Pty. Ltd.** | **Perenti Finance Pty. Ltd.** | **Perenti Finance Pty. Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 04/26/29 *(a)(b)* | 306000 | 315618 |
| **Rain Carbon, Inc.** | **Rain Carbon, Inc.** | **Rain Carbon, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.25%, 09/01/29 *(a)(b)* | 353000 | 368231 |
| **SCIH Salt Holdings, Inc.** | **SCIH Salt Holdings, Inc.** | **SCIH Salt Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 05/01/28 *(a)(b)* | 551000 | 535286 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 05/01/29 *(a)(b)(e)* | 618000 | 606857 |
| **SCIL IV LLC/SCIL USA Holdings LLC** | **SCIL IV LLC/SCIL USA Holdings LLC** | **SCIL IV LLC/SCIL USA Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 11/01/26 *(a)(b)* | 444000 | 442053 |
| **SK Invictus Intermediate II SARL** | **SK Invictus Intermediate II SARL** | **SK Invictus Intermediate II SARL** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/30/29 *(a)(b)* | 604000 | 574367 |
| **SNF Group SACA** | **SNF Group SACA** | **SNF Group SACA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 03/15/27 *(a)(b)* | 184000 | 176819 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 03/15/30 *(a)(b)* | 491000 | 448902 |
| **SunCoke Energy, Inc.** | **SunCoke Energy, Inc.** | **SunCoke Energy, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/30/29 *(a)(b)* | 624000 | 574103 |
| **Taseko Mines Ltd.** | **Taseko Mines Ltd.** | **Taseko Mines Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 05/01/30 *(a)(b)* | 605000 | 622351 |
| **TMS International Corp.** | **TMS International Corp.** | **TMS International Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 04/15/29 *(a)(b)* | 353000 | 329592 |
| **Tronox, Inc.** | **Tronox, Inc.** | **Tronox, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/15/29 *(a)(b)* | 809000 | 677216 |
| **U.S. Steel Corp.** | **U.S. Steel Corp.** | **U.S. Steel Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 03/01/29 *(b)* | 513000 | 517918 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.65%, 06/01/37  | 334000 | 346213 |
| **Vallourec SACA** | **Vallourec SACA** | **Vallourec SACA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 04/15/32 *(a)(b)* | 468000 | 488911 |
| **Veritiv Operating Co.** | **Veritiv Operating Co.** | **Veritiv Operating Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 11/30/30 *(a)(b)* | 622000 | 662340 |
| **Vibrantz Technologies, Inc.** | **Vibrantz Technologies, Inc.** | **Vibrantz Technologies, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 02/15/30 *(a)(b)* | 626000 | 441871 |
| **Windsor Holdings III LLC** | **Windsor Holdings III LLC** | **Windsor Holdings III LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 06/15/30 *(a)(b)* | 601000 | 636680 |
| **WR Grace Holdings LLC** | **WR Grace Holdings LLC** | **WR Grace Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/15/27 *(a)(b)* | 785000 | 774958 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 08/15/29 *(a)(b)* | 720000 | 635055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 03/01/31 *(a)(b)* | 380000 | 384170 |
|  |  | **69310686** |
| ***Capital Goods 10.9%***  | ***Capital Goods 10.9%***  | ***Capital Goods 10.9%***  |
| **AAR Escrow Issuer LLC** | **AAR Escrow Issuer LLC** | **AAR Escrow Issuer LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 03/15/29 *(a)(b)* | 593000 | 608113 |
| **ACProducts Holdings, Inc.** | **ACProducts Holdings, Inc.** | **ACProducts Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 05/15/29 *(a)(b)* | 503000 | 185256 |

---

**7**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Advanced Drainage Systems, Inc.** | **Advanced Drainage Systems, Inc.** | **Advanced Drainage Systems, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/30/27 *(a)(b)* | 450000 | 445115 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 06/15/30 *(a)(b)* | 571000 | 578441 |
| **Alta Equipment Group, Inc.** | **Alta Equipment Group, Inc.** | **Alta Equipment Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 06/01/29 *(a)(b)(e)* | 434000 | 379580 |
| **American Builders & Contractors Supply Co., Inc.** | **American Builders & Contractors Supply Co., Inc.** | **American Builders & Contractors Supply Co., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/15/28 *(a)(b)* | 388000 | 374850 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 11/15/29 *(a)(b)* | 507000 | 472684 |
| **AmeriTex HoldCo Intermediate LLC** | **AmeriTex HoldCo Intermediate LLC** | **AmeriTex HoldCo Intermediate LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.25%, 10/15/28 *(a)(b)* | 451000 | 479090 |
| **Amsted Industries, Inc.** | **Amsted Industries, Inc.** | **Amsted Industries, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 05/15/30 *(a)(b)* | 624000 | 605858 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 03/15/33 *(a)(b)* | 150000 | 152370 |
| **Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC** | **Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC** | **Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 06/15/27 *(a)(b)* | 1002000 | 1005149 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/01/29 *(a)(b)* | 999000 | 887355 |
| **Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.** | **Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.** | **Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/15/26 *(a)(b)* | 424000 | 385840 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 08/15/27 *(a)(b)* | 1065000 | 485549 |
| **Atkore, Inc.** | **Atkore, Inc.** | **Atkore, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/01/31 *(a)(b)* | 505000 | 459065 |
| **ATS Corp.** | **ATS Corp.** | **ATS Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 12/15/28 *(a)(b)* | 417000 | 392987 |
| **Axon Enterprise, Inc.** | **Axon Enterprise, Inc.** | **Axon Enterprise, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 03/15/30 *(a)(b)* | 750000 | 766800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 03/15/33 *(a)(b)* | 550000 | 559393 |
| **Ball Corp.** | **Ball Corp.** | **Ball Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 03/15/28 *(b)* | 892000 | 914126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 06/15/29 *(b)* | 498000 | 508485 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 08/15/30 *(b)* | 1099000 | 974862 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 09/15/31 *(b)* | 559000 | 490645 |
| **BlueLinx Holdings, Inc.** | **BlueLinx Holdings, Inc.** | **BlueLinx Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 11/15/29 *(a)(b)* | 286000 | 269445 |
| **Boise Cascade Co.** | **Boise Cascade Co.** | **Boise Cascade Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 07/01/30 *(a)(b)* | 357000 | 345494 |
| **Bombardier, Inc.** | **Bombardier, Inc.** | **Bombardier, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 04/15/27 *(a)(b)* | 25000 | 25131 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 02/15/28 *(a)(b)* | 1069000 | 1068969 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 02/01/29 *(a)(b)* | 664000 | 687760 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 11/15/30 *(a)(b)* | 714000 | 767234 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 07/01/31 *(a)(b)* | 828000 | 854911 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 06/01/32 *(a)(b)* | 723000 | 740327 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 06/15/33 *(a)(b)* | 400000 | 406104 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.45%, 05/01/34 *(a)* | 200000 | 212263 |
| **Builders FirstSource, Inc.** | **Builders FirstSource, Inc.** | **Builders FirstSource, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/01/30 *(a)(b)* | 485000 | 470040 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 02/01/32 *(a)(b)* | 854000 | 775457 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 06/15/32 *(a)(b)* | 608000 | 614176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 03/01/34 *(a)(b)* | 630000 | 628476 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 05/15/35 *(b)* | 650000 | 654511 |
| **BWX Technologies, Inc.** | **BWX Technologies, Inc.** | **BWX Technologies, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 06/30/28 *(a)(b)* | 374000 | 364238 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 04/15/29 *(a)(b)* | 521000 | 499539 |
| **Camelot Return Merger Sub, Inc.** | **Camelot Return Merger Sub, Inc.** | **Camelot Return Merger Sub, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 08/01/28 *(a)(b)* | 626000 | 554564 |
| **Chart Industries, Inc.** | **Chart Industries, Inc.** | **Chart Industries, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 01/01/30 *(a)(b)* | 910000 | 950996 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 01/01/31 *(a)(b)* | 849000 | 905299 |
| **Clean Harbors, Inc.** | **Clean Harbors, Inc.** | **Clean Harbors, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 07/15/27 *(a)(b)* | 400000 | 396460 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 07/15/29 *(a)(b)* | 307000 | 301900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 02/01/31 *(a)(b)* | 461000 | 469409 |
| **Clydesdale Acquisition Holdings, Inc.** | **Clydesdale Acquisition Holdings, Inc.** | **Clydesdale Acquisition Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 04/15/29 *(a)(b)* | 400000 | 403715 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 01/15/30 *(a)(b)* | 453000 | 459931 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 04/15/30 *(a)(b)* | 817000 | 836151 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 04/15/32 *(a)(b)* | 1100000 | 1112461 |
| **Cornerstone Building Brands, Inc.** | **Cornerstone Building Brands, Inc.** | **Cornerstone Building Brands, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 01/15/29 *(a)(b)* | 261000 | 190908 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 08/15/29 *(a)(b)* | 385000 | 342438 |
| **CP Atlas Buyer, Inc.** | **CP Atlas Buyer, Inc.** | **CP Atlas Buyer, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 12/01/28 *(a)(b)(e)* | 523000 | 434689 |
| **Crown Americas LLC** | **Crown Americas LLC** | **Crown Americas LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/01/30 *(b)* | 521000 | 519431 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/01/33 *(a)(b)* | 575000 | 571517 |
| **Crown Americas LLC/Crown Americas Capital Corp. V** | **Crown Americas LLC/Crown Americas Capital Corp. V** | **Crown Americas LLC/Crown Americas Capital Corp. V** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/30/26 *(b)* | 417000 | 412836 |
| **Crown Cork & Seal Co., Inc.** | **Crown Cork & Seal Co., Inc.** | **Crown Cork & Seal Co., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 12/15/26  | 201000 | 207427 |
| **Efesto Bidco SpA Efesto U.S. LLC** | **Efesto Bidco SpA Efesto U.S. LLC** | **Efesto Bidco SpA Efesto U.S. LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 02/15/32 *(a)(b)* | 625000 | 629609 |
| **EMRLD Borrower LP/Emerald Co-Issuer, Inc.** | **EMRLD Borrower LP/Emerald Co-Issuer, Inc.** | **EMRLD Borrower LP/Emerald Co-Issuer, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 12/15/30 *(a)(b)* | 1956000 | 1978227 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 07/15/31 *(a)(b)* | 578000 | 591988 |
| **EnerSys** | **EnerSys** | **EnerSys** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 01/15/32 *(a)(b)* | 396000 | 404705 |
| **Enpro, Inc.** | **Enpro, Inc.** | **Enpro, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/15/26 *(b)* | 239000 | 239140 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 06/01/33 *(a)(b)* | 375000 | 378727 |
| **Enviri Corp.** | **Enviri Corp.** | **Enviri Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 07/31/27 *(a)(b)* | 554000 | 545089 |
| **EquipmentShare.com, Inc.** | **EquipmentShare.com, Inc.** | **EquipmentShare.com, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 05/15/28 *(a)(b)* | 577000 | 599725 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 05/15/32 *(a)(b)* | 587000 | 616292 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 03/15/33 *(a)(b)* | 490000 | 503843 |
| **Esab Corp.** | **Esab Corp.** | **Esab Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 04/15/29 *(a)(b)* | 294000 | 299321 |
| **Foundation Building Materials, Inc.** | **Foundation Building Materials, Inc.** | **Foundation Building Materials, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 03/01/29 *(a)(b)(e)* | 492000 | 419550 |
| **FXI Holdings, Inc.** | **FXI Holdings, Inc.** | **FXI Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.25%, 11/15/26 *(a)(b)* | 1026000 | 905781 |
| **Gates Corp.** | **Gates Corp.** | **Gates Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 07/01/29 *(a)(b)* | 256000 | 262658 |
| **GFL Environmental, Inc.** | **GFL Environmental, Inc.** | **GFL Environmental, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 08/01/28 *(a)(b)* | 637000 | 612854 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 06/15/29 *(a)(b)* | 643000 | 627730 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 08/15/29 *(a)(b)* | 568000 | 545927 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 01/15/31 *(a)(b)* | 807000 | 838109 |
| **Goat Holdco LLC** | **Goat Holdco LLC** | **Goat Holdco LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 02/01/32 *(a)(b)* | 483000 | 481491 |
| **Graham Packaging Co., Inc.** | **Graham Packaging Co., Inc.** | **Graham Packaging Co., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 08/15/28 *(a)(b)* | 591000 | 580777 |
| **Griffon Corp.** | **Griffon Corp.** | **Griffon Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 03/01/28 *(b)* | 897000 | 892209 |
| **GYP Holdings III Corp.** | **GYP Holdings III Corp.** | **GYP Holdings III Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 05/01/29 *(a)(b)* | 401000 | 385510 |
| **H&E Equipment Services, Inc.** | **H&E Equipment Services, Inc.** | **H&E Equipment Services, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 12/15/28 *(a)(b)* | 631000 | 636237 |
| **Herc Holdings Escrow, Inc.** | **Herc Holdings Escrow, Inc.** | **Herc Holdings Escrow, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 06/15/30 *(a)(b)* | 1375000 | 1417420 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 06/15/33 *(a)(b)* | 900000 | 926912 |
| **Herc Holdings, Inc.** | **Herc Holdings, Inc.** | **Herc Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 07/15/27 *(a)(b)* | 1159000 | 1151291 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 06/15/29 *(a)(b)* | 563000 | 570695 |
| **Husky Injection Molding Systems Ltd./Titan Co-Borrower LLC** | **Husky Injection Molding Systems Ltd./Titan Co-Borrower LLC** | **Husky Injection Molding Systems Ltd./Titan Co-Borrower LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 02/15/29 *(a)(b)* | 494000 | 505490 |
| **Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC** | **Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC** | **Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 09/15/28 *(a)(b)* | 585000 | 586277 |

---

**8**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Interface, Inc.** | **Interface, Inc.** | **Interface, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/01/28 *(a)(b)* | 429000 | 423556 |
| **Iris Holding, Inc.** | **Iris Holding, Inc.** | **Iris Holding, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 12/15/28 *(a)(b)* | 324000 | 285876 |
| **JELD-WEN, Inc.** | **JELD-WEN, Inc.** | **JELD-WEN, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 12/15/27 *(a)(b)* | 457000 | 399466 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 09/01/32 *(b)(e)* | 288000 | 213195 |
| **Knife River Corp.** | **Knife River Corp.** | **Knife River Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 05/01/31 *(a)(b)* | 482000 | 504828 |
| **LABL, Inc.** | **LABL, Inc.** | **LABL, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 07/15/27 *(a)(b)(e)* | 527000 | 500878 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 11/01/28 *(a)(b)* | 441000 | 376773 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 11/01/28 *(a)(b)* | 312000 | 281369 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 11/01/29 *(a)(b)(e)* | 361000 | 292184 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 10/01/31 *(a)(b)* | 745000 | 617424 |
| **LBM Acquisition LLC** | **LBM Acquisition LLC** | **LBM Acquisition LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 01/15/29 *(a)(b)* | 561000 | 451075 |
| **Louisiana-Pacific Corp.** | **Louisiana-Pacific Corp.** | **Louisiana-Pacific Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/15/29 *(a)(b)* | 438000 | 414024 |
| **Madison IAQ LLC** | **Madison IAQ LLC** | **Madison IAQ LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 06/30/28 *(a)(b)* | 484000 | 466169 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/30/29 *(a)(b)* | 866000 | 838423 |
| **Manitowoc Co., Inc.** | **Manitowoc Co., Inc.** | **Manitowoc Co., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 10/01/31 *(a)(b)* | 336000 | 350526 |
| **Masterbrand, Inc.** | **Masterbrand, Inc.** | **Masterbrand, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 07/15/32 *(a)(b)* | 373000 | 371410 |
| **Mauser Packaging Solutions Holding Co.** | **Mauser Packaging Solutions Holding Co.** | **Mauser Packaging Solutions Holding Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 04/15/27 *(a)(b)* | 2087000 | 2109406 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 04/15/27 *(a)(b)* | 1116000 | 1100298 |
| **Maxim Crane Works Holdings Capital LLC** | **Maxim Crane Works Holdings Capital LLC** | **Maxim Crane Works Holdings Capital LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.50%, 09/01/28 *(a)(b)* | 406000 | 416493 |
| **Miter Brands Acquisition Holdco, Inc./MIWD Borrower LLC** | **Miter Brands Acquisition Holdco, Inc./MIWD Borrower LLC** | **Miter Brands Acquisition Holdco, Inc./MIWD Borrower LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 04/01/32 *(a)(b)* | 269000 | 271193 |
| **MIWD Holdco II LLC/MIWD Finance Corp.** | **MIWD Holdco II LLC/MIWD Finance Corp.** | **MIWD Holdco II LLC/MIWD Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 02/01/30 *(a)(b)* | 700000 | 647108 |
| **Moog, Inc.** | **Moog, Inc.** | **Moog, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 12/15/27 *(a)(b)* | 570000 | 552557 |
| **Mueller Water Products, Inc.** | **Mueller Water Products, Inc.** | **Mueller Water Products, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/15/29 *(a)(b)* | 591000 | 561162 |
| **NESCO Holdings II, Inc.** | **NESCO Holdings II, Inc.** | **NESCO Holdings II, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/15/29 *(a)(b)* | 877000 | 826958 |
| **New Enterprise Stone & Lime Co., Inc.** | **New Enterprise Stone & Lime Co., Inc.** | **New Enterprise Stone & Lime Co., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 07/15/28 *(a)(b)* | 423000 | 415424 |
| **OI European Group BV** | **OI European Group BV** | **OI European Group BV** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/15/30 *(a)(b)* | 450000 | 424087 |
| **Oscar AcquisitionCo LLC/Oscar Finance, Inc.** | **Oscar AcquisitionCo LLC/Oscar Finance, Inc.** | **Oscar AcquisitionCo LLC/Oscar Finance, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 04/15/30 *(a)(b)* | 489000 | 392628 |
| **Owens-Brockway Glass Container, Inc.** | **Owens-Brockway Glass Container, Inc.** | **Owens-Brockway Glass Container, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 05/13/27 *(a)(b)* | 554000 | 554650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 05/15/31 *(a)(b)* | 528000 | 529562 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 06/01/32 *(a)(b)* | 309000 | 307900 |
| **Park River Holdings, Inc.** | **Park River Holdings, Inc.** | **Park River Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 02/01/29 *(a)(b)* | 271000 | 219156 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 08/01/29 *(a)(b)* | 316000 | 252905 |
| **Patrick Industries, Inc.** | **Patrick Industries, Inc.** | **Patrick Industries, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 05/01/29 *(a)(b)* | 383000 | 368751 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 11/01/32 *(a)(b)* | 473000 | 466653 |
| **Quikrete Holdings, Inc.** | **Quikrete Holdings, Inc.** | **Quikrete Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 03/01/32 *(a)(b)* | 2650000 | 2694737 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 03/01/33 *(a)(b)* | 1000000 | 1015551 |
| **QXO Building Products, Inc.** | **QXO Building Products, Inc.** | **QXO Building Products, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 04/30/32 *(a)(b)* | 1825000 | 1875826 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **RB Global Holdings, Inc.** | **RB Global Holdings, Inc.** | **RB Global Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 03/15/28 *(a)(b)* | 446000 | 456060 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 03/15/31 *(a)(b)* | 459000 | 481056 |
| **Resideo Funding, Inc.** | **Resideo Funding, Inc.** | **Resideo Funding, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/01/29 *(a)(b)* | 390000 | 362103 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/15/32 *(a)(b)* | 368000 | 371487 |
| **Reworld Holding Corp.** | **Reworld Holding Corp.** | **Reworld Holding Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 12/01/29 *(a)(b)* | 620000 | 587539 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/01/30 *(b)* | 350000 | 327118 |
| **Roller Bearing Co. of America, Inc.** | **Roller Bearing Co. of America, Inc.** | **Roller Bearing Co. of America, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 10/15/29 *(a)(b)* | 256000 | 244713 |
| **Sealed Air Corp.** | **Sealed Air Corp.** | **Sealed Air Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/01/27 *(a)(b)* | 621000 | 602740 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/15/29 *(a)(b)* | 317000 | 311468 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/15/32 *(a)(b)* | 309000 | 316710 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 07/15/33 *(a)* | 314000 | 329175 |
| **Sealed Air Corp./Sealed Air Corp. U.S.** | **Sealed Air Corp./Sealed Air Corp. U.S.** | **Sealed Air Corp./Sealed Air Corp. U.S.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 02/01/28 *(a)(b)* | 561000 | 567627 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 02/15/31 *(a)(b)* | 441000 | 461367 |
| **Silgan Holdings, Inc.** | **Silgan Holdings, Inc.** | **Silgan Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 02/01/28 *(b)* | 461000 | 448090 |
| **Smyrna Ready Mix Concrete LLC** | **Smyrna Ready Mix Concrete LLC** | **Smyrna Ready Mix Concrete LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 11/01/28 *(a)(b)* | 621000 | 612420 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 11/15/31 *(a)(b)* | 1082000 | 1112048 |
| **Specialty Building Products Holdings LLC/SBP Finance Corp.** | **Specialty Building Products Holdings LLC/SBP Finance Corp.** | **Specialty Building Products Holdings LLC/SBP Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 10/15/29 *(a)(b)* | 559000 | 536018 |
| **Spirit AeroSystems, Inc.** | **Spirit AeroSystems, Inc.** | **Spirit AeroSystems, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 06/15/26 *(b)* | 403000 | 397251 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 06/15/28 *(b)* | 462000 | 450814 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.38%, 11/30/29 *(a)(b)* | 1053000 | 1122553 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 11/15/30 *(a)(b)* | 794000 | 877779 |
| **SPX FLOW, Inc.** | **SPX FLOW, Inc.** | **SPX FLOW, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 04/01/30 *(a)(b)* | 504000 | 519197 |
| **Standard Building Solutions, Inc.** | **Standard Building Solutions, Inc.** | **Standard Building Solutions, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 08/15/32 *(a)(b)* | 654000 | 664629 |
| **Standard Industries, Inc.** | **Standard Industries, Inc.** | **Standard Industries, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/15/27 *(a)(b)* | 597000 | 593307 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/15/28 *(a)(b)* | 959000 | 942280 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 07/15/30 *(a)(b)* | 1605000 | 1507464 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 01/15/31 *(a)(b)* | 802000 | 710271 |
| **Terex Corp.** | **Terex Corp.** | **Terex Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/15/29 *(a)(b)* | 566000 | 545765 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 10/15/32 *(a)(b)* | 687000 | 676138 |
| **Titan International, Inc.** | **Titan International, Inc.** | **Titan International, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 04/30/28 *(b)* | 484000 | 475689 |
| **TK Elevator U.S. Newco, Inc.** | **TK Elevator U.S. Newco, Inc.** | **TK Elevator U.S. Newco, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 07/15/27 *(a)(b)* | 1045000 | 1035759 |
| **TransDigm, Inc.** | **TransDigm, Inc.** | **TransDigm, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 11/15/27 *(b)* | 1213000 | 1212809 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 08/15/28 *(a)(b)* | 1728000 | 1760144 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 01/15/29 *(b)* | 1441000 | 1396667 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 03/01/29 *(a)(b)* | 1873000 | 1905866 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 05/01/29 *(b)* | 1001000 | 969890 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 12/15/30 *(a)(b)* | 1278000 | 1318823 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 12/01/31 *(a)(b)* | 958000 | 992202 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 03/01/32 *(a)(b)* | 1611000 | 1647658 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 01/15/33 *(a)(b)* | 1240000 | 1227888 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 05/31/33 *(a)(b)* | 2250000 | 2228627 |
| **Trident TPI Holdings, Inc.** | **Trident TPI Holdings, Inc.** | **Trident TPI Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.75%, 12/31/28 *(a)(b)* | 486000 | 508797 |
| **TriMas Corp.** | **TriMas Corp.** | **TriMas Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 04/15/29 *(a)(b)* | 358000 | 337275 |
| **Trinity Industries, Inc.** | **Trinity Industries, Inc.** | **Trinity Industries, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 07/15/28 *(a)(b)* | 513000 | 533415 |

---

**9**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Triumph Group, Inc.** | **Triumph Group, Inc.** | **Triumph Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 03/15/28 *(a)(b)* | 568000 | 595519 |
| **Trivium Packaging Finance BV** | **Trivium Packaging Finance BV** | **Trivium Packaging Finance BV** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 07/15/30 *(a)(b)* | 500000 | 519182 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.25%, 01/15/31 *(a)(b)* | 500000 | 526149 |
| **United Rentals North America, Inc.** | **United Rentals North America, Inc.** | **United Rentals North America, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 05/15/27 *(b)* | 589000 | 589651 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 11/15/27 *(b)* | 719000 | 703244 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 01/15/28 *(b)* | 1311000 | 1297909 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 01/15/30 *(b)* | 727000 | 723026 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/15/30 *(b)* | 583000 | 547729 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 02/15/31 *(b)* | 756000 | 698171 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 01/15/32 *(b)* | 683000 | 613646 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 03/15/34 *(a)(b)* | 832000 | 844363 |
| **Velocity Vehicle Group LLC** | **Velocity Vehicle Group LLC** | **Velocity Vehicle Group LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 06/01/29 *(a)(b)* | 422000 | 406193 |
| **Vertiv Group Corp.** | **Vertiv Group Corp.** | **Vertiv Group Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 11/15/28 *(a)(b)* | 804000 | 779505 |
| **Waste Pro USA, Inc.** | **Waste Pro USA, Inc.** | **Waste Pro USA, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 02/01/33 *(a)(b)* | 550000 | 565306 |
| **Werner FinCo LP/Werner FinCo, Inc.** | **Werner FinCo LP/Werner FinCo, Inc.** | **Werner FinCo LP/Werner FinCo, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.50%, 06/15/28 *(a)(b)* | 529000 | 575949 |
| **WESCO Distribution, Inc.** | **WESCO Distribution, Inc.** | **WESCO Distribution, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 06/15/28 *(a)(b)* | 724000 | 733010 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 03/15/29 *(a)(b)* | 584000 | 596849 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 03/15/32 *(a)(b)* | 457000 | 468416 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 03/15/33 *(a)(b)* | 1054000 | 1074345 |
| **White Cap Buyer LLC** | **White Cap Buyer LLC** | **White Cap Buyer LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 10/15/28 *(a)(b)* | 646000 | 633809 |
| **Wilsonart LLC** | **Wilsonart LLC** | **Wilsonart LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.00%, 08/15/32 *(b)* | 418000 | 368176 |
| **Wrangler Holdco Corp.** | **Wrangler Holdco Corp.** | **Wrangler Holdco Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 04/01/32 *(a)(b)* | 301000 | 310638 |
|  |  | **121347066** |
| ***Communications 14.5%***  | ***Communications 14.5%***  | ***Communications 14.5%***  |
| **Advantage Sales & Marketing, Inc.** | **Advantage Sales & Marketing, Inc.** | **Advantage Sales & Marketing, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 11/15/28 *(a)(b)* | 497000 | 380054 |
| **Africell Holding Ltd.** | **Africell Holding Ltd.** | **Africell Holding Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 10/23/29 *(a)(b)* | 218000 | 211451 |
| **Allen Media LLC/Allen Media Co-Issuer, Inc.** | **Allen Media LLC/Allen Media Co-Issuer, Inc.** | **Allen Media LLC/Allen Media Co-Issuer, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 02/15/28 *(a)(b)* | 406000 | 148190 |
| **Altice Financing SA** | **Altice Financing SA** | **Altice Financing SA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.63%, 07/15/27 *(a)(b)* | 336000 | 295359 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/15/28 *(a)(b)(e)* | 749000 | 587150 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 08/15/29 *(a)(b)* | 1655000 | 1266353 |
| **AMC Networks, Inc.** | **AMC Networks, Inc.** | **AMC Networks, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.25%, 01/15/29 *(a)(b)* | 955000 | 1013260 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 02/15/29 *(b)* | 857000 | 656453 |
| **ATP Tower Holdings/Andean Telecom Partners Chile SpA/Andean Tower Partners C** | **ATP Tower Holdings/Andean Telecom Partners Chile SpA/Andean Tower Partners C** | **ATP Tower Holdings/Andean Telecom Partners Chile SpA/Andean Tower Partners C** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 02/03/30 *(a)(b)* | 386000 | 387240 |
| **Banijay Entertainment SAS** | **Banijay Entertainment SAS** | **Banijay Entertainment SAS** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 05/01/29 *(a)(b)* | 365000 | 379108 |
| **Bell Telephone Co. of Canada or Bell Canada** | **Bell Telephone Co. of Canada or Bell Canada** | **Bell Telephone Co. of Canada or Bell Canada** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 09/15/55 *(b)(d)* | 750000 | 756723 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 09/15/55 *(b)(d)* | 920000 | 924785 |
| **Block Communications, Inc.** | **Block Communications, Inc.** | **Block Communications, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/01/28 *(a)(b)* | 367000 | 347373 |
| **British Telecommunications PLC** | **British Telecommunications PLC** | **British Telecommunications PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/23/81 *(a)(b)(d)* | 443000 | 431253 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 11/23/81 *(a)(b)(d)* | 432000 | 393338 |
| **Cable One, Inc.** | **Cable One, Inc.** | **Cable One, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/30 *(a)(b)(e)* | 553000 | 428762 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Cablevision Lightpath LLC** | **Cablevision Lightpath LLC** | **Cablevision Lightpath LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 09/15/27 *(a)(b)* | 986000 | 947918 |
| **CCO Holdings LLC/CCO Holdings Capital Corp.** | **CCO Holdings LLC/CCO Holdings Capital Corp.** | **CCO Holdings LLC/CCO Holdings Capital Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 05/01/27 *(a)(b)* | 2072000 | 2051919 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/01/28 *(a)(b)* | 2197000 | 2156249 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 06/01/29 *(a)(b)* | 1215000 | 1198975 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 09/01/29 *(a)(b)* | 1581000 | 1603431 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/01/30 *(a)(b)* | 2074000 | 1981176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 08/15/30 *(a)(b)* | 1576000 | 1478809 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 02/01/31 *(a)(b)* | 2232000 | 2045799 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 03/01/31 *(a)(b)* | 939000 | 972452 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/01/32 *(a)(b)* | 1335000 | 1236712 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/01/32 *(b)* | 2655000 | 2418356 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/01/33 *(a)(b)* | 1733000 | 1542591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 01/15/34 *(a)(b)* | 1760000 | 1520522 |
| **Cimpress PLC** | **Cimpress PLC** | **Cimpress PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 09/15/32 *(a)(b)* | 624000 | 582422 |
| **Clear Channel Outdoor Holdings, Inc.** | **Clear Channel Outdoor Holdings, Inc.** | **Clear Channel Outdoor Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 08/15/27 *(a)(b)* | 986000 | 965203 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 04/15/28 *(a)(b)* | 909000 | 831408 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 09/15/28 *(a)(b)* | 665000 | 696982 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 06/01/29 *(a)(b)(e)* | 883000 | 781451 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 04/01/30 *(a)(b)* | 426000 | 431954 |
| **CMG Media Corp.** | **CMG Media Corp.** | **CMG Media Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 06/18/29 *(a)(b)* | 542000 | 499995 |
| **Cogent Communications Group LLC** | **Cogent Communications Group LLC** | **Cogent Communications Group LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 06/15/27 *(a)(b)* | 401000 | 403449 |
| **Cogent Communications Group, Inc./Cogent Communications Finance, Inc.** | **Cogent Communications Group, Inc./Cogent Communications Finance, Inc.** | **Cogent Communications Group, Inc./Cogent Communications Finance, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 06/15/27 *(a)(b)* | 414000 | 416879 |
| **Connect Finco SARL/Connect U.S. Finco LLC** | **Connect Finco SARL/Connect U.S. Finco LLC** | **Connect Finco SARL/Connect U.S. Finco LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 09/15/29 *(a)(b)* | 1595000 | 1522204 |
| **Consolidated Communications, Inc.** | **Consolidated Communications, Inc.** | **Consolidated Communications, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/01/28 *(a)(b)* | 614000 | 620693 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 10/01/28 *(a)(b)* | 291000 | 297639 |
| **CSC Holdings LLC** | **CSC Holdings LLC** | **CSC Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/15/27 *(a)(b)* | 1376000 | 1304392 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 02/01/28 *(a)(b)* | 664000 | 606174 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 04/01/28 *(a)(b)* | 915000 | 705695 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.25%, 05/15/28 *(a)(b)* | 576000 | 570437 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.75%, 01/31/29 *(a)(b)* | 1808000 | 1696033 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 02/01/29 *(a)(b)* | 1403000 | 1120674 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 01/15/30 *(a)(b)* | 1429000 | 722550 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 12/01/30 *(a)(b)* | 945000 | 649328 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 12/01/30 *(a)(b)* | 1689000 | 778384 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 02/15/31 *(a)(b)* | 1170000 | 767356 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/15/31 *(a)(b)* | 1182000 | 800127 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/15/31 *(a)(b)* | 570000 | 259755 |
| **Cumulus Media New Holdings, Inc.** | **Cumulus Media New Holdings, Inc.** | **Cumulus Media New Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 07/01/29 *(a)(b)* | 280000 | 77700 |
| **Deluxe Corp.** | **Deluxe Corp.** | **Deluxe Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 06/01/29 *(a)(b)* | 633000 | 588063 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 09/15/29 *(a)(b)* | 217000 | 219646 |
| **Directv Financing LLC** | **Directv Financing LLC** | **Directv Financing LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 02/01/30 *(a)(b)* | 722000 | 711895 |
| **Directv Financing LLC/Directv Financing Co-Obligor, Inc.** | **Directv Financing LLC/Directv Financing Co-Obligor, Inc.** | **Directv Financing LLC/Directv Financing Co-Obligor, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 08/15/27 *(a)(b)* | 2545000 | 2506898 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 02/15/31 *(a)(b)* | 1790000 | 1743500 |
| **DISH DBS Corp.** | **DISH DBS Corp.** | **DISH DBS Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 07/01/26 *(e)* | 1978000 | 1702285 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 12/01/26 *(a)(b)* | 1539000 | 1423515 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 07/01/28 *(b)* | 1116000 | 767494 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 12/01/28 *(a)(b)* | 1851000 | 1569929 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 06/01/29  | 1388000 | 913763 |
| **DISH Network Corp.** | **DISH Network Corp.** | **DISH Network Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.75%, 11/15/27 *(a)(b)* | 2145000 | 2214457 |

---

**10**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **EchoStar Corp.** | **EchoStar Corp.** | **EchoStar Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.75%, 11/30/29 *(b)* | 3729000 | 3749789 |
| **Embarq LLC** | **Embarq LLC** | **Embarq LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 06/01/36  | 1003000 | 473471 |
| **Fibercop SpA** | **Fibercop SpA** | **Fibercop SpA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 11/15/33 *(a)(b)* | 376000 | 364720 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 09/30/34 *(a)(b)* | 536000 | 504585 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.20%, 07/18/36 *(a)(b)* | 474000 | 458595 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.72%, 06/04/38 *(a)(b)* | 525000 | 525065 |
| **Frontier Communications Holdings LLC** | **Frontier Communications Holdings LLC** | **Frontier Communications Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 10/15/27 *(a)(b)* | 700000 | 702262 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/01/28 *(a)(b)* | 1243000 | 1241241 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 05/01/29 *(a)(b)* | 539000 | 546830 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 11/01/29 *(b)* | 1196000 | 1209508 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 01/15/30 *(a)(b)* | 859000 | 871029 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 05/15/30 *(a)(b)* | 916000 | 963446 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 03/15/31 *(a)(b)* | 926000 | 986470 |
| **Frontier Florida LLC** | **Frontier Florida LLC** | **Frontier Florida LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.86%, 02/01/28  | 351000 | 361790 |
| **GCI LLC** | **GCI LLC** | **GCI LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 10/15/28 *(a)(b)* | 392000 | 369037 |
| **Getty Images, Inc.** | **Getty Images, Inc.** | **Getty Images, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 03/01/27 *(a)(b)* | 408000 | 400691 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.25%, 02/21/30 *(a)(b)* | 450000 | 447043 |
| **Graham Holdings Co.** | **Graham Holdings Co.** | **Graham Holdings Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 06/01/26 *(a)(b)* | 193000 | 192922 |
| **Gray Media, Inc.** | **Gray Media, Inc.** | **Gray Media, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 05/15/27 *(a)(b)* | 432000 | 429369 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 07/15/29 *(a)(b)* | 817000 | 869579 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 10/15/30 *(a)(b)* | 736000 | 534520 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 11/15/31 *(a)(b)* | 920000 | 657680 |
| **HTA Group Ltd.** | **HTA Group Ltd.** | **HTA Group Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 06/04/29 *(a)(b)* | 500000 | 510510 |
| **Hughes Satellite Systems Corp.** | **Hughes Satellite Systems Corp.** | **Hughes Satellite Systems Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 08/01/26 *(e)* | 1141000 | 1029598 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 08/01/26 *(e)* | 739000 | 518597 |
| **iHeartCommunications, Inc.** | **iHeartCommunications, Inc.** | **iHeartCommunications, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.13%, 05/01/29 *(a)(b)(e)* | 562450 | 467528 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.88%, 05/01/30 *(a)(b)* | 685400 | 336922 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 08/15/30 *(a)(b)* | 530900 | 410851 |
| **Iliad Holding SASU** | **Iliad Holding SASU** | **Iliad Holding SASU** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 10/15/28 *(a)(b)* | 964000 | 980147 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 04/15/31 *(a)(b)* | 638000 | 673861 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 04/15/32 *(a)(b)* | 616000 | 620730 |
| **Intelsat Jackson Holdings SA** | **Intelsat Jackson Holdings SA** | **Intelsat Jackson Holdings SA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 03/15/30 *(a)(b)* | 2705000 | 2666829 |
| **Lamar Media Corp.** | **Lamar Media Corp.** | **Lamar Media Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/15/28 *(b)* | 402000 | 389202 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 01/15/29 *(b)* | 554000 | 544376 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/15/30 *(b)* | 402000 | 379234 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 01/15/31 *(b)* | 602000 | 547339 |
| **LCPR Senior Secured Financing DAC** | **LCPR Senior Secured Financing DAC** | **LCPR Senior Secured Financing DAC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 10/15/27 *(a)(b)* | 974000 | 706570 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 07/15/29 *(a)(b)* | 703000 | 454314 |
| **Level 3 Financing, Inc.** | **Level 3 Financing, Inc.** | **Level 3 Financing, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 01/15/29 *(a)(b)(e)* | 273000 | 227955 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 04/15/29 *(a)(b)* | 642000 | 723855 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/15/29 *(a)(b)(e)* | 494000 | 451137 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 07/15/29 *(a)(b)* | 309000 | 255132 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.00%, 11/15/29 *(a)(b)* | 879000 | 998250 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/30 *(a)(b)* | 762000 | 673966 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 05/15/30 *(a)(b)* | 744000 | 815610 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 10/15/30 *(a)(b)(e)* | 498000 | 422055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.75%, 12/15/30 *(a)(b)* | 426000 | 481380 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/31 *(a)(b)* | 620000 | 516150 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 10/15/32 *(b)* | 253040 | 255107 |
| **Lumen Technologies, Inc.** | **Lumen Technologies, Inc.** | **Lumen Technologies, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/15/29 *(a)(b)* | 414000 | 366794 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 04/15/29 *(a)(b)* | 426000 | 415882 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 04/15/30 *(a)(b)* | 593000 | 578916 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 10/15/32 *(a)(b)* | 364900 | 374698 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.60%, 09/15/39  | 339000 | 287302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.65%, 03/15/42  | 265000 | 218965 |
| **McGraw-Hill Education, Inc.** | **McGraw-Hill Education, Inc.** | **McGraw-Hill Education, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 08/01/28 *(a)(b)* | 788000 | 778925 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 08/01/29 *(a)(b)* | 652000 | 654176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 09/01/31 *(a)(b)* | 410000 | 422128 |
| **Midcontinent Communications** | **Midcontinent Communications** | **Midcontinent Communications** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 08/15/32 *(a)(b)* | 683000 | 707212 |
| **Millennium Escrow Corp.** | **Millennium Escrow Corp.** | **Millennium Escrow Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 08/01/26 *(a)(b)* | 735000 | 605775 |
| **Millicom International Cellular SA** | **Millicom International Cellular SA** | **Millicom International Cellular SA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 01/15/28 *(a)(b)* | 618300 | 607757 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 04/02/32 *(a)(b)* | 600000 | 608119 |
| **Nexstar Media, Inc.** | **Nexstar Media, Inc.** | **Nexstar Media, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 07/15/27 *(a)(b)* | 832000 | 829193 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 11/01/28 *(a)(b)(e)* | 1362000 | 1311283 |
| **Outfront Media Capital LLC/Outfront Media Capital Corp.** | **Outfront Media Capital LLC/Outfront Media Capital Corp.** | **Outfront Media Capital LLC/Outfront Media Capital Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 08/15/27 *(a)(b)* | 685000 | 676591 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 01/15/29 *(a)(b)* | 589000 | 557524 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/15/30 *(a)(b)* | 510000 | 478921 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 02/15/31 *(a)(b)* | 342000 | 361384 |
| **Paramount Global** | **Paramount Global** | **Paramount Global** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 02/28/57 *(b)(d)* | 593000 | 559731 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 03/30/62 *(b)(d)* | 675000 | 660293 |
| **Radiate Holdco LLC/Radiate Finance, Inc.** | **Radiate Holdco LLC/Radiate Finance, Inc.** | **Radiate Holdco LLC/Radiate Finance, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/26 *(a)(b)* | 693000 | 594944 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 09/15/28 *(a)(b)(e)* | 763000 | 501868 |
| **ROBLOX Corp.** | **ROBLOX Corp.** | **ROBLOX Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 05/01/30 *(a)(b)* | 1202000 | 1119097 |
| **Rogers Communications, Inc.** | **Rogers Communications, Inc.** | **Rogers Communications, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 04/15/55 *(b)(d)* | 838000 | 844913 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 04/15/55 *(b)(d)* | 630000 | 631232 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 03/15/82 *(a)(b)(d)* | 947000 | 927172 |
| **RR Donnelley & Sons Co.** | **RR Donnelley & Sons Co.** | **RR Donnelley & Sons Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 08/01/29 *(a)(b)* | 653000 | 655278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.88%, 08/01/29 *(a)(b)* | 649000 | 631367 |
| **SBA Communications Corp.** | **SBA Communications Corp.** | **SBA Communications Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 02/15/27 *(b)* | 1102000 | 1081266 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 02/01/29 *(b)* | 1515000 | 1410619 |
| **Scripps Escrow II, Inc.** | **Scripps Escrow II, Inc.** | **Scripps Escrow II, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 01/15/29 *(a)(b)* | 501000 | 428816 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 01/15/31 *(a)(b)* | 160000 | 110800 |
| **Scripps Escrow, Inc.** | **Scripps Escrow, Inc.** | **Scripps Escrow, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 07/15/27 *(a)(b)* | 416000 | 353100 |
| **Sinclair Television Group, Inc.** | **Sinclair Television Group, Inc.** | **Sinclair Television Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/01/30 *(a)(b)(e)* | 757000 | 639665 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 02/15/33 *(a)(b)* | 522000 | 522715 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 02/15/33 *(a)(b)* | 622000 | 670205 |
| **Sirius XM Radio LLC** | **Sirius XM Radio LLC** | **Sirius XM Radio LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 09/01/26 *(a)(b)* | 1155000 | 1129183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 08/01/27 *(a)(b)* | 1208000 | 1196254 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/15/28 *(a)(b)* | 1902000 | 1806327 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 07/01/29 *(a)(b)* | 950000 | 935057 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 07/01/30 *(a)(b)* | 1268000 | 1153016 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 09/01/31 *(a)(b)* | 1249000 | 1093136 |
| **Snap, Inc.** | **Snap, Inc.** | **Snap, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 03/01/33 *(a)(b)* | 1270000 | 1287699 |

---

**11**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Stagwell Global LLC** | **Stagwell Global LLC** | **Stagwell Global LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 08/15/29 *(a)(b)* | 887000 | 834736 |
| **Starz Capital Holdings LLC** | **Starz Capital Holdings LLC** | **Starz Capital Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/15/29 *(a)(b)* | 267000 | 216006 |
| **Sunrise FinCo I BV** | **Sunrise FinCo I BV** | **Sunrise FinCo I BV** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 07/15/31 *(a)(b)* | 736000 | 684002 |
| **Sunrise HoldCo IV BV** | **Sunrise HoldCo IV BV** | **Sunrise HoldCo IV BV** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/15/28 *(a)(b)* | 765000 | 752622 |
| **TEGNA, Inc.** | **TEGNA, Inc.** | **TEGNA, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/15/28 *(b)* | 927000 | 902150 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/15/29 *(b)* | 932000 | 888542 |
| **Telecom Italia Capital SA** | **Telecom Italia Capital SA** | **Telecom Italia Capital SA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 09/30/34  | 815000 | 799782 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.20%, 07/18/36  | 489000 | 509477 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.72%, 06/04/38  | 487000 | 509081 |
| **Telesat Canada/Telesat LLC** | **Telesat Canada/Telesat LLC** | **Telesat Canada/Telesat LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 12/06/26 *(a)(b)* | 516000 | 308560 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/01/27 *(a)(b)* | 201000 | 115900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 10/15/27 *(a)(b)* | 306000 | 117810 |
| **U.S. Cellular Corp.** | **U.S. Cellular Corp.** | **U.S. Cellular Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.70%, 12/15/33  | 476000 | 512954 |
| **Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC** | **Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC** | **Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 01/15/30 *(a)(b)* | 760000 | 693086 |
| **Uniti Group LP/Uniti Group Finance 2019, Inc./CSL Capital LLC** | **Uniti Group LP/Uniti Group Finance 2019, Inc./CSL Capital LLC** | **Uniti Group LP/Uniti Group Finance 2019, Inc./CSL Capital LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 02/15/28 *(a)(b)* | 1376000 | 1460629 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 04/15/28 *(a)(b)* | 458000 | 445790 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 02/15/29 *(a)(b)* | 821000 | 774822 |
| **Univision Communications, Inc.** | **Univision Communications, Inc.** | **Univision Communications, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 06/01/27 *(a)(b)* | 1245000 | 1245800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 08/15/28 *(a)(b)* | 1478000 | 1480276 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/01/29 *(a)(b)* | 1025000 | 910824 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 06/30/30 *(a)(b)* | 755000 | 706348 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 07/31/31 *(a)(b)* | 916000 | 880223 |
| **Urban One, Inc.** | **Urban One, Inc.** | **Urban One, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 02/01/28 *(a)(b)* | 383000 | 191858 |
| **Viasat, Inc.** | **Viasat, Inc.** | **Viasat, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 04/15/27 *(a)(b)* | 862000 | 849555 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/15/28 *(a)(b)* | 558000 | 513589 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 05/30/31 *(a)(b)* | 693000 | 553765 |
| **Virgin Media Finance PLC** | **Virgin Media Finance PLC** | **Virgin Media Finance PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/15/30 *(a)(b)* | 687000 | 623314 |
| **Virgin Media Secured Finance PLC** | **Virgin Media Secured Finance PLC** | **Virgin Media Secured Finance PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 05/15/29 *(a)(b)* | 1165000 | 1134092 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 08/15/30 *(a)(b)* | 790000 | 730079 |
| **Virgin Media Vendor Financing Notes IV DAC** | **Virgin Media Vendor Financing Notes IV DAC** | **Virgin Media Vendor Financing Notes IV DAC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/15/28 *(a)(b)* | 444000 | 433015 |
| **Vmed O2 U.K. Financing I PLC** | **Vmed O2 U.K. Financing I PLC** | **Vmed O2 U.K. Financing I PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 01/31/31 *(a)(b)* | 1070000 | 969069 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 07/15/31 *(a)(b)* | 1317000 | 1210473 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 04/15/32 *(a)(b)* | 580000 | 597905 |
| **Vodafone Group PLC** | **Vodafone Group PLC** | **Vodafone Group PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 04/04/79 *(b)(d)* | 1472000 | 1516351 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 06/04/81 *(b)(d)* | 437000 | 426499 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 06/04/81 *(b)(d)* | 662000 | 595767 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 06/04/81 *(b)(d)* | 942000 | 698700 |
| **VZ Secured Financing BV** | **VZ Secured Financing BV** | **VZ Secured Financing BV** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/15/32 *(a)(b)* | 1296000 | 1121146 |
| **Windstream Services LLC/Windstream Escrow Finance Corp.** | **Windstream Services LLC/Windstream Escrow Finance Corp.** | **Windstream Services LLC/Windstream Escrow Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 10/01/31 *(a)(b)* | 1533000 | 1596583 |
| **Zayo Group Holdings, Inc.** | **Zayo Group Holdings, Inc.** | **Zayo Group Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/01/27 *(a)(b)* | 1049000 | 987721 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 03/01/28 *(a)(b)* | 1134000 | 978920 |
| **Zegona Finance PLC** | **Zegona Finance PLC** | **Zegona Finance PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 07/15/29 *(a)(b)* | 640000 | 684000 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Ziggo Bond Co. BV** | **Ziggo Bond Co. BV** | **Ziggo Bond Co. BV** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 02/28/30 *(a)(b)* | 422000 | 358196 |
| **Ziggo BV** | **Ziggo BV** | **Ziggo BV** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 01/15/30 *(a)(b)* | 761000 | 695388 |
|  |  | **161149640** |
| ***Consumer Cyclical 17.9%***  | ***Consumer Cyclical 17.9%***  | ***Consumer Cyclical 17.9%***  |
| **1011778 BC ULC/New Red Finance, Inc.** | **1011778 BC ULC/New Red Finance, Inc.** | **1011778 BC ULC/New Red Finance, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 01/15/28 *(a)(b)* | 1622000 | 1571555 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 01/15/28 *(a)(b)* | 774000 | 755065 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/15/29 *(a)(b)* | 983000 | 928075 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 06/15/29 *(a)(b)* | 974000 | 994239 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/15/30 *(a)(b)* | 2024000 | 1863795 |
| **Academy Ltd.** | **Academy Ltd.** | **Academy Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 11/15/27 *(a)(b)* | 447000 | 448425 |
| **Adams Homes, Inc.** | **Adams Homes, Inc.** | **Adams Homes, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 10/15/28 *(a)(b)* | 449000 | 452796 |
| **Adient Global Holdings Ltd.** | **Adient Global Holdings Ltd.** | **Adient Global Holdings Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 04/15/28 *(a)(b)* | 493000 | 504176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 04/15/31 *(a)(b)* | 382000 | 390247 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 02/15/33 *(a)(b)* | 759000 | 753525 |
| **ADT Security Corp.** | **ADT Security Corp.** | **ADT Security Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/01/29 *(a)(b)* | 703000 | 671306 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 07/15/32 *(a)* | 674000 | 640716 |
| **Advance Auto Parts, Inc.** | **Advance Auto Parts, Inc.** | **Advance Auto Parts, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 10/01/27 *(b)* | 343000 | 317186 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 03/09/28 *(b)* | 400000 | 406976 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 04/15/30 *(b)* | 535000 | 495439 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/15/32 *(b)* | 137000 | 118992 |
| **Affinity Interactive** | **Affinity Interactive** | **Affinity Interactive** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 12/15/27 *(a)(b)* | 541000 | 402888 |
| **Allied Universal Holdco LLC** | **Allied Universal Holdco LLC** | **Allied Universal Holdco LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 02/15/31 *(a)(b)* | 1604000 | 1663411 |
| **Allied Universal Holdco LLC/Allied Universal Finance Corp.** | **Allied Universal Holdco LLC/Allied Universal Finance Corp.** | **Allied Universal Holdco LLC/Allied Universal Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 07/15/27 *(a)(b)* | 749000 | 755657 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 06/01/29 *(a)(b)* | 725000 | 686923 |
| **Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL** | **Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL** | **Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 06/01/28 *(a)(b)* | 1965000 | 1880895 |
| **Allison Transmission, Inc.** | **Allison Transmission, Inc.** | **Allison Transmission, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 10/01/27 *(a)(b)* | 328000 | 322711 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/01/29 *(a)(b)* | 487000 | 489274 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 01/30/31 *(a)(b)* | 696000 | 632346 |
| **AMC Entertainment Holdings, Inc.** | **AMC Entertainment Holdings, Inc.** | **AMC Entertainment Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 02/15/29 *(a)(b)* | 754000 | 589941 |
| **American Axle & Manufacturing, Inc.** | **American Axle & Manufacturing, Inc.** | **American Axle & Manufacturing, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 04/01/27 *(b)* | 507000 | 505001 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 07/01/28 *(b)* | 383000 | 380077 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/01/29 *(b)* | 448000 | 407699 |
| **ANGI Group LLC** | **ANGI Group LLC** | **ANGI Group LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 08/15/28 *(a)(b)* | 541000 | 501656 |
| **Anywhere Real Estate Group LLC/Anywhere Co-Issuer Corp.** | **Anywhere Real Estate Group LLC/Anywhere Co-Issuer Corp.** | **Anywhere Real Estate Group LLC/Anywhere Co-Issuer Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 04/15/30 *(a)(b)(e)* | 555000 | 507491 |
| **Anywhere Real Estate Group LLC/Realogy Co-Issuer Corp.** | **Anywhere Real Estate Group LLC/Realogy Co-Issuer Corp.** | **Anywhere Real Estate Group LLC/Realogy Co-Issuer Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 01/15/29 *(a)(b)* | 408000 | 336094 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/15/30 *(a)(b)(e)* | 394000 | 306386 |
| **Aptiv Swiss Holdings Ltd.** | **Aptiv Swiss Holdings Ltd.** | **Aptiv Swiss Holdings Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 12/15/54 *(b)(d)* | 417000 | 409461 |
| **Arches Buyer, Inc.** | **Arches Buyer, Inc.** | **Arches Buyer, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/01/28 *(a)(b)* | 541000 | 509993 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 12/01/28 *(a)(b)* | 597000 | 546323 |
| **Arko Corp.** | **Arko Corp.** | **Arko Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 11/15/29 *(a)(b)* | 417000 | 348327 |

---

**12**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Asbury Automotive Group, Inc.** | **Asbury Automotive Group, Inc.** | **Asbury Automotive Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 03/01/28 *(b)* | 276000 | 269098 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/15/29 *(a)(b)* | 670000 | 637509 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/01/30 *(b)* | 422000 | 401183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/15/32 *(a)(b)* | 479000 | 447649 |
| **ASGN, Inc.** | **ASGN, Inc.** | **ASGN, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 05/15/28 *(a)(b)* | 392000 | 378409 |
| **Ashton Woods USA LLC/Ashton Woods Finance Co.** | **Ashton Woods USA LLC/Ashton Woods Finance Co.** | **Ashton Woods USA LLC/Ashton Woods Finance Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 01/15/28 *(a)(b)* | 719000 | 722617 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 08/01/29 *(a)(b)* | 477000 | 449933 |
| **Aston Martin Capital Holdings Ltd.** | **Aston Martin Capital Holdings Ltd.** | **Aston Martin Capital Holdings Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 03/31/29 *(a)(b)* | 790000 | 741181 |
| **At Home Group, Inc.** | **At Home Group, Inc.** | **At Home Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 07/15/28 *(a)(b)(h)(i)* | 143000 | 38252 |
| **Bath & Body Works, Inc.** | **Bath & Body Works, Inc.** | **Bath & Body Works, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 02/01/28  | 140000 | 140060 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 06/15/29 *(b)* | 840000 | 864143 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 10/01/30 *(a)(b)* | 614000 | 627617 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 03/01/33  | 332000 | 335285 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 11/01/35  | 575000 | 580008 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 07/01/36  | 696000 | 690447 |
| **Beazer Homes USA, Inc.** | **Beazer Homes USA, Inc.** | **Beazer Homes USA, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 10/15/27 *(b)* | 360000 | 356691 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 10/15/29 *(b)* | 333000 | 330304 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 03/15/31 *(a)(b)* | 258000 | 253463 |
| **Belron U.K. Finance PLC** | **Belron U.K. Finance PLC** | **Belron U.K. Finance PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/15/29 *(a)(b)* | 900000 | 903933 |
| **Benteler International AG** | **Benteler International AG** | **Benteler International AG** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 05/15/28 *(a)(b)* | 500000 | 525798 |
| **Bloomin' Brands, Inc./OSI Restaurant Partners LLC** | **Bloomin' Brands, Inc./OSI Restaurant Partners LLC** | **Bloomin' Brands, Inc./OSI Restaurant Partners LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 04/15/29 *(a)(b)* | 393000 | 349000 |
| **Boyd Gaming Corp.** | **Boyd Gaming Corp.** | **Boyd Gaming Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 12/01/27 *(b)* | 791000 | 780868 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 06/15/31 *(a)(b)* | 515000 | 482655 |
| **Boyne USA, Inc.** | **Boyne USA, Inc.** | **Boyne USA, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 05/15/29 *(a)(b)* | 620000 | 596212 |
| **Brinker International, Inc.** | **Brinker International, Inc.** | **Brinker International, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 07/15/30 *(a)(b)* | 313000 | 331413 |
| **Brink's Co.** | **Brink's Co.** | **Brink's Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 10/15/27 *(a)(b)* | 635000 | 626894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 06/15/29 *(a)(b)* | 258000 | 263424 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 06/15/32 *(a)(b)* | 205000 | 210466 |
| **Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC** | **Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC** | **Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 06/15/29 *(a)(b)* | 579000 | 518612 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 02/15/30 *(a)(b)* | 444000 | 386748 |
| **Caesars Entertainment, Inc.** | **Caesars Entertainment, Inc.** | **Caesars Entertainment, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 07/01/27 *(a)(b)* | 1366000 | 1368860 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 10/15/29 *(a)(b)* | 972000 | 908471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 02/15/30 *(a)(b)* | 1339000 | 1374825 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 02/15/32 *(a)(b)* | 856000 | 863421 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 10/15/32 *(a)(b)* | 903000 | 866802 |
| **Carnival Corp.** | **Carnival Corp.** | **Carnival Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 03/01/27 *(a)(b)* | 1305000 | 1309080 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 05/01/29 *(a)(b)* | 1498000 | 1502885 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 03/15/30 *(a)(b)* | 950000 | 952813 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/15/31 *(a)(b)* | 850000 | 851041 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 02/15/33 *(a)(b)* | 1545000 | 1549781 |
| **Carriage Services, Inc.** | **Carriage Services, Inc.** | **Carriage Services, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 05/15/29 *(a)(b)* | 301000 | 281897 |
| **Cars.com, Inc.** | **Cars.com, Inc.** | **Cars.com, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 11/01/28 *(a)(b)* | 368000 | 367968 |
| **Century Communities, Inc.** | **Century Communities, Inc.** | **Century Communities, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 06/01/27 *(b)* | 680000 | 680468 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 08/15/29 *(a)(b)* | 247000 | 224118 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Champions Financing, Inc.** | **Champions Financing, Inc.** | **Champions Financing, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 02/15/29 *(a)(b)(e)* | 519000 | 483907 |
| **Churchill Downs, Inc.** | **Churchill Downs, Inc.** | **Churchill Downs, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/01/27 *(a)(b)* | 594000 | 592307 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/15/28 *(a)(b)* | 594000 | 580986 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 04/01/30 *(a)(b)* | 751000 | 740969 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 05/01/31 *(a)(b)* | 540000 | 550636 |
| **Cinemark USA, Inc.** | **Cinemark USA, Inc.** | **Cinemark USA, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 07/15/28 *(a)(b)* | 697000 | 688117 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 08/01/32 *(a)(b)* | 335000 | 344898 |
| **Clarios Global LP/Clarios U.S. Finance Co.** | **Clarios Global LP/Clarios U.S. Finance Co.** | **Clarios Global LP/Clarios U.S. Finance Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 05/15/26 *(a)(b)* | 271000 | 271226 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 05/15/27 *(a)(b)* | 144000 | 144892 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 05/15/28 *(a)(b)* | 847000 | 863607 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 02/15/30 *(a)(b)* | 659000 | 671689 |
| **CoreCivic, Inc.** | **CoreCivic, Inc.** | **CoreCivic, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 04/15/29 *(b)* | 308000 | 325750 |
| **Cougar JV Subsidiary LLC** | **Cougar JV Subsidiary LLC** | **Cougar JV Subsidiary LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 05/15/32 *(a)(b)* | 561000 | 589825 |
| **Crocs, Inc.** | **Crocs, Inc.** | **Crocs, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 03/15/29 *(a)(b)* | 318000 | 300467 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/15/31 *(a)(b)* | 316000 | 280910 |
| **Cushman & Wakefield U.S. Borrower LLC** | **Cushman & Wakefield U.S. Borrower LLC** | **Cushman & Wakefield U.S. Borrower LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 05/15/28 *(a)(b)* | 524000 | 526601 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 09/01/31 *(a)(b)* | 318000 | 340351 |
| **Dana, Inc.** | **Dana, Inc.** | **Dana, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 11/15/27 *(b)* | 243000 | 242379 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 06/15/28 *(b)* | 353000 | 351603 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/01/30 *(b)* | 378000 | 358765 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/15/32 *(b)* | 439000 | 411003 |
| **Dealer Tire LLC/DT Issuer LLC** | **Dealer Tire LLC/DT Issuer LLC** | **Dealer Tire LLC/DT Issuer LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 02/01/28 *(a)(b)* | 530000 | 518394 |
| **Dornoch Debt Merger Sub, Inc.** | **Dornoch Debt Merger Sub, Inc.** | **Dornoch Debt Merger Sub, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 10/15/29 *(a)(b)* | 568000 | 437261 |
| **Dream Finders Homes, Inc.** | **Dream Finders Homes, Inc.** | **Dream Finders Homes, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 08/15/28 *(a)(b)* | 319000 | 328610 |
| **eG Global Finance PLC** | **eG Global Finance PLC** | **eG Global Finance PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.00%, 11/30/28 *(a)(b)* | 819000 | 904282 |
| **Empire Communities Corp.** | **Empire Communities Corp.** | **Empire Communities Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 05/01/29 *(a)(b)* | 372000 | 373860 |
| **Empire Resorts, Inc.** | **Empire Resorts, Inc.** | **Empire Resorts, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 11/01/26 *(a)(b)* | 225000 | 221825 |
| **Evergreen Acqco 1 LP/TVI, Inc.** | **Evergreen Acqco 1 LP/TVI, Inc.** | **Evergreen Acqco 1 LP/TVI, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 04/26/28 *(a)(b)* | 469000 | 491315 |
| **EZCORP, Inc.** | **EZCORP, Inc.** | **EZCORP, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 04/01/32 *(a)(b)* | 302000 | 314156 |
| **Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.** | **Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.** | **Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 01/15/29 *(a)(b)* | 751000 | 704857 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 01/15/30 *(a)(b)* | 821000 | 746260 |
| **Foot Locker, Inc.** | **Foot Locker, Inc.** | **Foot Locker, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/01/29 *(a)(b)* | 412000 | 391919 |
| **Forestar Group, Inc.** | **Forestar Group, Inc.** | **Forestar Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/01/28 *(a)(b)* | 266000 | 262019 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 03/15/33 *(a)(b)* | 480000 | 476458 |
| **Forvia SE** | **Forvia SE** | **Forvia SE** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 06/15/30 *(a)(b)* | 400000 | 406869 |
| **Full House Resorts, Inc.** | **Full House Resorts, Inc.** | **Full House Resorts, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 02/15/28 *(a)(b)* | 398000 | 381063 |
| **Gap, Inc.** | **Gap, Inc.** | **Gap, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 10/01/29 *(a)(b)* | 555000 | 507489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 10/01/31 *(a)(b)* | 725000 | 645397 |
| **Garda World Security Corp.** | **Garda World Security Corp.** | **Garda World Security Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 02/15/27 *(a)(b)* | 506000 | 499833 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 02/15/28 *(a)(b)* | 155000 | 160308 |

---

**13**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 06/01/29 *(a)(b)* | 405000 | 385552 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 08/01/32 *(a)(b)* | 715000 | 712553 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 11/15/32 *(a)(b)* | 800000 | 803269 |
| **Garrett Motion Holdings, Inc./Garrett LX I SARL** | **Garrett Motion Holdings, Inc./Garrett LX I SARL** | **Garrett Motion Holdings, Inc./Garrett LX I SARL** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 05/31/32 *(a)(b)* | 593000 | 605654 |
| **Genting New York LLC/GENNY Capital, Inc.** | **Genting New York LLC/GENNY Capital, Inc.** | **Genting New York LLC/GENNY Capital, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 10/01/29 *(a)(b)* | 525000 | 531316 |
| **GEO Group, Inc.** | **GEO Group, Inc.** | **GEO Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 04/15/29 *(b)* | 444000 | 468998 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.25%, 04/15/31 *(b)* | 599000 | 657137 |
| **Global Auto Holdings Ltd./AAG FH U.K. Ltd.** | **Global Auto Holdings Ltd./AAG FH U.K. Ltd.** | **Global Auto Holdings Ltd./AAG FH U.K. Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 01/15/29 *(a)(b)* | 425000 | 356803 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.50%, 08/15/29 *(a)(b)* | 428000 | 397385 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 01/15/32 *(a)(b)* | 497000 | 386147 |
| **Go Daddy Operating Co. LLC/GD Finance Co., Inc.** | **Go Daddy Operating Co. LLC/GD Finance Co., Inc.** | **Go Daddy Operating Co. LLC/GD Finance Co., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 12/01/27 *(a)(b)* | 549000 | 546097 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/01/29 *(a)(b)* | 248000 | 231731 |
| **Goodyear Tire & Rubber Co.** | **Goodyear Tire & Rubber Co.** | **Goodyear Tire & Rubber Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/31/26 *(b)* | 312000 | 312391 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/15/27 *(b)* | 770000 | 759895 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/15/29 *(b)* | 561000 | 537837 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 07/15/30 *(b)* | 100000 | 100222 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/30/31 *(b)* | 523000 | 488783 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 07/15/31 *(b)(e)* | 564000 | 526699 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 04/30/33 *(b)* | 461000 | 429162 |
| **GPS Hospitality Holding Co. LLC/GPS Finco, Inc.** | **GPS Hospitality Holding Co. LLC/GPS Finco, Inc.** | **GPS Hospitality Holding Co. LLC/GPS Finco, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 08/15/28 *(a)(b)* | 356000 | 208444 |
| **Great Canadian Gaming Corp.** | **Great Canadian Gaming Corp.** | **Great Canadian Gaming Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 11/15/29 *(a)(b)* | 500000 | 485879 |
| **Group 1 Automotive, Inc.** | **Group 1 Automotive, Inc.** | **Group 1 Automotive, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 08/15/28 *(a)(b)* | 597000 | 572583 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 01/15/30 *(a)(b)* | 391000 | 398924 |
| **GrubHub Holdings, Inc.** | **GrubHub Holdings, Inc.** | **GrubHub Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 07/01/27 *(a)(b)(e)* | 495000 | 457258 |
| **Hanesbrands, Inc.** | **Hanesbrands, Inc.** | **Hanesbrands, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 02/15/31 *(a)(b)* | 600000 | 634478 |
| **Hilton Domestic Operating Co., Inc.** | **Hilton Domestic Operating Co., Inc.** | **Hilton Domestic Operating Co., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 05/01/28 *(a)(b)* | 455000 | 456886 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 04/01/29 *(a)(b)* | 423000 | 427431 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 05/01/29 *(a)(b)* | 578000 | 546468 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 01/15/30 *(b)* | 786000 | 770908 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/01/31 *(a)(b)* | 959000 | 887324 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 02/15/32 *(a)(b)* | 902000 | 803389 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 04/01/32 *(a)(b)* | 585000 | 594394 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 03/15/33 *(a)(b)* | 987000 | 994358 |
| **Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc.** | **Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc.** | **Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 06/01/29 *(a)(b)* | 678000 | 636639 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 07/01/31 *(a)(b)* | 398000 | 357176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 01/15/32 *(a)(b)* | 726000 | 725535 |
| **Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.** | **Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.** | **Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 04/01/27 *(b)* | 602000 | 600462 |
| **International Game Technology PLC** | **International Game Technology PLC** | **International Game Technology PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 01/15/27 *(a)(b)* | 564000 | 570430 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 01/15/29 *(a)(b)* | 1008000 | 992234 |
| **Jacobs Entertainment, Inc.** | **Jacobs Entertainment, Inc.** | **Jacobs Entertainment, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 02/15/29 *(a)(b)* | 486000 | 460837 |
| **Jaguar Land Rover Automotive PLC** | **Jaguar Land Rover Automotive PLC** | **Jaguar Land Rover Automotive PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/01/27 *(a)(b)* | 715000 | 699261 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 07/15/29 *(a)(b)* | 476000 | 469571 |
| **JB Poindexter & Co., Inc.** | **JB Poindexter & Co., Inc.** | **JB Poindexter & Co., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 12/15/31 *(a)(b)* | 602000 | 597536 |
| **K Hovnanian Enterprises, Inc.** | **K Hovnanian Enterprises, Inc.** | **K Hovnanian Enterprises, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.75%, 09/30/29 *(a)(b)* | 433000 | 466904 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **KB Home** | **KB Home** | **KB Home** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 06/15/27 *(b)* | 212000 | 217773 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 11/15/29 *(b)* | 268000 | 261566 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 07/15/30 *(b)* | 367000 | 377317 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/15/31 *(b)* | 327000 | 296683 |
| **Ken Garff Automotive LLC** | **Ken Garff Automotive LLC** | **Ken Garff Automotive LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 09/15/28 *(a)(b)* | 373000 | 363035 |
| **KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC** | **KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC** | **KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 06/01/27 *(a)(b)* | 662000 | 660078 |
| **Kohl's Corp.** | **Kohl's Corp.** | **Kohl's Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 06/01/30 *(a)(b)* | 300000 | 308370 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 05/01/31 *(b)* | 458000 | 293612 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 07/17/45 *(b)* | 388000 | 191218 |
| **Kontoor Brands, Inc.** | **Kontoor Brands, Inc.** | **Kontoor Brands, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 11/15/29 *(a)(b)* | 330000 | 304049 |
| **Korn Ferry** | **Korn Ferry** | **Korn Ferry** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 12/15/27 *(a)(b)* | 554000 | 545969 |
| **Landsea Homes Corp.** | **Landsea Homes Corp.** | **Landsea Homes Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 04/01/29 *(a)(b)* | 300000 | 313264 |
| **LCM Investments Holdings II LLC** | **LCM Investments Holdings II LLC** | **LCM Investments Holdings II LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 05/01/29 *(a)(b)* | 745000 | 718270 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 08/01/31 *(a)(b)* | 637000 | 675888 |
| **Levi Strauss & Co.** | **Levi Strauss & Co.** | **Levi Strauss & Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/01/31 *(a)(b)* | 426000 | 381198 |
| **LGI Homes, Inc.** | **LGI Homes, Inc.** | **LGI Homes, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 12/15/28 *(a)(b)* | 193000 | 198746 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/15/29 *(a)(b)(e)* | 362000 | 320933 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 11/15/32 *(a)(b)* | 464000 | 431365 |
| **Liberty Interactive LLC** | **Liberty Interactive LLC** | **Liberty Interactive LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 07/15/29  | 254000 | 43866 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 02/01/30  | 395000 | 67150 |
| **Life Time, Inc.** | **Life Time, Inc.** | **Life Time, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 11/15/31 *(a)(b)* | 208000 | 208603 |
| **Light & Wonder International, Inc.** | **Light & Wonder International, Inc.** | **Light & Wonder International, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 05/15/28 *(a)(b)* | 473000 | 473747 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 11/15/29 *(a)(b)* | 285000 | 293398 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 09/01/31 *(a)(b)* | 568000 | 587319 |
| **Lindblad Expeditions Holdings, Inc.** | **Lindblad Expeditions Holdings, Inc.** | **Lindblad Expeditions Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 05/15/28 *(a)(b)* | 359000 | 371609 |
| **Lithia Motors, Inc.** | **Lithia Motors, Inc.** | **Lithia Motors, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 12/15/27 *(a)(b)* | 548000 | 540955 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 06/01/29 *(a)(b)* | 598000 | 563673 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 01/15/31 *(a)(b)* | 463000 | 434253 |
| **Live Nation Entertainment, Inc.** | **Live Nation Entertainment, Inc.** | **Live Nation Entertainment, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 05/15/27 *(a)(b)* | 576000 | 583256 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 10/15/27 *(a)(b)* | 779000 | 767351 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 01/15/28 *(a)(b)* | 552000 | 531352 |
| **M/I Homes, Inc.** | **M/I Homes, Inc.** | **M/I Homes, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 02/01/28 *(b)* | 318000 | 313965 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 02/15/30 *(b)* | 319000 | 293964 |
| **Macy's Retail Holdings LLC** | **Macy's Retail Holdings LLC** | **Macy's Retail Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 04/01/29 *(a)(b)* | 486000 | 476800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 03/15/30 *(a)(b)* | 405000 | 387058 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 03/15/32 *(a)(b)* | 295000 | 273715 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/15/34 *(b)* | 297000 | 232471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 01/15/42 *(b)* | 327000 | 220251 |
| **Marriott Ownership Resorts, Inc.** | **Marriott Ownership Resorts, Inc.** | **Marriott Ownership Resorts, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/15/28 *(b)* | 245000 | 237390 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/15/29 *(a)(b)(e)* | 343000 | 322263 |
| **Match Group Holdings II LLC** | **Match Group Holdings II LLC** | **Match Group Holdings II LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 12/15/27 *(a)(b)* | 546000 | 541377 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 06/01/28 *(a)(b)* | 400000 | 387938 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 02/15/29 *(a)(b)* | 257000 | 255472 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/01/30 *(a)(b)* | 471000 | 435045 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 10/01/31 *(a)(b)* | 316000 | 276599 |

---

**14**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Mattamy Group Corp.** | **Mattamy Group Corp.** | **Mattamy Group Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 12/15/27 *(a)(b)* | 446000 | 443854 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/01/30 *(a)(b)* | 392000 | 369311 |
| **Matthews International Corp.** | **Matthews International Corp.** | **Matthews International Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 10/01/27 *(a)(b)* | 401000 | 417005 |
| **Mavis Tire Express Services Topco Corp.** | **Mavis Tire Express Services Topco Corp.** | **Mavis Tire Express Services Topco Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 05/15/29 *(a)(b)* | 533000 | 507111 |
| **Merlin Entertainments Group U.S. Holdings, Inc.** | **Merlin Entertainments Group U.S. Holdings, Inc.** | **Merlin Entertainments Group U.S. Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 02/15/31 *(a)(b)* | 253000 | 231025 |
| **MGM Resorts International** | **MGM Resorts International** | **MGM Resorts International** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 09/01/26 *(b)* | 462000 | 460349 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/15/27 *(b)* | 369000 | 370545 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 10/15/28 *(b)* | 634000 | 620522 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 09/15/29 *(b)* | 237000 | 238278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 04/15/32 *(b)* | 858000 | 856865 |
| **Michaels Cos., Inc.** | **Michaels Cos., Inc.** | **Michaels Cos., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 05/01/28 *(a)(b)* | 757000 | 519827 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 05/01/29 *(a)(b)* | 762000 | 371475 |
| **Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp.** | **Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp.** | **Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 05/01/29 *(a)(b)* | 491000 | 470789 |
| **Mohegan Tribal Gaming Authority/MS Digital Entertainment Holdings LLC** | **Mohegan Tribal Gaming Authority/MS Digital Entertainment Holdings LLC** | **Mohegan Tribal Gaming Authority/MS Digital Entertainment Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 04/15/30 *(a)(b)* | 725000 | 738317 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.88%, 04/15/31 *(a)(b)* | 549000 | 570198 |
| **Motion Bondco DAC** | **Motion Bondco DAC** | **Motion Bondco DAC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 11/15/27 *(a)(b)* | 620000 | 586438 |
| **Motion Finco SARL** | **Motion Finco SARL** | **Motion Finco SARL** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 02/15/32 *(a)(b)* | 417000 | 385783 |
| **Murphy Oil USA, Inc.** | **Murphy Oil USA, Inc.** | **Murphy Oil USA, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 09/15/29 *(b)* | 278000 | 269455 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/15/31 *(a)(b)* | 757000 | 686772 |
| **NCL Corp. Ltd.** | **NCL Corp. Ltd.** | **NCL Corp. Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 02/15/27 *(a)(b)* | 375000 | 375322 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 01/15/29 *(a)(b)* | 519000 | 546780 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 02/15/29 *(a)(b)* | 399000 | 419762 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 03/01/30 *(a)(b)* | 793000 | 785072 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 02/01/32 *(a)(b)* | 1300000 | 1301054 |
| **NCL Finance Ltd.** | **NCL Finance Ltd.** | **NCL Finance Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 03/15/28 *(a)(b)* | 318000 | 320222 |
| **New Flyer Holdings, Inc.** | **New Flyer Holdings, Inc.** | **New Flyer Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 07/01/30 *(a)(b)* | 100000 | 102750 |
| **New Home Co., Inc.** | **New Home Co., Inc.** | **New Home Co., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 10/01/29 *(a)(b)* | 334000 | 345358 |
| **Newmark Group, Inc.** | **Newmark Group, Inc.** | **Newmark Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 01/12/29 *(b)* | 293000 | 308322 |
| **Nissan Motor Acceptance Co. LLC** | **Nissan Motor Acceptance Co. LLC** | **Nissan Motor Acceptance Co. LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 09/15/26 *(a)* | 551000 | 558175 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 09/16/26 *(a)(b)* | 422000 | 401932 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 09/13/27 *(a)* | 334000 | 327732 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 03/09/28 *(a)(b)* | 780000 | 714682 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 09/15/28 *(a)(b)* | 416000 | 368956 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.05%, 09/15/28 *(a)(b)* | 610000 | 619956 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 09/13/29 *(a)(b)* | 364000 | 350623 |
| **Nissan Motor Co. Ltd.** | **Nissan Motor Co. Ltd.** | **Nissan Motor Co. Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 09/17/27 *(a)(b)* | 1608000 | 1552876 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.81%, 09/17/30 *(a)(b)* | 1984000 | 1828316 |
| **Nordstrom, Inc.** | **Nordstrom, Inc.** | **Nordstrom, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/15/27 *(b)* | 262000 | 253279 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 03/15/28  | 254000 | 257027 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 04/01/30 *(b)* | 464000 | 423279 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 08/01/31 *(b)* | 422000 | 369430 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/15/44 *(b)* | 846000 | 600170 |
| **Odeon Finco PLC** | **Odeon Finco PLC** | **Odeon Finco PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.75%, 11/01/27 *(a)(b)* | 383000 | 396695 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Ontario Gaming GTA LP/OTG Co-Issuer, Inc.** | **Ontario Gaming GTA LP/OTG Co-Issuer, Inc.** | **Ontario Gaming GTA LP/OTG Co-Issuer, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 08/01/30 *(a)(b)* | 395000 | 390714 |
| **OT Midco Ltd.** | **OT Midco Ltd.** | **OT Midco Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 02/15/30 *(a)(b)* | 500000 | 417789 |
| **Papa John's International, Inc.** | **Papa John's International, Inc.** | **Papa John's International, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 09/15/29 *(a)(b)* | 676000 | 631165 |
| **Parkland Corp.** | **Parkland Corp.** | **Parkland Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 07/15/27 *(a)(b)* | 798000 | 796581 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/01/29 *(a)(b)* | 292000 | 276000 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 05/01/30 *(a)(b)* | 750000 | 705201 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 08/15/32 *(a)(b)* | 284000 | 284813 |
| **Penn Entertainment, Inc.** | **Penn Entertainment, Inc.** | **Penn Entertainment, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 01/15/27 *(a)(b)* | 468000 | 462346 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 07/01/29 *(a)(b)* | 293000 | 261997 |
| **Penske Automotive Group, Inc.** | **Penske Automotive Group, Inc.** | **Penske Automotive Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 06/15/29 *(a)(b)* | 531000 | 498195 |
| **PetSmart, Inc./PetSmart Finance Corp.** | **PetSmart, Inc./PetSmart Finance Corp.** | **PetSmart, Inc./PetSmart Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/15/28 *(a)(b)* | 931000 | 899524 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 02/15/29 *(a)(b)* | 747000 | 728076 |
| **Phinia, Inc.** | **Phinia, Inc.** | **Phinia, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 04/15/29 *(a)(b)* | 313000 | 320312 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 10/15/32 *(a)(b)* | 457000 | 454734 |
| **PM General Purchaser LLC** | **PM General Purchaser LLC** | **PM General Purchaser LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 10/01/28 *(a)(b)* | 566000 | 366626 |
| **Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.** | **Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.** | **Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 09/01/29 *(a)(b)* | 664000 | 440730 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 09/01/31 *(a)(b)* | 463000 | 276064 |
| **Prime Security Services Borrower LLC/Prime Finance, Inc.** | **Prime Security Services Borrower LLC/Prime Finance, Inc.** | **Prime Security Services Borrower LLC/Prime Finance, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 08/31/27 *(a)(b)* | 820000 | 787943 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 01/15/28 *(a)(b)* | 1067000 | 1066815 |
| **QVC, Inc.** | **QVC, Inc.** | **QVC, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/15/29 *(b)* | 582000 | 261900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 08/15/34 *(b)* | 338000 | 138580 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 03/15/43  | 235000 | 94000 |
| **Raising Cane's Restaurants LLC** | **Raising Cane's Restaurants LLC** | **Raising Cane's Restaurants LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.38%, 05/01/29 *(a)(b)* | 287000 | 304927 |
| **Rakuten Group, Inc.** | **Rakuten Group, Inc.** | **Rakuten Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.25%, 02/15/27 *(a)* | 1153000 | 1245496 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 04/15/29 *(a)* | 1374000 | 1473809 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 12/15/29 *(a)(b)(d)(j)* | 836000 | 805985 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 04/22/31 *(a)(b)(d)(j)* | 767000 | 696255 |
| **Raven Acquisition Holdings LLC** | **Raven Acquisition Holdings LLC** | **Raven Acquisition Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 11/15/31 *(a)(b)* | 943000 | 941078 |
| **Real Hero Merger Sub 2, Inc.** | **Real Hero Merger Sub 2, Inc.** | **Real Hero Merger Sub 2, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 02/01/29 *(a)(b)* | 525000 | 410083 |
| **Resorts World Las Vegas LLC/RWLV Capital, Inc.** | **Resorts World Las Vegas LLC/RWLV Capital, Inc.** | **Resorts World Las Vegas LLC/RWLV Capital, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 04/16/29 *(a)(b)* | 725000 | 636222 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.45%, 07/27/30 *(a)(b)* | 400000 | 393929 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 04/06/31 *(a)(b)* | 400000 | 323307 |
| **Rivers Enterprise Borrower LLC/Rivers Enterprise Finance Corp.** | **Rivers Enterprise Borrower LLC/Rivers Enterprise Finance Corp.** | **Rivers Enterprise Borrower LLC/Rivers Enterprise Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 02/01/33 *(a)(b)* | 500000 | 493574 |
| **Royal Caribbean Cruises Ltd.** | **Royal Caribbean Cruises Ltd.** | **Royal Caribbean Cruises Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 10/15/27  | 159000 | 167447 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/15/28 *(b)* | 649000 | 626646 |
| **S&S Holdings LLC** | **S&S Holdings LLC** | **S&S Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 10/01/31 *(a)(b)* | 615000 | 587481 |
| **Saks Global Enterprises LLC** | **Saks Global Enterprises LLC** | **Saks Global Enterprises LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.00%, 12/15/29 *(a)(b)* | 1700000 | 769250 |
| **Sally Holdings LLC/Sally Capital, Inc.** | **Sally Holdings LLC/Sally Capital, Inc.** | **Sally Holdings LLC/Sally Capital, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 03/01/32 *(b)* | 372000 | 378328 |
| **Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc.** | **Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc.** | **Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 03/01/30 *(a)(b)* | 657000 | 623320 |
| **SeaWorld Parks & Entertainment, Inc.** | **SeaWorld Parks & Entertainment, Inc.** | **SeaWorld Parks & Entertainment, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 08/15/29 *(a)(b)* | 542000 | 521332 |

---

**15**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Service Corp. International** | **Service Corp. International** | **Service Corp. International** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 12/15/27 *(b)* | 340000 | 335064 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 06/01/29 *(b)* | 863000 | 854578 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 08/15/30 *(b)* | 420000 | 381474 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/15/31 *(b)* | 692000 | 638299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/15/32 *(b)* | 686000 | 682562 |
| **Shea Homes LP/Shea Homes Funding Corp.** | **Shea Homes LP/Shea Homes Funding Corp.** | **Shea Homes LP/Shea Homes Funding Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/15/28 *(b)* | 408000 | 397045 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 04/01/29 *(b)* | 277000 | 265616 |
| **Signal Parent, Inc.** | **Signal Parent, Inc.** | **Signal Parent, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 04/01/29 *(a)(b)* | 353000 | 144730 |
| **Six Flags Entertainment Corp.** | **Six Flags Entertainment Corp.** | **Six Flags Entertainment Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/15/27 *(a)(b)* | 644000 | 644458 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 05/15/31 *(a)(b)* | 505000 | 516332 |
| **Six Flags Entertainment Corp. /Six Flags Theme Parks, Inc./Canada's Wonderland** <br> **Co.** | **Six Flags Entertainment Corp. /Six Flags Theme Parks, Inc./Canada's Wonderland** <br> **Co.** | **Six Flags Entertainment Corp. /Six Flags Theme Parks, Inc./Canada's Wonderland** <br> **Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 05/01/32 *(a)(b)* | 512000 | 522308 |
| **Six Flags Entertainment Corp./Canada's Wonderland Co./Magnum Management** <br> **Corp.** | **Six Flags Entertainment Corp./Canada's Wonderland Co./Magnum Management** <br> **Corp.** | **Six Flags Entertainment Corp./Canada's Wonderland Co./Magnum Management** <br> **Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 04/15/27 *(b)* | 383000 | 383098 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 10/01/28 *(b)* | 400000 | 403601 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 07/15/29 *(b)* | 395000 | 383769 |
| **Sonic Automotive, Inc.** | **Sonic Automotive, Inc.** | **Sonic Automotive, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/15/29 *(a)(b)* | 476000 | 455106 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 11/15/31 *(a)(b)* | 466000 | 434622 |
| **Sotheby's** | **Sotheby's** | **Sotheby's** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 10/15/27 *(a)(b)* | 651000 | 644299 |
| **Sotheby's/Bidfair Holdings, Inc.** | **Sotheby's/Bidfair Holdings, Inc.** | **Sotheby's/Bidfair Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/01/29 *(a)(b)* | 305000 | 264559 |
| **Speedway Motorsports LLC/Speedway Funding II, Inc.** | **Speedway Motorsports LLC/Speedway Funding II, Inc.** | **Speedway Motorsports LLC/Speedway Funding II, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 11/01/27 *(a)(b)* | 552000 | 542710 |
| **Staples, Inc.** | **Staples, Inc.** | **Staples, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.75%, 09/01/29 *(a)(b)* | 1729000 | 1573877 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.75%, 01/15/30 *(a)(b)* | 697800 | 452672 |
| **Station Casinos LLC** | **Station Casinos LLC** | **Station Casinos LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/15/28 *(a)(b)* | 501000 | 486209 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 12/01/31 *(a)(b)* | 539000 | 493754 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 03/15/32 *(a)(b)* | 401000 | 401800 |
| **STL Holding Co. LLC** | **STL Holding Co. LLC** | **STL Holding Co. LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 02/15/29 *(a)(b)* | 301000 | 315563 |
| **StoneMor, Inc.** | **StoneMor, Inc.** | **StoneMor, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 05/15/29 *(a)(b)* | 359000 | 331263 |
| **Taylor Morrison Communities, Inc.** | **Taylor Morrison Communities, Inc.** | **Taylor Morrison Communities, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/15/27 *(a)(b)* | 471000 | 475097 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 01/15/28 *(a)(b)* | 344000 | 346250 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 08/01/30 *(a)(b)* | 354000 | 345400 |
| **Tenneco, Inc.** | **Tenneco, Inc.** | **Tenneco, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 11/17/28 *(a)(b)* | 1244000 | 1225839 |
| **TKC Holdings, Inc.** | **TKC Holdings, Inc.** | **TKC Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 05/15/28 *(a)(b)* | 477000 | 474978 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 05/15/29 *(a)(b)(e)* | 508000 | 522875 |
| **Travel & Leisure Co.** | **Travel & Leisure Co.** | **Travel & Leisure Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 07/31/26 *(a)(b)* | 295000 | 298228 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 04/01/27 *(b)* | 414000 | 417236 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/01/29 *(a)(b)* | 610000 | 580078 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/01/30 *(a)(b)* | 384000 | 362991 |
| **Tri Pointe Homes, Inc.** | **Tri Pointe Homes, Inc.** | **Tri Pointe Homes, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 06/15/28 *(b)* | 432000 | 430916 |
| **TriNet Group, Inc.** | **TriNet Group, Inc.** | **TriNet Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/01/29 *(a)(b)* | 473000 | 437552 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 08/15/31 *(a)(b)* | 325000 | 335286 |
| **Under Armour, Inc.** | **Under Armour, Inc.** | **Under Armour, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 06/15/26 *(b)* | 400000 | 391452 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Universal Entertainment Corp.** | **Universal Entertainment Corp.** | **Universal Entertainment Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.88%, 08/01/29 *(a)(b)(e)* | 200000 | 194862 |
| **Upbound Group, Inc.** | **Upbound Group, Inc.** | **Upbound Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 02/15/29 *(a)(b)* | 410000 | 392810 |
| **Vail Resorts, Inc.** | **Vail Resorts, Inc.** | **Vail Resorts, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 05/15/32 *(a)(b)* | 468000 | 479711 |
| **Valvoline, Inc.** | **Valvoline, Inc.** | **Valvoline, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 06/15/31 *(a)(b)* | 455000 | 404163 |
| **VF Corp.** | **VF Corp.** | **VF Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 04/23/27 *(b)* | 409000 | 384873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 04/23/30 *(b)* | 772000 | 645110 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 10/15/33  | 392000 | 351828 |
| **Victoria's Secret & Co.** | **Victoria's Secret & Co.** | **Victoria's Secret & Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 07/15/29 *(a)(b)* | 536000 | 489162 |
| **Victra Holdings LLC/Victra Finance Corp.** | **Victra Holdings LLC/Victra Finance Corp.** | **Victra Holdings LLC/Victra Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 09/15/29 *(a)(b)* | 178000 | 181964 |
| **Viking Cruises Ltd.** | **Viking Cruises Ltd.** | **Viking Cruises Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 09/15/27 *(a)(b)* | 819000 | 819103 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 02/15/29 *(a)(b)* | 475000 | 478652 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.13%, 07/15/31 *(a)(b)* | 498000 | 535001 |
| **Viking Ocean Cruises Ship VII Ltd.** | **Viking Ocean Cruises Ship VII Ltd.** | **Viking Ocean Cruises Ship VII Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 02/15/29 *(a)(b)* | 60000 | 59338 |
| **VOC Escrow Ltd.** | **VOC Escrow Ltd.** | **VOC Escrow Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/15/28 *(a)(b)* | 664000 | 655372 |
| **Voyager Parent LLC** | **Voyager Parent LLC** | **Voyager Parent LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 07/01/32 *(a)(b)* | 1525000 | 1576505 |
| **VT Topco, Inc.** | **VT Topco, Inc.** | **VT Topco, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 08/15/30 *(a)(b)* | 485000 | 514581 |
| **Wabash National Corp.** | **Wabash National Corp.** | **Wabash National Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/15/28 *(a)(b)* | 393000 | 335877 |
| **Walgreens Boots Alliance, Inc.** | **Walgreens Boots Alliance, Inc.** | **Walgreens Boots Alliance, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 06/01/26 *(b)* | 1043000 | 1020599 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 08/15/29 *(b)* | 631000 | 661619 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 04/15/30 *(b)* | 671000 | 639435 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/18/34 *(b)* | 351000 | 334148 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 11/18/44 *(b)* | 319000 | 294876 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 06/01/46 *(b)* | 500000 | 451545 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 04/15/50 *(b)* | 504000 | 428654 |
| **Wand NewCo 3, Inc.** | **Wand NewCo 3, Inc.** | **Wand NewCo 3, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 01/30/32 *(a)(b)* | 531000 | 552767 |
| **Wayfair LLC** | **Wayfair LLC** | **Wayfair LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 10/31/29 *(a)(b)* | 564000 | 550708 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 09/15/30 *(a)(b)* | 729000 | 716061 |
| **Weekley Homes LLC/Weekley Finance Corp.** | **Weekley Homes LLC/Weekley Finance Corp.** | **Weekley Homes LLC/Weekley Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 09/15/28 *(a)(b)* | 343000 | 329960 |
| **William Carter Co.** | **William Carter Co.** | **William Carter Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 03/15/27 *(a)(b)* | 458000 | 455260 |
| **Wolverine World Wide, Inc.** | **Wolverine World Wide, Inc.** | **Wolverine World Wide, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 08/15/29 *(a)(b)* | 478000 | 418848 |
| **WW International, Inc.** | **WW International, Inc.** | **WW International, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/15/29 *(a)(b)(i)(k)* | 409000 | 130880 |
| **Wyndham Hotels & Resorts, Inc.** | **Wyndham Hotels & Resorts, Inc.** | **Wyndham Hotels & Resorts, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 08/15/28 *(a)(b)* | 277000 | 268228 |
| **Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.** | **Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.** | **Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 05/15/27 *(a)(b)* | 578000 | 575750 |
| **Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.** | **Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.** | **Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 10/01/29 *(a)(b)* | 471000 | 459623 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 02/15/31 *(a)(b)* | 690000 | 724143 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 03/15/33 *(a)(b)* | 742000 | 734333 |
| **Yum! Brands, Inc.** | **Yum! Brands, Inc.** | **Yum! Brands, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/15/30 *(a)(b)* | 626000 | 612796 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/15/31 *(b)* | 592000 | 538929 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 01/31/32 *(b)* | 857000 | 813653 |

---

**16**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 04/01/32 *(b)* | 949000 | 939057 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 11/15/37  | 532000 | 564310 |
| **ZF North America Capital, Inc.** | **ZF North America Capital, Inc.** | **ZF North America Capital, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/14/28 *(a)(b)* | 452000 | 448352 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 04/14/30 *(a)(b)* | 440000 | 424612 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 04/23/30 *(a)(b)* | 690000 | 655973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/23/32 *(a)(b)* | 616000 | 565565 |
| **ZipRecruiter, Inc.** | **ZipRecruiter, Inc.** | **ZipRecruiter, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/15/30 *(a)(b)* | 592000 | 511153 |
|  |  | **198818104** |
| ***Consumer Non-Cyclical 11.3%***  | ***Consumer Non-Cyclical 11.3%***  | ***Consumer Non-Cyclical 11.3%***  |
| **1261229 BC Ltd.** | **1261229 BC Ltd.** | **1261229 BC Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 04/15/32 *(a)(b)* | 3856000 | 3819915 |
| **180 Medical, Inc.** | **180 Medical, Inc.** | **180 Medical, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 10/15/29 *(a)(b)* | 424000 | 404316 |
| **Acadia Healthcare Co., Inc.** | **Acadia Healthcare Co., Inc.** | **Acadia Healthcare Co., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 07/01/28 *(a)(b)* | 409000 | 403692 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/15/29 *(a)(b)* | 395000 | 378430 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 03/15/33 *(a)(b)* | 459000 | 468269 |
| **ACCO Brands Corp.** | **ACCO Brands Corp.** | **ACCO Brands Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 03/15/29 *(a)(b)* | 512000 | 452927 |
| **Acushnet Co.** | **Acushnet Co.** | **Acushnet Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 10/15/28 *(a)(b)* | 346000 | 358867 |
| **AdaptHealth LLC** | **AdaptHealth LLC** | **AdaptHealth LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 08/01/28 *(a)(b)* | 384000 | 380329 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 08/01/29 *(a)(b)* | 570000 | 526945 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 03/01/30 *(a)(b)* | 436000 | 403305 |
| **AHP Health Partners, Inc.** | **AHP Health Partners, Inc.** | **AHP Health Partners, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 07/15/29 *(a)(b)* | 326000 | 312569 |
| **Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC** | **Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC** | **Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 01/15/27 *(a)(b)* | 630000 | 624263 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 02/15/28 *(a)(b)* | 630000 | 629904 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 02/15/28 *(a)(b)* | 561000 | 572762 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/15/29 *(a)(b)* | 989000 | 930218 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 02/15/30 *(a)(b)* | 996000 | 969886 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 03/15/33 *(a)(b)* | 725000 | 736779 |
| **Amer Sports Co.** | **Amer Sports Co.** | **Amer Sports Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 02/16/31 *(a)(b)* | 467000 | 485932 |
| **AMN Healthcare, Inc.** | **AMN Healthcare, Inc.** | **AMN Healthcare, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 10/01/27 *(a)(b)* | 428000 | 414424 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/29 *(a)(b)* | 352000 | 323719 |
| **Aragvi Finance International DAC** | **Aragvi Finance International DAC** | **Aragvi Finance International DAC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.13%, 11/20/29 *(a)(b)* | 508000 | 503206 |
| **Aramark Services, Inc.** | **Aramark Services, Inc.** | **Aramark Services, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/01/28 *(a)(b)* | 941000 | 931941 |
| **Avantor Funding, Inc.** | **Avantor Funding, Inc.** | **Avantor Funding, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 07/15/28 *(a)(b)* | 1222000 | 1191747 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 11/01/29 *(a)(b)* | 652000 | 608619 |
| **B&G Foods, Inc.** | **B&G Foods, Inc.** | **B&G Foods, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 09/15/27 *(b)* | 453000 | 397720 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 09/15/28 *(a)(b)* | 761000 | 718150 |
| **Bausch & Lomb Corp.** | **Bausch & Lomb Corp.** | **Bausch & Lomb Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 10/01/28 *(a)(b)* | 1289000 | 1334257 |
| **Bausch Health Americas, Inc.** | **Bausch Health Americas, Inc.** | **Bausch Health Americas, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 01/31/27 *(a)(b)(e)* | 402000 | 379209 |
| **Bausch Health Cos., Inc.** | **Bausch Health Cos., Inc.** | **Bausch Health Cos., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/30/28 *(a)(b)(e)* | 314000 | 248908 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/01/28 *(a)(b)* | 1322000 | 1080173 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.00%, 09/30/28 *(a)* | 1564000 | 1501909 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/15/29 *(a)(b)(e)* | 454000 | 290521 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 02/15/29 *(a)(b)(e)* | 430000 | 281133 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 05/30/29 *(a)(b)(e)* | 327000 | 217928 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 01/30/30 *(a)(b)(e)* | 572000 | 325145 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| &nbsp;&nbsp;&nbsp;&nbsp; 14.00%, 10/15/30 *(a)(b)* | 251000 | 218364 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 02/15/31 *(a)(b)* | 379000 | 203083 |
| **BellRing Brands, Inc.** | **BellRing Brands, Inc.** | **BellRing Brands, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 03/15/30 *(a)(b)* | 446000 | 463873 |
| **C&S Group Enterprises LLC** | **C&S Group Enterprises LLC** | **C&S Group Enterprises LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 12/15/28 *(a)(b)* | 331000 | 282598 |
| **CD&R Smokey Buyer, Inc./Radio Systems Corp.** | **CD&R Smokey Buyer, Inc./Radio Systems Corp.** | **CD&R Smokey Buyer, Inc./Radio Systems Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 10/15/29 *(a)(b)* | 669000 | 556106 |
| **Central Garden & Pet Co.** | **Central Garden & Pet Co.** | **Central Garden & Pet Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 02/01/28 *(b)* | 428000 | 428351 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 10/15/30 *(b)* | 407000 | 376927 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 04/30/31 *(a)(b)* | 312000 | 284825 |
| **Champ Acquisition Corp.** | **Champ Acquisition Corp.** | **Champ Acquisition Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 12/01/31 *(a)(b)* | 226000 | 237861 |
| **Charles River Laboratories International, Inc.** | **Charles River Laboratories International, Inc.** | **Charles River Laboratories International, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 05/01/28 *(a)(b)* | 548000 | 526698 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 03/15/29 *(a)(b)* | 405000 | 376272 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/15/31 *(a)(b)* | 405000 | 363459 |
| **Cheplapharm Arzneimittel GmbH** | **Cheplapharm Arzneimittel GmbH** | **Cheplapharm Arzneimittel GmbH** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/15/28 *(a)(b)* | 511000 | 487248 |
| **Chobani LLC/Chobani Finance Corp., Inc.** | **Chobani LLC/Chobani Finance Corp., Inc.** | **Chobani LLC/Chobani Finance Corp., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/15/28 *(a)(b)* | 396000 | 386083 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 07/01/29 *(a)(b)* | 693000 | 727522 |
| **CHS/Community Health Systems, Inc.** | **CHS/Community Health Systems, Inc.** | **CHS/Community Health Systems, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 03/15/27 *(a)(b)* | 1533000 | 1511525 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 01/15/29 *(a)(b)* | 1194000 | 1148123 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/15/29 *(a)(b)* | 984000 | 823269 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 04/01/30 *(a)(b)* | 981000 | 758773 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 05/15/30 *(a)(b)* | 1237000 | 1115033 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/15/31 *(a)(b)* | 819000 | 701723 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.88%, 01/15/32 *(a)(b)* | 1784000 | 1903740 |
| **Concentra Health Services, Inc.** | **Concentra Health Services, Inc.** | **Concentra Health Services, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 07/15/32 *(a)(b)* | 674000 | 694272 |
| **CVS Health Corp.** | **CVS Health Corp.** | **CVS Health Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 12/10/54 *(b)(d)* | 755000 | 736798 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 03/10/55 *(b)(d)* | 1450000 | 1464162 |
| **Darling Ingredients, Inc.** | **Darling Ingredients, Inc.** | **Darling Ingredients, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/15/27 *(a)(b)* | 520000 | 516735 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 06/15/30 *(a)(b)* | 569000 | 570379 |
| **DaVita, Inc.** | **DaVita, Inc.** | **DaVita, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 06/01/30 *(a)(b)* | 1570000 | 1468053 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/15/31 *(a)(b)* | 1398000 | 1239153 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 09/01/32 *(a)(b)* | 775000 | 787785 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 07/15/33 *(b)* | 1000000 | 1011012 |
| **Edgewell Personal Care Co.** | **Edgewell Personal Care Co.** | **Edgewell Personal Care Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 06/01/28 *(a)(b)* | 735000 | 723170 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 04/01/29 *(a)(b)* | 444000 | 415790 |
| **Elanco Animal Health, Inc.** | **Elanco Animal Health, Inc.** | **Elanco Animal Health, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.65%, 08/28/28 *(b)* | 673000 | 693224 |
| **Embecta Corp.** | **Embecta Corp.** | **Embecta Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/15/30 *(a)(b)* | 443000 | 394405 |
| **Emergent BioSolutions, Inc.** | **Emergent BioSolutions, Inc.** | **Emergent BioSolutions, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 08/15/28 *(a)(b)* | 465000 | 352647 |
| **Encompass Health Corp.** | **Encompass Health Corp.** | **Encompass Health Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/01/28 *(b)* | 645000 | 635720 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/01/30 *(b)* | 597000 | 582502 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 04/01/31 *(b)* | 338000 | 322526 |
| **Endo Finance Holdings, Inc.** | **Endo Finance Holdings, Inc.** | **Endo Finance Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 04/15/31 *(a)(b)* | 546000 | 565837 |
| **Energizer Holdings, Inc.** | **Energizer Holdings, Inc.** | **Energizer Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 12/31/27 *(a)(b)* | 486000 | 489606 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 06/15/28 *(a)(b)* | 312000 | 301155 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 03/31/29 *(a)(b)* | 453000 | 426037 |

---

**17**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Fiesta Purchaser, Inc.** | **Fiesta Purchaser, Inc.** | **Fiesta Purchaser, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 03/01/31 *(a)(b)* | 510000 | 535745 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.63%, 09/15/32 *(a)(b)* | 296000 | 310392 |
| **Fortrea Holdings, Inc.** | **Fortrea Holdings, Inc.** | **Fortrea Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 07/01/30 *(a)(b)(e)* | 505000 | 421604 |
| **Grifols SA** | **Grifols SA** | **Grifols SA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 10/15/28 *(a)(b)* | 654000 | 622572 |
| **HAH Group Holding Co. LLC** | **HAH Group Holding Co. LLC** | **HAH Group Holding Co. LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 10/01/31 *(a)(b)* | 561000 | 559116 |
| **Heartland Dental LLC/Heartland Dental Finance Corp.** | **Heartland Dental LLC/Heartland Dental Finance Corp.** | **Heartland Dental LLC/Heartland Dental Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 04/30/28 *(a)(b)* | 662000 | 700411 |
| **HLF Financing SARL LLC/Herbalife International, Inc.** | **HLF Financing SARL LLC/Herbalife International, Inc.** | **HLF Financing SARL LLC/Herbalife International, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.25%, 04/15/29 *(a)(b)* | 766000 | 832505 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/01/29 *(a)(b)* | 483000 | 397955 |
| **Hologic, Inc.** | **Hologic, Inc.** | **Hologic, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 02/01/28 *(a)(b)* | 569000 | 562496 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/15/29 *(a)(b)* | 655000 | 626296 |
| **Ingles Markets, Inc.** | **Ingles Markets, Inc.** | **Ingles Markets, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/15/31 *(a)(b)* | 391000 | 358510 |
| **Insulet Corp.** | **Insulet Corp.** | **Insulet Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 04/01/33 *(a)(b)* | 382000 | 393105 |
| **IQVIA, Inc.** | **IQVIA, Inc.** | **IQVIA, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/15/26 *(a)(b)* | 729000 | 727144 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/15/27 *(a)(b)* | 762000 | 757859 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 05/15/30 *(a)(b)* | 381000 | 389420 |
| **Jazz Securities DAC** | **Jazz Securities DAC** | **Jazz Securities DAC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 01/15/29 *(a)(b)* | 1224000 | 1174442 |
| **Kedrion SpA** | **Kedrion SpA** | **Kedrion SpA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 09/01/29 *(a)(b)* | 713000 | 687948 |
| **KeHE Distributors LLC/KeHE Finance Corp./NextWave Distribution, Inc.** | **KeHE Distributors LLC/KeHE Finance Corp./NextWave Distribution, Inc.** | **KeHE Distributors LLC/KeHE Finance Corp./NextWave Distribution, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 02/15/29 *(a)(b)* | 707000 | 737929 |
| **Kronos Acquisition Holdings, Inc.** | **Kronos Acquisition Holdings, Inc.** | **Kronos Acquisition Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 06/30/31 *(a)(b)* | 470000 | 411736 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.75%, 06/30/32 *(a)(b)* | 362000 | 242250 |
| **Lamb Weston Holdings, Inc.** | **Lamb Weston Holdings, Inc.** | **Lamb Weston Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 05/15/28 *(a)(b)* | 636000 | 628638 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 01/31/30 *(a)(b)* | 619000 | 584428 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 01/31/32 *(a)(b)* | 551000 | 508704 |
| **LifePoint Health, Inc.** | **LifePoint Health, Inc.** | **LifePoint Health, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 01/15/29 *(a)(b)* | 479000 | 453122 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.88%, 08/15/30 *(a)(b)* | 600000 | 643582 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.00%, 10/15/30 *(a)(b)* | 844000 | 928899 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 02/15/32 *(a)(b)* | 650000 | 684717 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 06/01/32 *(a)(b)* | 567000 | 593836 |
| **MajorDrive Holdings IV LLC** | **MajorDrive Holdings IV LLC** | **MajorDrive Holdings IV LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 06/01/29 *(a)(b)* | 491000 | 372328 |
| **Mallinckrodt International Finance SA/Mallinckrodt CB LLC** | **Mallinckrodt International Finance SA/Mallinckrodt CB LLC** | **Mallinckrodt International Finance SA/Mallinckrodt CB LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 14.75%, 11/14/28 *(a)(b)* | 385641 | 401981 |
| **Medline Borrower LP** | **Medline Borrower LP** | **Medline Borrower LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 04/01/29 *(a)(b)* | 3288000 | 3101345 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 10/01/29 *(a)(b)* | 2256000 | 2206423 |
| **Medline Borrower LP/Medline Co-Issuer, Inc.** | **Medline Borrower LP/Medline Co-Issuer, Inc.** | **Medline Borrower LP/Medline Co-Issuer, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 04/01/29 *(a)(b)* | 1430000 | 1456904 |
| **MPH Acquisition Holdings LLC** | **MPH Acquisition Holdings LLC** | **MPH Acquisition Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 12/31/30 *(a)(b)* | 641000 | 511691 |
| **Neogen Food Safety Corp.** | **Neogen Food Safety Corp.** | **Neogen Food Safety Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 07/20/30 *(a)(b)* | 467000 | 487317 |
| **Newell Brands, Inc.** | **Newell Brands, Inc.** | **Newell Brands, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 09/15/27 *(b)* | 423000 | 425175 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 06/01/28 *(a)(b)* | 800000 | 829639 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 09/15/29 *(b)* | 329000 | 318657 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 05/15/30 *(b)* | 704000 | 663129 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 05/15/32 *(b)* | 510000 | 471846 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/01/36 *(b)* | 322000 | 296447 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 04/01/46 *(b)* | 662000 | 539274 |
| **Opal Bidco SAS** | **Opal Bidco SAS** | **Opal Bidco SAS** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 03/31/32 *(a)(b)* | 850000 | 849860 |
| **Option Care Health, Inc.** | **Option Care Health, Inc.** | **Option Care Health, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 10/31/29 *(a)(b)* | 403000 | 384523 |
| **Organon & Co./Organon Foreign Debt Co-Issuer BV** | **Organon & Co./Organon Foreign Debt Co-Issuer BV** | **Organon & Co./Organon Foreign Debt Co-Issuer BV** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 04/30/28 *(a)(b)* | 958000 | 900578 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 04/30/31 *(a)(b)* | 1612000 | 1355637 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 05/15/34 *(a)(b)* | 716000 | 666999 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 05/15/34 *(a)(b)* | 600000 | 518221 |
| **Owens & Minor, Inc.** | **Owens & Minor, Inc.** | **Owens & Minor, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 03/31/29 *(a)(b)(e)* | 309000 | 252864 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 04/01/30 *(a)(b)* | 458000 | 388304 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 04/15/30 *(a)(b)* | 900000 | 941161 |
| **Pediatrix Medical Group, Inc.** | **Pediatrix Medical Group, Inc.** | **Pediatrix Medical Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 02/15/30 *(a)(b)* | 402000 | 389440 |
| **Performance Food Group, Inc.** | **Performance Food Group, Inc.** | **Performance Food Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 10/15/27 *(a)(b)* | 780000 | 777463 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 08/01/29 *(a)(b)* | 758000 | 723555 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 09/15/32 *(a)(b)* | 758000 | 765046 |
| **Perrigo Finance Unlimited Co.** | **Perrigo Finance Unlimited Co.** | **Perrigo Finance Unlimited Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 06/15/30 *(b)* | 616000 | 593415 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 09/30/32 *(b)* | 482000 | 481518 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 12/15/44 *(b)* | 387000 | 301506 |
| **Pilgrim's Pride Corp.** | **Pilgrim's Pride Corp.** | **Pilgrim's Pride Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 04/15/31 *(b)* | 539000 | 511538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/01/32 *(b)* | 402000 | 356634 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 07/01/33 *(b)* | 1055000 | 1096356 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 05/15/34 *(b)* | 538000 | 580400 |
| **Post Holdings, Inc.** | **Post Holdings, Inc.** | **Post Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/15/29 *(a)(b)* | 989000 | 977788 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 04/15/30 *(a)(b)* | 1222000 | 1157718 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/31 *(a)(b)* | 778000 | 710033 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 02/15/32 *(a)(b)* | 624000 | 635210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 03/01/33 *(a)(b)* | 1044000 | 1038980 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 10/15/34 *(a)(b)* | 645000 | 638730 |
| **Prestige Brands, Inc.** | **Prestige Brands, Inc.** | **Prestige Brands, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 01/15/28 *(a)(b)* | 498000 | 495957 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/01/31 *(a)(b)* | 538000 | 488684 |
| **Prime Healthcare Services, Inc.** | **Prime Healthcare Services, Inc.** | **Prime Healthcare Services, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.38%, 09/01/29 *(a)(b)* | 1159000 | 1178256 |
| **Primo Water Holdings, Inc./Triton Water Holdings, Inc.** | **Primo Water Holdings, Inc./Triton Water Holdings, Inc.** | **Primo Water Holdings, Inc./Triton Water Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 04/01/29 *(a)(b)* | 400000 | 400952 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 04/30/29 *(a)(b)* | 687000 | 660049 |
| **Safeway, Inc.** | **Safeway, Inc.** | **Safeway, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 02/01/31  | 192000 | 200057 |
| **Scotts Miracle-Gro Co.** | **Scotts Miracle-Gro Co.** | **Scotts Miracle-Gro Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 12/15/26 *(b)* | 693000 | 694579 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/15/29 *(b)* | 209000 | 198969 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/01/31 *(b)* | 343000 | 308414 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 02/01/32 *(b)* | 252000 | 227134 |
| **Select Medical Corp.** | **Select Medical Corp.** | **Select Medical Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 12/01/32 *(a)(b)* | 455000 | 451328 |
| **Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food,** <br> **Inc./Simmons Feed** | **Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food,** <br> **Inc./Simmons Feed** | **Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food,** <br> **Inc./Simmons Feed** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 03/01/29 *(a)(b)* | 629000 | 586842 |
| **Somnigroup International, Inc.** | **Somnigroup International, Inc.** | **Somnigroup International, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/29 *(a)(b)* | 615000 | 579873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 10/15/31 *(a)(b)* | 574000 | 511609 |
| **Sotera Health Holdings LLC** | **Sotera Health Holdings LLC** | **Sotera Health Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 06/01/31 *(a)(b)* | 417000 | 433668 |
| **Spectrum Brands, Inc.** | **Spectrum Brands, Inc.** | **Spectrum Brands, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 03/15/31 *(a)(b)* | 15000 | 12050 |

---

**18**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Star Parent, Inc.** | **Star Parent, Inc.** | **Star Parent, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 10/01/30 *(a)(b)* | 749000 | 775079 |
| **Surgery Center Holdings, Inc.** | **Surgery Center Holdings, Inc.** | **Surgery Center Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 04/15/32 *(a)(b)* | 759000 | 758484 |
| **SWF Holdings I Corp.** | **SWF Holdings I Corp.** | **SWF Holdings I Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 10/01/29 *(a)(b)* | 389000 | 155650 |
| **Teleflex, Inc.** | **Teleflex, Inc.** | **Teleflex, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/15/27 *(b)* | 455000 | 448303 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/01/28 *(a)(b)* | 415000 | 401089 |
| **Tenet Healthcare Corp.** | **Tenet Healthcare Corp.** | **Tenet Healthcare Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 02/01/27 *(b)* | 959000 | 960281 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 11/01/27 *(b)* | 1612000 | 1602985 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 06/15/28 *(b)* | 785000 | 770244 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 10/01/28 *(b)* | 1497000 | 1500178 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/01/29 *(b)* | 1388000 | 1333782 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 01/15/30 *(b)* | 1270000 | 1214826 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 06/15/30 *(b)* | 1402000 | 1417490 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 05/15/31 *(a)(b)* | 902000 | 929671 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 11/15/31  | 366000 | 384615 |
| **Thor Industries, Inc.** | **Thor Industries, Inc.** | **Thor Industries, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/15/29 *(a)(b)* | 478000 | 442440 |
| **Toledo Hospital** | **Toledo Hospital** | **Toledo Hospital** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.98%, 11/15/45 *(b)* | 276000 | 211416 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.02%, 11/15/48  | 456000 | 401850 |
| **TreeHouse Foods, Inc.** | **TreeHouse Foods, Inc.** | **TreeHouse Foods, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/01/28 *(b)* | 486000 | 443201 |
| **Turning Point Brands, Inc.** | **Turning Point Brands, Inc.** | **Turning Point Brands, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 03/15/32 *(a)(b)* | 200000 | 210803 |
| **U.S. Acute Care Solutions LLC** | **U.S. Acute Care Solutions LLC** | **U.S. Acute Care Solutions LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 05/15/29 *(a)(b)* | 380000 | 386703 |
| **U.S. Foods, Inc.** | **U.S. Foods, Inc.** | **U.S. Foods, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 09/15/28 *(a)(b)* | 539000 | 554891 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/15/29 *(a)(b)* | 450000 | 440401 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 06/01/30 *(a)(b)* | 551000 | 530354 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 01/15/32 *(a)(b)* | 339000 | 354721 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 04/15/33 *(a)(b)* | 437000 | 430402 |
| **United Natural Foods, Inc.** | **United Natural Foods, Inc.** | **United Natural Foods, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 10/15/28 *(a)(b)* | 361000 | 359000 |
| **Varex Imaging Corp.** | **Varex Imaging Corp.** | **Varex Imaging Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 10/15/27 *(a)(b)* | 405000 | 403462 |
| **Viking Baked Goods Acquisition Corp.** | **Viking Baked Goods Acquisition Corp.** | **Viking Baked Goods Acquisition Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 11/01/31 *(a)(b)* | 691000 | 653202 |
| **Whirlpool Corp.** | **Whirlpool Corp.** | **Whirlpool Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/26/29 *(b)* | 550000 | 533699 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 05/15/31 *(b)* | 250000 | 205819 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/01/33 *(b)* | 250000 | 235783 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 03/01/34 *(b)* | 250000 | 236394 |
|  |  | **125547074** |
| ***Energy 10.7%***  | ***Energy 10.7%***  | ***Energy 10.7%***  |
| **Aethon United BR LP/Aethon United Finance Corp.** | **Aethon United BR LP/Aethon United Finance Corp.** | **Aethon United BR LP/Aethon United Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 10/01/29 *(a)(b)* | 670000 | 687074 |
| **AltaGas Ltd.** | **AltaGas Ltd.** | **AltaGas Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.20%, 10/15/54 *(a)(b)(d)* | 727000 | 712851 |
| **AmeriGas Partners LP/AmeriGas Finance Corp.** | **AmeriGas Partners LP/AmeriGas Finance Corp.** | **AmeriGas Partners LP/AmeriGas Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 08/20/26 *(b)* | 510000 | 516956 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 05/20/27 *(b)* | 444000 | 434785 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.38%, 06/01/28 *(a)(b)* | 410000 | 414339 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 06/01/30 *(a)(b)* | 450000 | 454825 |
| **Antero Midstream Partners LP/Antero Midstream Finance Corp.** | **Antero Midstream Partners LP/Antero Midstream Finance Corp.** | **Antero Midstream Partners LP/Antero Midstream Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 03/01/27 *(a)(b)* | 386000 | 385905 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 01/15/28 *(a)(b)* | 594000 | 592081 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 06/15/29 *(a)(b)* | 853000 | 844853 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 02/01/32 *(a)(b)* | 453000 | 463047 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Archrock Partners LP/Archrock Partners Finance Corp.** | **Archrock Partners LP/Archrock Partners Finance Corp.** | **Archrock Partners LP/Archrock Partners Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/01/27 *(a)(b)* | 126000 | 126274 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 04/01/28 *(a)(b)* | 625000 | 624439 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 09/01/32 *(a)(b)* | 551000 | 554284 |
| **Aris Water Holdings LLC** | **Aris Water Holdings LLC** | **Aris Water Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 04/01/30 *(a)(b)* | 580000 | 583551 |
| **Ascent Resources Utica Holdings LLC/ARU Finance Corp.** | **Ascent Resources Utica Holdings LLC/ARU Finance Corp.** | **Ascent Resources Utica Holdings LLC/ARU Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 11/01/27 *(a)(b)* | 121000 | 145290 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 12/31/28 *(a)(b)* | 691000 | 701930 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/30/29 *(a)(b)* | 287000 | 286166 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 10/15/32 *(a)(b)* | 411000 | 413724 |
| **Baytex Energy Corp.** | **Baytex Energy Corp.** | **Baytex Energy Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 04/30/30 *(a)(b)* | 598000 | 580007 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 03/15/32 *(a)(b)* | 613000 | 557026 |
| **Blue Racer Midstream LLC/Blue Racer Finance Corp.** | **Blue Racer Midstream LLC/Blue Racer Finance Corp.** | **Blue Racer Midstream LLC/Blue Racer Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 07/15/26 *(a)(b)* | 313000 | 314043 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 07/15/29 *(a)(b)* | 292000 | 301910 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 07/15/32 *(a)(b)* | 373000 | 387030 |
| **Borr IHC Ltd./Borr Finance LLC** | **Borr IHC Ltd./Borr Finance LLC** | **Borr IHC Ltd./Borr Finance LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 11/15/28 *(a)(b)* | 989694 | 857689 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.38%, 11/15/30 *(a)(b)* | 550953 | 448206 |
| **Bristow Group, Inc.** | **Bristow Group, Inc.** | **Bristow Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 03/01/28 *(a)(b)* | 405000 | 404173 |
| **Buckeye Partners LP** | **Buckeye Partners LP** | **Buckeye Partners LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 12/01/26 *(b)* | 610000 | 598533 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 03/01/28 *(a)(b)* | 361000 | 352932 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 07/01/29 *(a)(b)* | 515000 | 529840 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 02/01/30 *(a)(b)* | 463000 | 478204 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 11/15/43 *(b)* | 476000 | 402371 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 10/15/44 *(b)* | 324000 | 266876 |
| **California Resources Corp.** | **California Resources Corp.** | **California Resources Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 06/15/29 *(a)(b)* | 737000 | 739036 |
| **Calumet Specialty Products Partners LP/Calumet Finance Corp.** | **Calumet Specialty Products Partners LP/Calumet Finance Corp.** | **Calumet Specialty Products Partners LP/Calumet Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 01/15/27 *(a)(b)* | 324000 | 312915 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 07/15/28 *(a)(b)* | 330000 | 319648 |
| **Chord Energy Corp.** | **Chord Energy Corp.** | **Chord Energy Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 03/15/33 *(a)(b)* | 650000 | 646035 |
| **CITGO Petroleum Corp.** | **CITGO Petroleum Corp.** | **CITGO Petroleum Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 06/15/26 *(a)(b)* | 365000 | 365847 |
| **Civitas Resources, Inc.** | **Civitas Resources, Inc.** | **Civitas Resources, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/15/26 *(a)(b)* | 500000 | 491302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 07/01/28 *(a)(b)* | 1054000 | 1063228 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 11/01/30 *(a)(b)* | 806000 | 795567 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 07/01/31 *(a)(b)* | 1069000 | 1046504 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.63%, 06/15/33 *(a)(b)* | 300000 | 300821 |
| **CNX Midstream Partners LP** | **CNX Midstream Partners LP** | **CNX Midstream Partners LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 04/15/30 *(a)(b)* | 494000 | 458389 |
| **CNX Resources Corp.** | **CNX Resources Corp.** | **CNX Resources Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 01/15/29 *(a)(b)* | 492000 | 488758 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 01/15/31 *(a)(b)* | 487000 | 498950 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 03/01/32 *(a)(b)* | 450000 | 458866 |
| **Comstock Resources, Inc.** | **Comstock Resources, Inc.** | **Comstock Resources, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 03/01/29 *(a)(b)* | 1444000 | 1422899 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 01/15/30 *(a)(b)* | 751000 | 710855 |
| **CQP Holdco LP/BIP-V Chinook Holdco LLC** | **CQP Holdco LP/BIP-V Chinook Holdco LLC** | **CQP Holdco LP/BIP-V Chinook Holdco LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 06/15/31 *(a)(b)* | 985000 | 947304 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 12/15/33 *(a)(b)* | 515000 | 545580 |
| **Crescent Energy Finance LLC** | **Crescent Energy Finance LLC** | **Crescent Energy Finance LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 02/15/28 *(a)(b)* | 787000 | 813278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 04/01/32 *(a)(b)* | 877000 | 827538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 01/15/33 *(a)(b)* | 798000 | 741279 |
| **CVR Energy, Inc.** | **CVR Energy, Inc.** | **CVR Energy, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 02/15/28 *(a)(b)* | 401000 | 382093 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 01/15/29 *(a)(b)* | 500000 | 488539 |

---

**19**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Delek Logistics Partners LP/Delek Logistics Finance Corp.** | **Delek Logistics Partners LP/Delek Logistics Finance Corp.** | **Delek Logistics Partners LP/Delek Logistics Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 06/01/28 *(a)(b)* | 395000 | 397973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 03/15/29 *(a)(b)* | 629000 | 652042 |
| **Diamond Foreign Asset Co./Diamond Finance LLC** | **Diamond Foreign Asset Co./Diamond Finance LLC** | **Diamond Foreign Asset Co./Diamond Finance LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 10/01/30 *(a)(b)* | 409000 | 410060 |
| **Encino Acquisition Partners Holdings LLC** | **Encino Acquisition Partners Holdings LLC** | **Encino Acquisition Partners Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 05/01/28 *(a)(b)* | 628000 | 644560 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 05/01/31 *(a)(b)* | 373000 | 407688 |
| **Enerflex Ltd.** | **Enerflex Ltd.** | **Enerflex Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 10/15/27 *(a)(b)* | 494000 | 509281 |
| **Energean PLC** | **Energean PLC** | **Energean PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 04/30/27 *(a)(b)* | 447000 | 438731 |
| **Energy Transfer LP** | **Energy Transfer LP** | **Energy Transfer LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 05/15/54 *(b)(d)* | 514000 | 539252 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 10/01/54 *(b)(d)* | 388000 | 391353 |
| **Excelerate Energy LP** | **Excelerate Energy LP** | **Excelerate Energy LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 05/15/30 *(a)(b)* | 626000 | 648524 |
| **Ferrellgas LP/Ferrellgas Finance Corp.** | **Ferrellgas LP/Ferrellgas Finance Corp.** | **Ferrellgas LP/Ferrellgas Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 04/01/29 *(a)(b)* | 691000 | 626179 |
| **FTAI Infra Escrow Holdings LLC** | **FTAI Infra Escrow Holdings LLC** | **FTAI Infra Escrow Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 06/01/27 *(a)(b)* | 613000 | 633458 |
| **Genesis Energy LP/Genesis Energy Finance Corp.** | **Genesis Energy LP/Genesis Energy Finance Corp.** | **Genesis Energy LP/Genesis Energy Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 02/01/28 *(b)* | 419000 | 422931 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 01/15/29 *(b)* | 382000 | 395618 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 04/15/30 *(b)* | 513000 | 539126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 05/15/32 *(b)* | 523000 | 530084 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 05/15/33 *(b)* | 574000 | 582938 |
| **Global Marine, Inc.** | **Global Marine, Inc.** | **Global Marine, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 06/01/28  | 298000 | 269690 |
| **Global Partners LP/GLP Finance Corp.** | **Global Partners LP/GLP Finance Corp.** | **Global Partners LP/GLP Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 08/01/27 *(b)* | 430000 | 431339 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 01/15/29 *(b)* | 289000 | 290420 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 01/15/32 *(a)(b)* | 291000 | 302741 |
| **Gulfport Energy Operating Corp.** | **Gulfport Energy Operating Corp.** | **Gulfport Energy Operating Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 09/01/29 *(a)(b)* | 440000 | 446910 |
| **Harvest Midstream I LP** | **Harvest Midstream I LP** | **Harvest Midstream I LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 09/01/28 *(a)(b)* | 653000 | 663568 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 05/15/32 *(a)(b)* | 375000 | 385622 |
| **Helix Energy Solutions Group, Inc.** | **Helix Energy Solutions Group, Inc.** | **Helix Energy Solutions Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 03/01/29 *(a)(b)* | 389000 | 403784 |
| **Hess Midstream Operations LP** | **Hess Midstream Operations LP** | **Hess Midstream Operations LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 06/15/28 *(a)(b)* | 444000 | 438423 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 06/01/29 *(a)(b)* | 712000 | 727321 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 02/15/30 *(a)(b)* | 797000 | 760299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 10/15/30 *(a)(b)* | 502000 | 496664 |
| **Hilcorp Energy I LP/Hilcorp Finance Co.** | **Hilcorp Energy I LP/Hilcorp Finance Co.** | **Hilcorp Energy I LP/Hilcorp Finance Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 11/01/28 *(a)(b)* | 427000 | 422125 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 02/01/29 *(a)(b)* | 472000 | 451309 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 04/15/30 *(a)(b)* | 418000 | 396935 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 02/01/31 *(a)(b)* | 464000 | 427826 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 04/15/32 *(a)(b)* | 408000 | 372148 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 11/01/33 *(a)(b)* | 426000 | 424343 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 05/15/34 *(a)(b)* | 646000 | 585892 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 02/15/35 *(a)(b)* | 743000 | 689140 |
| **Howard Midstream Energy Partners LLC** | **Howard Midstream Energy Partners LLC** | **Howard Midstream Energy Partners LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 07/15/28 *(a)(b)* | 327000 | 342245 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 07/15/32 *(a)(b)* | 544000 | 563399 |
| **Ithaca Energy North Sea PLC** | **Ithaca Energy North Sea PLC** | **Ithaca Energy North Sea PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 10/15/29 *(a)(b)* | 345000 | 346777 |
| **ITT Holdings LLC** | **ITT Holdings LLC** | **ITT Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 08/01/29 *(a)(b)* | 931000 | 869954 |
| **Karoon USA Finance, Inc.** | **Karoon USA Finance, Inc.** | **Karoon USA Finance, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.50%, 05/14/29 *(a)(b)(e)* | 382000 | 382118 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Kimmeridge Texas Gas LLC** | **Kimmeridge Texas Gas LLC** | **Kimmeridge Texas Gas LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 02/15/30 *(a)(b)* | 490000 | 484752 |
| **Kinetik Holdings LP** | **Kinetik Holdings LP** | **Kinetik Holdings LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 12/15/28 *(a)(b)* | 882000 | 900110 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/15/30 *(a)(b)* | 557000 | 554083 |
| **Kodiak Gas Services LLC** | **Kodiak Gas Services LLC** | **Kodiak Gas Services LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 02/15/29 *(a)(b)* | 611000 | 626567 |
| **Kraken Oil & Gas Partners LLC** | **Kraken Oil & Gas Partners LLC** | **Kraken Oil & Gas Partners LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 08/15/29 *(a)(b)* | 489000 | 463835 |
| **Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp.** | **Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp.** | **Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 12/01/32 *(a)(b)* | 268000 | 265625 |
| **Martin Midstream Partners LP/Martin Midstream Finance Corp.** | **Martin Midstream Partners LP/Martin Midstream Finance Corp.** | **Martin Midstream Partners LP/Martin Midstream Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.50%, 02/15/28 *(a)(b)* | 308000 | 326528 |
| **Matador Resources Co.** | **Matador Resources Co.** | **Matador Resources Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/15/28 *(a)(b)* | 332000 | 336815 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 04/15/32 *(a)(b)* | 667000 | 653684 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 04/15/33 *(a)(b)* | 740000 | 714645 |
| **MEG Energy Corp.** | **MEG Energy Corp.** | **MEG Energy Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 02/01/29 *(a)(b)* | 468000 | 465909 |
| **Moss Creek Resources Holdings, Inc.** | **Moss Creek Resources Holdings, Inc.** | **Moss Creek Resources Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 09/01/31 *(a)(b)* | 539000 | 520095 |
| **Murphy Oil Corp.** | **Murphy Oil Corp.** | **Murphy Oil Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 10/01/32 *(b)* | 521000 | 486230 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 12/01/42 *(b)* | 394000 | 305366 |
| **Nabors Industries Ltd.** | **Nabors Industries Ltd.** | **Nabors Industries Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 01/15/28 *(a)(b)(e)* | 305000 | 255066 |
| **Nabors Industries, Inc.** | **Nabors Industries, Inc.** | **Nabors Industries, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 05/15/27 *(a)(b)* | 611000 | 587152 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.13%, 01/31/30 *(a)(b)* | 545000 | 497071 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 08/15/31 *(a)(b)* | 486000 | 333015 |
| **New Fortress Energy, Inc.** | **New Fortress Energy, Inc.** | **New Fortress Energy, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 09/30/26 *(a)(b)(e)* | 587000 | 352772 |
| **NFE Financing LLC** | **NFE Financing LLC** | **NFE Financing LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.00%, 11/15/29 *(a)(b)* | 2134000 | 917479 |
| **NGL Energy Operating LLC/NGL Energy Finance Corp.** | **NGL Energy Operating LLC/NGL Energy Finance Corp.** | **NGL Energy Operating LLC/NGL Energy Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 02/15/29 *(a)(b)* | 706000 | 690850 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 02/15/32 *(a)(b)* | 1150000 | 1088393 |
| **Nine Energy Service, Inc.** | **Nine Energy Service, Inc.** | **Nine Energy Service, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 13.00%, 02/01/28 *(b)* | 248000 | 141579 |
| **Noble Finance II LLC** | **Noble Finance II LLC** | **Noble Finance II LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 04/15/30 *(a)(b)* | 775000 | 772845 |
| **Northern Oil & Gas, Inc.** | **Northern Oil & Gas, Inc.** | **Northern Oil & Gas, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 03/01/28 *(a)(b)* | 399000 | 400956 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 06/15/31 *(a)(b)* | 537000 | 541952 |
| **Northriver Midstream Finance LP** | **Northriver Midstream Finance LP** | **Northriver Midstream Finance LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 07/15/32 *(a)(b)* | 364000 | 367628 |
| **NuStar Logistics LP** | **NuStar Logistics LP** | **NuStar Logistics LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 06/01/26 *(b)* | 555000 | 558661 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 04/28/27 *(b)* | 358000 | 359115 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 10/01/30 *(b)* | 445000 | 453677 |
| **Oceaneering International, Inc.** | **Oceaneering International, Inc.** | **Oceaneering International, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 02/01/28 *(b)* | 252000 | 248762 |
| **PBF Holding Co. LLC/PBF Finance Corp.** | **PBF Holding Co. LLC/PBF Finance Corp.** | **PBF Holding Co. LLC/PBF Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 02/15/28 *(b)* | 598000 | 555722 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.88%, 03/15/30 *(a)(b)* | 669000 | 640202 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 09/15/30 *(a)(b)* | 500000 | 435144 |
| **Permian Resources Operating LLC** | **Permian Resources Operating LLC** | **Permian Resources Operating LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 04/15/27 *(a)(b)* | 589000 | 600027 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 07/01/29 *(a)(b)* | 392000 | 387427 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.88%, 07/15/31 *(a)(b)* | 525000 | 573707 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 01/15/32 *(a)(b)* | 734000 | 753403 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 02/01/33 *(a)(b)* | 712000 | 703105 |
| **Prairie Acquiror LP** | **Prairie Acquiror LP** | **Prairie Acquiror LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 08/01/29 *(a)(b)* | 453000 | 460897 |

---

**20**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Precision Drilling Corp.** | **Precision Drilling Corp.** | **Precision Drilling Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 01/15/29 *(a)(b)* | 335000 | 322018 |
| **Range Resources Corp.** | **Range Resources Corp.** | **Range Resources Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 01/15/29 *(b)* | 335000 | 344349 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/15/30 *(a)(b)* | 464000 | 446289 |
| **Rockies Express Pipeline LLC** | **Rockies Express Pipeline LLC** | **Rockies Express Pipeline LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 07/15/29 *(a)(b)* | 425000 | 410781 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 05/15/30 *(a)(b)* | 530000 | 501017 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 03/15/33 *(a)(b)* | 375000 | 386699 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/15/40 *(a)* | 636000 | 609687 |
| **Saturn Oil & Gas, Inc.** | **Saturn Oil & Gas, Inc.** | **Saturn Oil & Gas, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.63%, 06/15/29 *(a)(b)* | 500000 | 458301 |
| **Seadrill Finance Ltd.** | **Seadrill Finance Ltd.** | **Seadrill Finance Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 08/01/30 *(a)(b)* | 547000 | 536382 |
| **Sitio Royalties Operating Partnership LP/Sitio Finance Corp.** | **Sitio Royalties Operating Partnership LP/Sitio Finance Corp.** | **Sitio Royalties Operating Partnership LP/Sitio Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 11/01/28 *(a)(b)* | 525000 | 541886 |
| **SM Energy Co.** | **SM Energy Co.** | **SM Energy Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 09/15/26 *(b)* | 584000 | 583518 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 01/15/27 *(b)* | 575000 | 576048 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/15/28 *(b)* | 322000 | 320511 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 08/01/29 *(a)(b)* | 528000 | 517770 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 08/01/32 *(a)(b)* | 585000 | 562140 |
| **South Bow Canadian Infrastructure Holdings Ltd.** | **South Bow Canadian Infrastructure Holdings Ltd.** | **South Bow Canadian Infrastructure Holdings Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 03/01/55 *(a)(b)(d)* | 395000 | 394272 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 03/01/55 *(a)(b)(d)* | 477000 | 481928 |
| **Star Holding LLC** | **Star Holding LLC** | **Star Holding LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 08/01/31 *(a)(b)* | 289000 | 261105 |
| **Strathcona Resources Ltd.** | **Strathcona Resources Ltd.** | **Strathcona Resources Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 08/01/26 *(a)(b)* | 188000 | 188999 |
| **Suburban Propane Partners LP/Suburban Energy Finance Corp.** | **Suburban Propane Partners LP/Suburban Energy Finance Corp.** | **Suburban Propane Partners LP/Suburban Energy Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 03/01/27 *(b)* | 455000 | 454277 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 06/01/31 *(a)(b)* | 530000 | 494125 |
| **Summit Midstream Holdings LLC** | **Summit Midstream Holdings LLC** | **Summit Midstream Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 10/31/29 *(a)(b)* | 729000 | 731183 |
| **Sunoco LP** | **Sunoco LP** | **Sunoco LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 05/01/29 *(a)(b)* | 484000 | 499821 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 05/01/32 *(a)(b)* | 616000 | 640880 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 07/01/33 *(a)(b)* | 779000 | 779617 |
| **Sunoco LP/Sunoco Finance Corp.** | **Sunoco LP/Sunoco Finance Corp.** | **Sunoco LP/Sunoco Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 04/15/27 *(b)* | 574000 | 574052 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 03/15/28 *(b)* | 702000 | 700806 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 09/15/28 *(a)(b)* | 519000 | 532352 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/15/29 *(b)* | 202000 | 193663 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/30/30 *(b)* | 741000 | 699911 |
| **Superior Plus LP/Superior General Partner, Inc.** | **Superior Plus LP/Superior General Partner, Inc.** | **Superior Plus LP/Superior General Partner, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 03/15/29 *(a)(b)* | 528000 | 502373 |
| **Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.** | **Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.** | **Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 03/01/27 *(a)(b)* | 627000 | 626574 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/15/28 *(a)(b)* | 383000 | 380860 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 02/15/29 *(a)(b)* | 448000 | 456070 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 12/31/30 *(a)(b)* | 629000 | 603265 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 09/01/31 *(a)(b)* | 461000 | 439760 |
| **Talos Production, Inc.** | **Talos Production, Inc.** | **Talos Production, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 02/01/29 *(a)(b)* | 615000 | 611394 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.38%, 02/01/31 *(a)(b)* | 567000 | 557981 |
| **TGNR Intermediate Holdings LLC** | **TGNR Intermediate Holdings LLC** | **TGNR Intermediate Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 10/15/29 *(a)(b)* | 542000 | 512307 |
| **TGS ASA** | **TGS ASA** | **TGS ASA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 01/15/30 *(a)(b)* | 444000 | 453972 |
| **TransMontaigne Partners LLC** | **TransMontaigne Partners LLC** | **TransMontaigne Partners LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 06/15/30 *(a)(b)* | 443000 | 452598 |
| **Transocean Aquila Ltd.** | **Transocean Aquila Ltd.** | **Transocean Aquila Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 09/30/28 *(a)(b)* | 212000 | 212806 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Transocean Poseidon Ltd.** | **Transocean Poseidon Ltd.** | **Transocean Poseidon Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 02/01/27 *(a)(b)* | 468825 | 472185 |
| **Transocean Titan Financing Ltd.** | **Transocean Titan Financing Ltd.** | **Transocean Titan Financing Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 02/01/28 *(a)(b)* | 400809 | 407342 |
| **Transocean, Inc.** | **Transocean, Inc.** | **Transocean, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 02/01/27 *(a)(b)* | 538000 | 526416 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 05/15/29 *(a)(b)* | 732000 | 660770 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 02/15/30 *(a)(b)* | 460000 | 466695 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 04/15/31 *(e)* | 335000 | 263675 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 05/15/31 *(a)(b)* | 729000 | 627174 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.80%, 03/15/38  | 652000 | 445048 |
| **USA Compression Partners LP/USA Compression Finance Corp.** | **USA Compression Partners LP/USA Compression Finance Corp.** | **USA Compression Partners LP/USA Compression Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 09/01/27 *(b)* | 558000 | 558186 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 03/15/29 *(a)(b)* | 820000 | 833601 |
| **Valaris Ltd.** | **Valaris Ltd.** | **Valaris Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 04/30/30 *(a)(b)* | 896000 | 900262 |
| **Venture Global Calcasieu Pass LLC** | **Venture Global Calcasieu Pass LLC** | **Venture Global Calcasieu Pass LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 08/15/29 *(a)(b)* | 951000 | 884597 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 01/15/30 *(a)(b)* | 781000 | 792245 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/15/31 *(a)(b)* | 811000 | 734311 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 11/01/33 *(a)(b)* | 1125000 | 961948 |
| **Venture Global LNG, Inc.** | **Venture Global LNG, Inc.** | **Venture Global LNG, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 06/01/28 *(a)(b)* | 1890000 | 1935615 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 02/01/29 *(a)(b)* | 2337000 | 2500055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 01/15/30 *(a)(b)* | 1376000 | 1371025 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 06/01/31 *(a)(b)* | 1722000 | 1749366 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.88%, 02/01/32 *(a)(b)* | 1867000 | 1987367 |
| **Venture Global Plaquemines LNG LLC** | **Venture Global Plaquemines LNG LLC** | **Venture Global Plaquemines LNG LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 05/01/33 *(a)(b)* | 1211000 | 1265904 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 05/01/35 *(a)(b)* | 1034000 | 1089770 |
| **Vermilion Energy, Inc.** | **Vermilion Energy, Inc.** | **Vermilion Energy, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 05/01/30 *(a)(b)* | 616000 | 561243 |
| **Viper Energy, Inc.** | **Viper Energy, Inc.** | **Viper Energy, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 11/01/27 *(a)(b)* | 264000 | 262859 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 11/01/31 *(a)(b)* | 485000 | 508901 |
| **Viridien** | **Viridien** | **Viridien** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 10/15/30 *(a)(b)* | 350000 | 330617 |
| **Vital Energy, Inc.** | **Vital Energy, Inc.** | **Vital Energy, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 07/31/29 *(a)(b)* | 402000 | 339056 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 10/15/30 *(b)* | 235000 | 207306 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 04/15/32 *(a)(b)(e)* | 830000 | 673929 |
| **W&T Offshore, Inc.** | **W&T Offshore, Inc.** | **W&T Offshore, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.75%, 02/01/29 *(a)(b)(e)* | 381000 | 329808 |
| **Weatherford International Ltd.** | **Weatherford International Ltd.** | **Weatherford International Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 04/30/30 *(a)(b)* | 1246000 | 1266614 |
| **Wildfire Intermediate Holdings LLC** | **Wildfire Intermediate Holdings LLC** | **Wildfire Intermediate Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 10/15/29 *(a)(b)* | 493000 | 478063 |
|  |  | **118674386** |
| ***Industrial Other 1.2%***  | ***Industrial Other 1.2%***  | ***Industrial Other 1.2%***  |
| **Adtalem Global Education, Inc.** | **Adtalem Global Education, Inc.** | **Adtalem Global Education, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/01/28 *(a)(b)* | 324000 | 321683 |
| **AECOM** | **AECOM** | **AECOM** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 03/15/27 *(b)* | 629000 | 628917 |
| **Albion Financing 1 SARL/Aggreko Holdings, Inc.** | **Albion Financing 1 SARL/Aggreko Holdings, Inc.** | **Albion Financing 1 SARL/Aggreko Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 05/21/30 *(a)(b)* | 1150000 | 1169169 |
| **APi Group DE, Inc.** | **APi Group DE, Inc.** | **APi Group DE, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 07/15/29 *(a)(b)* | 286000 | 270767 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 10/15/29 *(a)(b)* | 356000 | 346918 |
| **Arcosa, Inc.** | **Arcosa, Inc.** | **Arcosa, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 04/15/29 *(a)(b)* | 297000 | 283319 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 08/15/32 *(a)(b)* | 318000 | 326304 |
| **Artera Services LLC** | **Artera Services LLC** | **Artera Services LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 02/15/31 *(a)(b)* | 731000 | 621849 |

---

**21**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Brand Industrial Services, Inc.** | **Brand Industrial Services, Inc.** | **Brand Industrial Services, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.38%, 08/01/30 *(a)(b)* | 1150000 | 1032903 |
| **Brundage-Bone Concrete Pumping Holdings, Inc.** | **Brundage-Bone Concrete Pumping Holdings, Inc.** | **Brundage-Bone Concrete Pumping Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 02/01/32 *(a)(b)* | 555000 | 554423 |
| **Dycom Industries, Inc.** | **Dycom Industries, Inc.** | **Dycom Industries, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/15/29 *(a)(b)* | 380000 | 365925 |
| **Fluor Corp.** | **Fluor Corp.** | **Fluor Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/15/28 *(b)* | 515000 | 502395 |
| **Global Infrastructure Solutions, Inc.** | **Global Infrastructure Solutions, Inc.** | **Global Infrastructure Solutions, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 04/15/32 *(a)(b)* | 493000 | 492356 |
| **Grand Canyon University** | **Grand Canyon University** | **Grand Canyon University** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 10/01/28 *(b)* | 147000 | 139327 |
| **Great Lakes Dredge & Dock Corp.** | **Great Lakes Dredge & Dock Corp.** | **Great Lakes Dredge & Dock Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/01/29 *(a)(b)* | 415000 | 389324 |
| **Hillenbrand, Inc.** | **Hillenbrand, Inc.** | **Hillenbrand, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 09/15/26 *(b)* | 465000 | 462505 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 02/15/29 *(b)* | 442000 | 444078 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 03/01/31 *(b)* | 359000 | 315095 |
| **Installed Building Products, Inc.** | **Installed Building Products, Inc.** | **Installed Building Products, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 02/01/28 *(a)(b)* | 281000 | 280157 |
| **KBR, Inc.** | **KBR, Inc.** | **KBR, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 09/30/28 *(a)(b)* | 195000 | 187552 |
| **Park-Ohio Industries, Inc.** | **Park-Ohio Industries, Inc.** | **Park-Ohio Industries, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 04/15/27 *(b)* | 450000 | 436913 |
| **Pike Corp.** | **Pike Corp.** | **Pike Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 09/01/28 *(a)(b)* | 419000 | 415960 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 01/31/31 *(a)(b)* | 274000 | 295462 |
| **Steelcase, Inc.** | **Steelcase, Inc.** | **Steelcase, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 01/18/29 *(b)* | 322000 | 312926 |
| **TopBuild Corp.** | **TopBuild Corp.** | **TopBuild Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/15/29 *(a)(b)* | 296000 | 277337 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 02/15/32 *(a)(b)* | 359000 | 325871 |
| **Tutor Perini Corp.** | **Tutor Perini Corp.** | **Tutor Perini Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.88%, 04/30/29 *(a)(b)* | 154000 | 171485 |
| **Vericast Corp./Harland Clarke/Checks in the Mail/Valassis Comm/Valassis Direct** | **Vericast Corp./Harland Clarke/Checks in the Mail/Valassis Comm/Valassis Direct** | **Vericast Corp./Harland Clarke/Checks in the Mail/Valassis Comm/Valassis Direct** |
| &nbsp;&nbsp;&nbsp;&nbsp; 13.00%, 12/15/30 *(a)(b)* | 27306 | 32631 |
| **VM Consolidated, Inc.** | **VM Consolidated, Inc.** | **VM Consolidated, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/15/29 *(a)(b)* | 307000 | 304018 |
| **Vortex Opco LLC** | **Vortex Opco LLC** | **Vortex Opco LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 6.25%)<br> 10.54%, 04/30/30 *(a)(b)(l)*<br>| 32832 | 32507 |
| **Williams Scotsman, Inc.** | **Williams Scotsman, Inc.** | **Williams Scotsman, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 08/15/28 *(a)(b)* | 421000 | 411028 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 06/15/29 *(a)(b)* | 305000 | 311284 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 04/15/30 *(a)(b)* | 400000 | 410292 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 10/01/31 *(a)(b)* | 349000 | 363347 |
|  |  | **13236027** |
| ***Technology 7.7%***  | ***Technology 7.7%***  | ***Technology 7.7%***  |
| **ACI Worldwide, Inc.** | **ACI Worldwide, Inc.** | **ACI Worldwide, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 08/15/26 *(a)(b)* | 385000 | 385017 |
| **Acuris Finance U.S., Inc./Acuris Finance SARL** | **Acuris Finance U.S., Inc./Acuris Finance SARL** | **Acuris Finance U.S., Inc./Acuris Finance SARL** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/01/28 *(a)(b)* | 349000 | 332418 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 08/01/29 *(a)(b)* | 417000 | 426487 |
| **Ahead DB Holdings LLC** | **Ahead DB Holdings LLC** | **Ahead DB Holdings LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 05/01/28 *(a)(b)* | 407000 | 401485 |
| **Amentum Holdings, Inc.** | **Amentum Holdings, Inc.** | **Amentum Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 08/01/32 *(a)(b)* | 658000 | 671781 |
| **Amkor Technology, Inc.** | **Amkor Technology, Inc.** | **Amkor Technology, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 09/15/27 *(a)(b)* | 517000 | 519027 |
| **ams-OSRAM AG** | **ams-OSRAM AG** | **ams-OSRAM AG** |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.25%, 03/30/29 *(a)(b)* | 403000 | 420806 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **AthenaHealth Group, Inc.** | **AthenaHealth Group, Inc.** | **AthenaHealth Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 02/15/30 *(a)(b)* | 1685000 | 1624968 |
| **Block, Inc.** | **Block, Inc.** | **Block, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 06/01/26 *(b)* | 779000 | 760113 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 06/01/31 *(b)* | 857000 | 775013 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 05/15/32 *(b)* | 1516000 | 1550280 |
| **Boost Newco Borrower LLC** | **Boost Newco Borrower LLC** | **Boost Newco Borrower LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 01/15/31 *(a)(b)* | 1714000 | 1814584 |
| **CACI International, Inc.** | **CACI International, Inc.** | **CACI International, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 06/15/33 *(a)(b)* | 850000 | 867587 |
| **Camelot Finance SA** | **Camelot Finance SA** | **Camelot Finance SA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/01/26 *(a)(b)* | 156000 | 155227 |
| **Capstone Borrower, Inc.** | **Capstone Borrower, Inc.** | **Capstone Borrower, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 06/15/30 *(a)(b)* | 368000 | 380456 |
| **Castle U.S. Holding Corp.** | **Castle U.S. Holding Corp.** | **Castle U.S. Holding Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 06/30/31 *(a)(b)* | 111000 | 51060 |
| **Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc.** | **Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc.** | **Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 06/15/29 *(a)(b)* | 620000 | 556046 |
| **Central Parent, Inc./CDK Global, Inc.** | **Central Parent, Inc./CDK Global, Inc.** | **Central Parent, Inc./CDK Global, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 06/15/29 *(a)(b)* | 588000 | 521423 |
| **Ciena Corp.** | **Ciena Corp.** | **Ciena Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/31/30 *(a)(b)* | 275000 | 256225 |
| **Clarivate Science Holdings Corp.** | **Clarivate Science Holdings Corp.** | **Clarivate Science Holdings Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 07/01/28 *(a)(b)* | 1248000 | 1189375 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 07/01/29 *(a)(b)* | 454000 | 420298 |
| **Cloud Software Group, Inc.** | **Cloud Software Group, Inc.** | **Cloud Software Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 03/31/29 *(a)(b)* | 3659000 | 3657939 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 09/30/29 *(a)(b)* | 2454000 | 2513703 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 06/30/32 *(a)(b)* | 1803000 | 1897679 |
| **Coherent Corp.** | **Coherent Corp.** | **Coherent Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 12/15/29 *(a)(b)* | 727000 | 705214 |
| **CommScope LLC** | **CommScope LLC** | **CommScope LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 03/01/27 *(a)(b)(e)* | 794000 | 792617 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 07/01/28 *(a)(b)* | 552000 | 531307 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 09/01/29 *(a)(b)* | 827000 | 792912 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 12/15/31 *(a)(b)* | 600000 | 624041 |
| **CommScope Technologies LLC** | **CommScope Technologies LLC** | **CommScope Technologies LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/15/27 *(a)(b)* | 870000 | 841479 |
| **Conduent Business Services LLC/Conduent State & Local Solutions, Inc.** | **Conduent Business Services LLC/Conduent State & Local Solutions, Inc.** | **Conduent Business Services LLC/Conduent State & Local Solutions, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 11/01/29 *(a)(b)* | 630000 | 579674 |
| **Consensus Cloud Solutions, Inc.** | **Consensus Cloud Solutions, Inc.** | **Consensus Cloud Solutions, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 10/15/28 *(a)(b)* | 487000 | 484107 |
| **CoreLogic, Inc.** | **CoreLogic, Inc.** | **CoreLogic, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 05/01/28 *(a)(b)* | 510000 | 477919 |
| **CoreWeave, Inc.** | **CoreWeave, Inc.** | **CoreWeave, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%, 06/01/30 *(a)(b)* | 1620000 | 1619608 |
| **CPI CG, Inc.** | **CPI CG, Inc.** | **CPI CG, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.00%, 07/15/29 *(a)(b)* | 319000 | 338140 |
| **Crane NXT Co.** | **Crane NXT Co.** | **Crane NXT Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 03/15/48 *(b)* | 289000 | 173075 |
| **Crowdstrike Holdings, Inc.** | **Crowdstrike Holdings, Inc.** | **Crowdstrike Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/15/29 *(b)* | 449000 | 420560 |
| **Diebold Nixdorf, Inc.** | **Diebold Nixdorf, Inc.** | **Diebold Nixdorf, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 03/31/30 *(a)(b)* | 605000 | 637432 |
| **Dun & Bradstreet Corp.** | **Dun & Bradstreet Corp.** | **Dun & Bradstreet Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 12/15/29 *(a)(b)* | 454000 | 458825 |
| **Dye & Durham Ltd.** | **Dye & Durham Ltd.** | **Dye & Durham Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 04/15/29 *(a)(b)* | 435000 | 451625 |
| **Elastic NV** | **Elastic NV** | **Elastic NV** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 07/15/29 *(a)(b)* | 671000 | 629736 |
| **Ellucian Holdings, Inc.** | **Ellucian Holdings, Inc.** | **Ellucian Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 12/01/29 *(a)(b)* | 754000 | 763378 |

---

**22**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Entegris, Inc.** | **Entegris, Inc.** | **Entegris, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 04/15/28 *(a)(b)* | 372000 | 359476 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 04/15/29 *(a)(b)* | 938000 | 911407 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 05/01/29 *(a)(b)* | 477000 | 445256 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 06/15/30 *(a)(b)* | 776000 | 777175 |
| **Everi Holdings, Inc.** | **Everi Holdings, Inc.** | **Everi Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/15/29 *(a)(b)* | 375000 | 378074 |
| **Fair Isaac Corp.** | **Fair Isaac Corp.** | **Fair Isaac Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/15/28 *(a)(b)* | 570000 | 549150 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 05/15/33 *(a)(b)* | 1225000 | 1225750 |
| **Fortress Intermediate 3, Inc.** | **Fortress Intermediate 3, Inc.** | **Fortress Intermediate 3, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 06/01/31 *(a)(b)* | 788000 | 815422 |
| **Gen Digital, Inc.** | **Gen Digital, Inc.** | **Gen Digital, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 09/30/27 *(a)(b)* | 328000 | 333896 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 09/30/30 *(a)(b)* | 561000 | 579422 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 04/01/33 *(a)(b)* | 970000 | 983195 |
| **GoTo Group, Inc.** | **GoTo Group, Inc.** | **GoTo Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 05/01/28 *(a)(b)* | 611600 | 418003 |
| **HealthEquity, Inc.** | **HealthEquity, Inc.** | **HealthEquity, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/01/29 *(a)(b)* | 530000 | 506844 |
| **Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL** | **Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL** | **Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 05/01/28 *(a)(b)* | 481000 | 458512 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 05/01/29 *(a)(b)* | 460000 | 467486 |
| **Imola Merger Corp.** | **Imola Merger Corp.** | **Imola Merger Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 05/15/29 *(a)(b)* | 1347000 | 1291523 |
| **Insight Enterprises, Inc.** | **Insight Enterprises, Inc.** | **Insight Enterprises, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 05/15/32 *(a)(b)* | 594000 | 605723 |
| **ION Trading Technologies SARL** | **ION Trading Technologies SARL** | **ION Trading Technologies SARL** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 05/15/28 *(a)(b)* | 395000 | 382449 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 05/30/29 *(a)(b)* | 601000 | 622669 |
| **Iron Mountain Information Management Services, Inc.** | **Iron Mountain Information Management Services, Inc.** | **Iron Mountain Information Management Services, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/15/32 *(a)(b)* | 664000 | 628857 |
| **Iron Mountain, Inc.** | **Iron Mountain, Inc.** | **Iron Mountain, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 09/15/27 *(a)(b)* | 921000 | 910661 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 03/15/28 *(a)(b)* | 661000 | 654164 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/15/28 *(a)(b)* | 703000 | 692831 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 02/15/29 *(a)(b)* | 492000 | 508643 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 09/15/29 *(a)(b)* | 745000 | 723588 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 07/15/30 *(a)(b)* | 1114000 | 1087801 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/15/31 *(a)(b)* | 964000 | 904198 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 07/15/32 *(a)(b)* | 501000 | 489206 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 01/15/33 *(a)(b)* | 753000 | 760671 |
| **McAfee Corp.** | **McAfee Corp.** | **McAfee Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 02/15/30 *(a)(b)* | 1548000 | 1433095 |
| **Mobius Merger Sub, Inc.** | **Mobius Merger Sub, Inc.** | **Mobius Merger Sub, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 06/01/30 *(a)(b)* | 352000 | 312553 |
| **NCR Atleos Corp.** | **NCR Atleos Corp.** | **NCR Atleos Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 04/01/29 *(a)(b)* | 1127000 | 1231749 |
| **NCR Voyix Corp.** | **NCR Voyix Corp.** | **NCR Voyix Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 10/01/28 *(a)(b)* | 671000 | 662351 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 04/15/29 *(a)(b)* | 415000 | 404864 |
| **Neptune Bidco U.S., Inc.** | **Neptune Bidco U.S., Inc.** | **Neptune Bidco U.S., Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.29%, 04/15/29 *(a)(b)* | 1970000 | 1868013 |
| **Newfold Digital Holdings Group, Inc.** | **Newfold Digital Holdings Group, Inc.** | **Newfold Digital Holdings Group, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.75%, 10/15/28 *(a)(b)* | 313000 | 231303 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 02/15/29 *(a)(b)* | 273000 | 162776 |
| **ON Semiconductor Corp.** | **ON Semiconductor Corp.** | **ON Semiconductor Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 09/01/28 *(a)(b)* | 565000 | 540108 |
| **Open Text Corp.** | **Open Text Corp.** | **Open Text Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 02/15/28 *(a)(b)* | 949000 | 909884 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 12/01/29 *(a)(b)* | 617000 | 574898 |
| **Open Text Holdings, Inc.** | **Open Text Holdings, Inc.** | **Open Text Holdings, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 02/15/30 *(a)(b)* | 574000 | 536472 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 12/01/31 *(a)(b)* | 692000 | 627657 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Paysafe Finance PLC/Paysafe Holdings U.S. Corp.** | **Paysafe Finance PLC/Paysafe Holdings U.S. Corp.** | **Paysafe Finance PLC/Paysafe Holdings U.S. Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/15/29 *(a)(b)* | 374000 | 346098 |
| **Pitney Bowes, Inc.** | **Pitney Bowes, Inc.** | **Pitney Bowes, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 03/15/27 *(a)(b)* | 678000 | 682143 |
| **PTC, Inc.** | **PTC, Inc.** | **PTC, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/15/28 *(a)(b)* | 483000 | 469076 |
| **Rackspace Finance LLC** | **Rackspace Finance LLC** | **Rackspace Finance LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 05/15/28 *(a)(b)* | 368000 | 136160 |
| **RingCentral, Inc.** | **RingCentral, Inc.** | **RingCentral, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 08/15/30 *(a)(b)* | 395000 | 417505 |
| **Rocket Software, Inc.** | **Rocket Software, Inc.** | **Rocket Software, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 11/28/28 *(a)(b)* | 477000 | 492621 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 02/15/29 *(a)(b)* | 498000 | 484000 |
| **Sabre GLBL, Inc.** | **Sabre GLBL, Inc.** | **Sabre GLBL, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 06/01/27 *(a)(b)* | 544000 | 560064 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.75%, 11/15/29 *(a)(b)* | 692000 | 708435 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.13%, 07/15/30 *(a)(b)* | 1100000 | 1129975 |
| **Science Applications International Corp.** | **Science Applications International Corp.** | **Science Applications International Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 04/01/28 *(a)(b)* | 435000 | 424345 |
| **Seagate Data Storage Technology Pte. Ltd.** | **Seagate Data Storage Technology Pte. Ltd.** | **Seagate Data Storage Technology Pte. Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 07/15/30 *(a)(b)* | 300000 | 301218 |
| **Seagate HDD Cayman** | **Seagate HDD Cayman** | **Seagate HDD Cayman** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/01/27 *(b)* | 599000 | 602327 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.09%, 06/01/29 *(b)* | 443000 | 424078 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 12/15/29 *(b)* | 548000 | 584519 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 07/15/31 *(a)(b)* | 421000 | 449863 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.63%, 12/01/32 *(a)(b)* | 483000 | 548594 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 12/01/34 *(b)* | 350000 | 343954 |
| **Sensata Technologies BV** | **Sensata Technologies BV** | **Sensata Technologies BV** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/29 *(a)(b)* | 646000 | 607047 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 09/01/30 *(a)(b)* | 450000 | 445429 |
| **Sensata Technologies, Inc.** | **Sensata Technologies, Inc.** | **Sensata Technologies, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 02/15/30 *(a)(b)* | 541000 | 509245 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/15/31 *(a)(b)* | 655000 | 582294 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 07/15/32 *(a)(b)* | 463000 | 467510 |
| **Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc.** | **Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc.** | **Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/01/26 *(a)(b)* | 592000 | 591209 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 08/15/32 *(a)(b)* | 1002000 | 1022964 |
| **SS&C Technologies, Inc.** | **SS&C Technologies, Inc.** | **SS&C Technologies, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 09/30/27 *(a)(b)* | 1153000 | 1152435 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 06/01/32 *(a)(b)* | 636000 | 653520 |
| **Synaptics, Inc.** | **Synaptics, Inc.** | **Synaptics, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/15/29 *(a)(b)* | 422000 | 393311 |
| **TTM Technologies, Inc.** | **TTM Technologies, Inc.** | **TTM Technologies, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/01/29 *(a)(b)* | 409000 | 389553 |
| **Twilio, Inc.** | **Twilio, Inc.** | **Twilio, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/15/29 *(b)* | 380000 | 358005 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 03/15/31 *(b)* | 504000 | 464701 |
| **UKG, Inc.** | **UKG, Inc.** | **UKG, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 02/01/31 *(a)(b)* | 1452000 | 1497099 |
| **Unisys Corp.** | **Unisys Corp.** | **Unisys Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 11/01/27 *(a)(b)* | 486000 | 484298 |
| **Viavi Solutions, Inc.** | **Viavi Solutions, Inc.** | **Viavi Solutions, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 10/01/29 *(a)(b)* | 366000 | 337106 |
| **Virtusa Corp.** | **Virtusa Corp.** | **Virtusa Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 12/15/28 *(a)(b)* | 372000 | 360021 |
| **West Technology Group LLC** | **West Technology Group LLC** | **West Technology Group LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 04/10/27 *(a)(b)* | 476000 | 142800 |
| **WEX, Inc.** | **WEX, Inc.** | **WEX, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 03/15/33 *(a)(b)* | 646000 | 639515 |
| **Xerox Corp.** | **Xerox Corp.** | **Xerox Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 10.25%, 10/15/30 *(a)(b)* | 375000 | 385814 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 03/01/35  | 100000 | 49494 |

---

**23**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Xerox Holdings Corp.** | **Xerox Holdings Corp.** | **Xerox Holdings Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 08/15/28 *(a)(b)* | 702000 | 493200 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 11/30/29 *(a)(b)* | 422000 | 284822 |
| **Xerox Issuer Corp.** | **Xerox Issuer Corp.** | **Xerox Issuer Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 13.50%, 04/15/31 *(a)(b)(e)* | 325000 | 325040 |
| **Zebra Technologies Corp.** | **Zebra Technologies Corp.** | **Zebra Technologies Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 06/01/32 *(a)(b)* | 331000 | 337164 |
| **Ziff Davis, Inc.** | **Ziff Davis, Inc.** | **Ziff Davis, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 10/15/30 *(a)(b)* | 599000 | 543699 |
| **ZoomInfo Technologies LLC/ZoomInfo Finance Corp.** | **ZoomInfo Technologies LLC/ZoomInfo Finance Corp.** | **ZoomInfo Technologies LLC/ZoomInfo Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 02/01/29 *(a)(b)* | 404000 | 376356 |
|  |  | **85437047** |
| ***Transportation 2.0%***  | ***Transportation 2.0%***  | ***Transportation 2.0%***  |
| **Air Canada** | **Air Canada** | **Air Canada** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 08/15/26 *(a)(b)* | 546000 | 539454 |
| **Allegiant Travel Co.** | **Allegiant Travel Co.** | **Allegiant Travel Co.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 08/15/27 *(a)(b)* | 530000 | 523897 |
| **American Airlines, Inc.** | **American Airlines, Inc.** | **American Airlines, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 02/15/28 *(a)(b)* | 618000 | 624632 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 05/15/29 *(a)(b)* | 837000 | 867751 |
| **American Airlines, Inc./AAdvantage Loyalty IP Ltd.** | **American Airlines, Inc./AAdvantage Loyalty IP Ltd.** | **American Airlines, Inc./AAdvantage Loyalty IP Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 04/20/29 *(a)* | 2066000 | 2030057 |
| **Avis Budget Car Rental LLC/Avis Budget Finance, Inc.** | **Avis Budget Car Rental LLC/Avis Budget Finance, Inc.** | **Avis Budget Car Rental LLC/Avis Budget Finance, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 07/15/27 *(a)(b)* | 828000 | 817927 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 04/01/28 *(a)(b)* | 366000 | 350853 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 03/01/29 *(a)(b)* | 580000 | 547401 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 01/15/30 *(a)(b)* | 525000 | 534413 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 02/15/31 *(a)(b)* | 341000 | 345401 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 06/15/32 *(a)(b)* | 500000 | 504146 |
| **Brightline East LLC** | **Brightline East LLC** | **Brightline East LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.00%, 01/31/30 *(a)(b)* | 955000 | 688474 |
| **Carriage Purchaser, Inc.** | **Carriage Purchaser, Inc.** | **Carriage Purchaser, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 10/15/29 *(a)(b)* | 235000 | 201325 |
| **Clue Opco LLC** | **Clue Opco LLC** | **Clue Opco LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 10/15/31 *(a)(b)(e)* | 662000 | 682081 |
| **Danaos Corp.** | **Danaos Corp.** | **Danaos Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 03/01/28 *(a)(b)* | 225000 | 230590 |
| **Dcli Bidco LLC** | **Dcli Bidco LLC** | **Dcli Bidco LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 11/15/29 *(a)(b)* | 393000 | 396379 |
| **First Student Bidco, Inc./First Transit Parent, Inc.** | **First Student Bidco, Inc./First Transit Parent, Inc.** | **First Student Bidco, Inc./First Transit Parent, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/31/29 *(a)(b)* | 573000 | 536194 |
| **Genesee & Wyoming, Inc.** | **Genesee & Wyoming, Inc.** | **Genesee & Wyoming, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 04/15/32 *(a)(b)* | 641000 | 651801 |
| **Hertz Corp.** | **Hertz Corp.** | **Hertz Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 12/01/26 *(a)(b)(e)* | 542000 | 479132 |
| &nbsp;&nbsp;&nbsp;&nbsp; 12.63%, 07/15/29 *(a)(b)* | 929000 | 946849 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 12/01/29 *(a)(b)(e)* | 753000 | 512570 |
| **JetBlue Airways Corp./JetBlue Loyalty LP** | **JetBlue Airways Corp./JetBlue Loyalty LP** | **JetBlue Airways Corp./JetBlue Loyalty LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.88%, 09/20/31 *(a)(b)* | 1529000 | 1513497 |
| **OneSky Flight LLC** | **OneSky Flight LLC** | **OneSky Flight LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 12/15/29 *(a)(b)* | 529000 | 533782 |
| **Railworks Holdings LP/Railworks Rally, Inc.** | **Railworks Holdings LP/Railworks Rally, Inc.** | **Railworks Holdings LP/Railworks Rally, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.25%, 11/15/28 *(a)(b)* | 374000 | 380061 |
| **Rand Parent LLC** | **Rand Parent LLC** | **Rand Parent LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 02/15/30 *(a)(b)* | 781000 | 770257 |
| **RXO, Inc.** | **RXO, Inc.** | **RXO, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 11/15/27 *(a)(b)* | 374000 | 383124 |
| **Star Leasing Co. LLC** | **Star Leasing Co. LLC** | **Star Leasing Co. LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 02/15/30 *(a)(b)* | 647000 | 609252 |
| **Stena International SA** | **Stena International SA** | **Stena International SA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 01/15/31 *(a)(b)* | 793000 | 796518 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| **Stonepeak Nile Parent LLC** | **Stonepeak Nile Parent LLC** | **Stonepeak Nile Parent LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 03/15/32 *(a)(b)* | 512000 | 530662 |
| **VistaJet Malta Finance PLC/Vista Management Holding, Inc.** | **VistaJet Malta Finance PLC/Vista Management Holding, Inc.** | **VistaJet Malta Finance PLC/Vista Management Holding, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 05/01/27 *(a)(b)(e)* | 441000 | 432127 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 06/01/28 *(a)(b)* | 442000 | 435846 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 02/01/30 *(a)(b)* | 828000 | 744322 |
| **Watco Cos. LLC/Watco Finance Corp.** | **Watco Cos. LLC/Watco Finance Corp.** | **Watco Cos. LLC/Watco Finance Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 08/01/32 *(a)(b)* | 562000 | 578783 |
| **XPO CNW, Inc.** | **XPO CNW, Inc.** | **XPO CNW, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.70%, 05/01/34  | 369000 | 380430 |
| **XPO, Inc.** | **XPO, Inc.** | **XPO, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 06/01/31 *(a)(b)* | 378000 | 391611 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 02/01/32 *(a)(b)* | 535000 | 555634 |
|  |  | **22047233** |
|  |  | **915567263** |
| **Utility 3.2%** | **Utility 3.2%** | **Utility 3.2%** |
| ***Electric 3.2%***  | ***Electric 3.2%***  | ***Electric 3.2%***  |
| **AES Corp.** | **AES Corp.** | **AES Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.60%, 01/15/55 *(b)(d)* | 550000 | 555727 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 07/15/55 *(b)(d)* | 500000 | 475631 |
| **Algonquin Power & Utilities Corp.** | **Algonquin Power & Utilities Corp.** | **Algonquin Power & Utilities Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/18/82 *(b)(d)* | 640000 | 612873 |
| **Alpha Generation LLC** | **Alpha Generation LLC** | **Alpha Generation LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 10/15/32 *(a)(b)* | 834000 | 851019 |
| **Atlantica Sustainable Infrastructure Ltd.** | **Atlantica Sustainable Infrastructure Ltd.** | **Atlantica Sustainable Infrastructure Ltd.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 06/15/28 *(a)(b)* | 524000 | 503257 |
| **California Buyer Ltd./Atlantica Sustainable Infrastructure PLC** | **California Buyer Ltd./Atlantica Sustainable Infrastructure PLC** | **California Buyer Ltd./Atlantica Sustainable Infrastructure PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 02/15/32 *(a)(b)* | 501000 | 495690 |
| **Calpine Corp.** | **Calpine Corp.** | **Calpine Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/15/28 *(a)(b)* | 1047000 | 1027558 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 03/15/28 *(a)(b)* | 817000 | 810409 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 02/01/29 *(a)(b)* | 586000 | 571480 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/01/31 *(a)(b)* | 676000 | 656192 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 03/01/31 *(a)(b)* | 994000 | 923275 |
| **Clearway Energy Operating LLC** | **Clearway Energy Operating LLC** | **Clearway Energy Operating LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/15/28 *(a)(b)* | 529000 | 517238 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/15/31 *(a)(b)* | 890000 | 803997 |
| **ContourGlobal Power Holdings SA** | **ContourGlobal Power Holdings SA** | **ContourGlobal Power Holdings SA** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 02/28/30 *(a)(b)* | 300000 | 304287 |
| **DPL, Inc.** | **DPL, Inc.** | **DPL, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 04/15/29 *(b)* | 425000 | 409342 |
| **Edison International** | **Edison International** | **Edison International** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 06/15/53 *(b)(d)(e)* | 466000 | 461539 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 06/15/54 *(b)(d)* | 376000 | 362698 |
| **Emera, Inc.** | **Emera, Inc.** | **Emera, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 06/15/76 *(b)(d)* | 976000 | 983234 |
| **EUSHI Finance, Inc.** | **EUSHI Finance, Inc.** | **EUSHI Finance, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 12/15/54 *(b)(d)* | 544000 | 557535 |
| **Leeward Renewable Energy Operations LLC** | **Leeward Renewable Energy Operations LLC** | **Leeward Renewable Energy Operations LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 07/01/29 *(a)(b)* | 502000 | 457686 |
| **Lightning Power LLC** | **Lightning Power LLC** | **Lightning Power LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 08/15/32 *(a)(b)* | 1184000 | 1242112 |
| **Long Ridge Energy LLC** | **Long Ridge Energy LLC** | **Long Ridge Energy LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 02/15/32 *(a)(b)* | 450000 | 453875 |
| **NOVA Chemicals Corp.** | **NOVA Chemicals Corp.** | **NOVA Chemicals Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/01/27 *(a)(b)* | 717000 | 716317 |
| **NRG Energy, Inc.** | **NRG Energy, Inc.** | **NRG Energy, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 01/15/28 *(b)* | 507000 | 509130 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 02/15/29 *(a)(b)* | 477000 | 445964 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/15/29 *(a)(b)* | 556000 | 549801 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 07/15/29 *(a)(b)* | 989000 | 983292 |

---

**24**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp; SECURITY<br> RATE, MATURITY DATE<br>| FACE<br> AMOUNT ($)<br>| VALUE ($) |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 02/15/31 *(a)(b)* | 877000 | 796061 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 02/15/32 *(a)(b)* | 548000 | 495806 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 02/01/33 *(a)(b)* | 749000 | 742751 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 11/01/34 *(a)(b)* | 662000 | 662767 |
| **Pattern Energy Operations LP/Pattern Energy Operations, Inc.** | **Pattern Energy Operations LP/Pattern Energy Operations, Inc.** | **Pattern Energy Operations LP/Pattern Energy Operations, Inc.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 08/15/28 *(a)(b)* | 468000 | 449385 |
| **PG&E Corp.** | **PG&E Corp.** | **PG&E Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/01/28 *(b)* | 498000 | 486213 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 07/01/30 *(b)* | 1005000 | 975902 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 03/15/55 *(b)(d)* | 1017000 | 998404 |
| **Sunnova Energy Corp.** | **Sunnova Energy Corp.** | **Sunnova Energy Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 09/01/26 *(a)(b)(h)(i)* | 413000 | 123126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 11.75%, 10/01/28 *(a)(b)(h)(i)* | 65000 | 20964 |
| **Talen Energy Supply LLC** | **Talen Energy Supply LLC** | **Talen Energy Supply LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 06/01/30 *(a)(b)* | 1070000 | 1143377 |
| **TerraForm Power Operating LLC** | **TerraForm Power Operating LLC** | **TerraForm Power Operating LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/31/28 *(a)(b)* | 624000 | 607081 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/15/30 *(a)(b)* | 425000 | 400879 |
| **Topaz Solar Farms LLC** | **Topaz Solar Farms LLC** | **Topaz Solar Farms LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 09/30/39 *(a)* | 604912 | 576962 |
| **TransAlta Corp.** | **TransAlta Corp.** | **TransAlta Corp.** |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 11/15/29 *(b)* | 480000 | 500420 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 03/15/40  | 327000 | 298314 |
| **Vistra Operations Co. LLC** | **Vistra Operations Co. LLC** | **Vistra Operations Co. LLC** |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 09/01/26 *(a)(b)* | 913000 | 914403 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 02/15/27 *(a)(b)* | 946000 | 945965 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/31/27 *(a)(b)* | 783000 | 781207 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 05/01/29 *(a)(b)* | 1248000 | 1207250 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 10/15/31 *(a)(b)* | 902000 | 956989 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 04/15/32 *(a)(b)* | 901000 | 937911 |
| **XPLR Infrastructure Operating Partners LP** | **XPLR Infrastructure Operating Partners LP** | **XPLR Infrastructure Operating Partners LP** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 10/15/26 *(a)(b)* | 566000 | 550268 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/27 *(a)(b)* | 466000 | 451091 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 01/15/29 *(a)(b)* | 479000 | 481729 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.38%, 01/15/31 *(a)(b)(e)* | 689000 | 719967 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.63%, 03/15/33 *(a)(b)(e)* | 770000 | 808342 |
|  |  | **35274692** |
| **Total Corporates**<br> **(Cost $1,088,206,869)** | **Total Corporates**<br> **(Cost $1,088,206,869)** | **1083782897** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| SECURITY | NUMBER<br> OF SHARES<br>| VALUE ($) |
| **Short-Term Investments** 2.8% OF NET ASSETS | **Short-Term Investments** 2.8% OF NET ASSETS | **Short-Term Investments** 2.8% OF NET ASSETS |
| **Money Market Funds 2.8%** | **Money Market Funds 2.8%** | **Money Market Funds 2.8%** |
| &nbsp;&nbsp;&nbsp;&nbsp; State Street Institutional <br> U.S. Government Money Market <br> Fund, Premier Class 4.27% *(m)*<br>| 12010371 | 12010371 |
| &nbsp;&nbsp;&nbsp;&nbsp; State Street Institutional <br> U.S. Government Money Market <br> Fund, Premier Class 4.27% *(m)(n)*<br>| 19295805 | 19295805 |
|  |  | **31306176** |
| **Total Short-Term Investments**<br> **(Cost $31,306,176)** | **Total Short-Term Investments**<br> **(Cost $31,306,176)** | **31306176** |
| **Total Investments in Securities**<br> **(Cost $1,119,513,045)** | **Total Investments in Securities**<br> **(Cost $1,119,513,045)** | **1115089073** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;*(a)* Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registrations, normally to qualified institutional buyers. At the period end, the value of these amounted to $890,323,980 or 80.2% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;*(b)* The effective maturity may be shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or as the result of embedded demand features (puts or calls).

&nbsp;&nbsp;&nbsp;&nbsp;*(c)* Perpetual security with no stated maturity date.

&nbsp;&nbsp;&nbsp;&nbsp;*(d)* Security is in a fixed-rate coupon period. Based on index eligibility requirements and the fund's investment objective this security will be removed from the index prior to converting to a floating rate security.

&nbsp;&nbsp;&nbsp;&nbsp;*(e)* All or a portion of this security is on loan. Securities on loan were valued at $18,260,294.

&nbsp;&nbsp;&nbsp;&nbsp;*(f)* Security or a portion of the security purchased on a delayed-delivery or when-issued basis.

&nbsp;&nbsp;&nbsp;&nbsp;*(g)* Step up security that pays an initial coupon rate for a set period and increased coupon rates at one or more preset intervals. Rate shown is as of period end.

&nbsp;&nbsp;&nbsp;&nbsp;*(h)* Subsequent to the end of the reporting period, the issuer filed for bankruptcy.

&nbsp;&nbsp;&nbsp;&nbsp;*(i)* Security is in default on interest payments.

&nbsp;&nbsp;&nbsp;&nbsp;*(j)* Perpetual security. Maturity date represents the next call date.

&nbsp;&nbsp;&nbsp;&nbsp;*(k)* During the reporting period, the issuer filed for bankruptcy.

&nbsp;&nbsp;&nbsp;&nbsp;*(l)* Variable rate security; rate shown is effective rate at period end.

&nbsp;&nbsp;&nbsp;&nbsp;*(m)* The rate shown is the annualized 7-day yield.

&nbsp;&nbsp;&nbsp;&nbsp;*(n)* Security purchased with cash collateral received for securities on loan.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

DAC — Designated Activity Company <br> REIT — Real Estate Investment Trust <br> SOFR — Secured Overnight Financing Rate is published daily by the Federal Reserve Bank of New York and is based on the cost of borrowing cash overnight collateralized by U.S. Treasury securities.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

**25**

------

Schwab High Yield Bond ETF

**Portfolio Holdings** (Unaudited) continued

------

The following is a summary of the inputs used to value the fund's investments as of May 31, 2025 (see notes to portfolio holdings for additional information):

---

| | | | | |
|:---|:---|:---|:---|:---|
| DESCRIPTION | QUOTED PRICES IN<br> ACTIVE MARKETS FOR<br> IDENTICAL ASSETS<br> (LEVEL 1)<br>| &nbsp;&nbsp; OTHER SIGNIFICANT<br> OBSERVABLE INPUTS<br> (LEVEL 2)<br>| &nbsp;&nbsp; SIGNIFICANT<br> UNOBSERVABLE INPUTS<br> (LEVEL 3)<br>| TOTAL |
| **Assets** |  |  |  |  |
| Corporates<sup>1</sup> <br>| $— | &nbsp;&nbsp;&nbsp; $1083782897 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $1083782897 |
| Short-Term Investments<sup>1</sup> <br>| 31306176 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 31306176 |
| **Total** | **$31306176** | &nbsp;&nbsp; **$1083782897** | &nbsp;&nbsp; **$—** | &nbsp;&nbsp; **$1115089073** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>1</sup> As categorized in the Portfolio Holdings.

**26**

------

Schwab Fixed-Income ETFs

**Notes to Portfolio Holdings (Unaudited)** 

------

Pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended (the 1940 Act), the Board of Trustees (the Board) has designated authority to a Valuation Designee, the funds' investment adviser, to make fair valuation determinations under adopted procedures, subject to Board oversight. The investment adviser has formed a Pricing Committee to administer the pricing and valuation of portfolio securities and other assets and liabilities as well as to ensure that prices used for internal purposes or provided by third parties reasonably reflect fair value. The Valuation Designee may utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

Securities held in the funds' portfolio are valued every business day. The following valuation policies and procedures are used by the Valuation Designee to value various types of securities:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● **Bonds and notes:** Fixed income investments are generally valued using an evaluated price at the mid-point of the bid/ask spread provided by an approved, independent pricing service (mid-price). To determine the evaluated mid-price, a pricing service may use a variety of techniques and inputs. Techniques may include, but are not limited to, spread models that calculate an investment-specific price relative to a benchmark or yield curve models that establish a price based on yields of comparable bonds along a range of maturities. Inputs differ by valuation approach and techniques, as appropriate, and examples of inputs may include, but are not limited to, interest rates, market conditions, comparable bonds, market trades, projected cash flows, credit reviews and issuer news.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● **Short-term securities (60 days or less to maturity):** Securities with remaining maturities of 60 days or less are generally valued at an evaluated price; however, such securities may be valued at their amortized cost if it approximates the security's fair value.

&nbsp;&nbsp;&nbsp;&nbsp;● **Mutual funds:** Mutual funds are valued at their respective net asset values (NAVs).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● **Securities for which no quoted value is available:** The Valuation Designee has adopted procedures to fair value the fund's securities when market prices are not "readily available" or are unreliable. For example, a security may be fair valued when it's de-listed or its trading is halted or suspended; when a security's primary pricing source is unable or unwilling to provide a price; or when a security's primary trading market is closed during regular market hours. Fair value determinations are made in good faith in accordance with adopted valuation procedures. The Valuation Designee considers a number of factors, including unobservable market inputs, when arriving at fair value. The Valuation Designee may employ methods such as the review of related or comparable assets or liabilities, related market activities, recent transactions, market multiples, book values, transactional back-testing, disposition analysis and other relevant information. Due to the subjective and variable nature of fair value pricing, there can be no assurance that the fund could obtain the fair value assigned to the security upon the sale of such security.

In accordance with the authoritative guidance on fair value measurements and disclosures under generally accepted accounting principles in the United States of America (GAAP), the funds disclose the fair value of their investments in a hierarchy that prioritizes the significant inputs to valuation methods used to measure the fair value. The hierarchy gives the highest priority to valuations based upon unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to valuations based upon unobservable inputs that are significant to the valuation (Level 3 measurements). If inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the valuation. If it is determined that either the volume and/or level of activity for an asset or liability has significantly decreased (from normal conditions for that asset or liability) or price quotations or observable inputs are not associated with orderly transactions, increased analysis and the Valuation Designee's judgment will be required to estimate fair value.

The three levels of the fair value hierarchy are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● Level 1 — quoted prices in active markets for identical investments - Investments whose values are based on quoted market prices in active markets. These generally include active listed equities, mutual funds, exchange-traded funds (ETFs) and futures contracts. Mutual funds and ETFs are classified as Level 1 prices, without consideration to the classification level of the underlying securities held which could be Level 1, Level 2 or Level 3 in the fair value hierarchy.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) — Investments that trade in markets that are not considered to be active, but whose values are based on quoted market prices, dealer quotations or valuations provided by alternative pricing sources supported by observable inputs are classified as Level 2 prices. These generally include forward foreign currency exchange contracts, U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, certain mortgage products, less liquid listed equities, and state, municipal and provincial obligations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● Level 3 — significant unobservable inputs (including the Valuation Designee's assumptions in determining the fair value of investments) — Investments whose values are classified as Level 3 prices have significant unobservable inputs, as they may trade infrequently or not at all. When observable prices are not readily available for these securities, one or more valuation methods are used for which sufficient and reliable data is available. The inputs used in estimating the value of Level 3 prices may include the original transaction price, quoted prices for similar securities or assets in active markets, completed or pending

**27**

------

Schwab Fixed-Income ETFs

**Notes to Portfolio Holdings (Unaudited) (continued)**

------

third-party transactions in the underlying investment or comparable issuers, and changes in financial ratios or cash flows. Level 3 prices may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated in the absence of market information. Assumptions used due to the lack of observable inputs may significantly impact the resulting fair value and therefore a fund's results of operations.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The levels associated with valuing the funds' investments as of May 31, 2025, are disclosed in each fund's Portfolio Holdings.

REG123135MAY25

**28**

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SCHWAB STRATEGIC TRUST

- **b. Investment Company Act file number:** 811-22311

- **c. CIK number of Registrant:** 0001454889

- **d. LEI of Registrant:** 549300NAZEQOIX80E226

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

  - **Street Address 1:** 211 MAIN STREET

  - **City:** SAN FRANCISCO

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94105

  - **Telephone number:** 800-648-5300

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

- **a. Name of Series:** Schwab Mortgage-Backed Securities ETF

- **b. EDGAR series identifier (if any):** S000088676

- **c. LEI of Series:** 254900LGB2VUX87D8S92

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

- **a. Date of fiscal year-end:** 2025-08-31

- **b. Date as of which information is reported:** 2025-05-31

**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:** $5083695900.61

**Total Liabilities:** $525390.49

**Net Assets:** $5083170510.12

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 13434.72000000 | **1-Year:** 100.57000000 | **5-Year:** 2441.60000000 | **10-Year:** 127898.42000000 | **30-Year:** 2597933.50000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000255020 | 0.04%                | 0.24%                | -0.84%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3340.25                 | $-208931.67                                |
| Month 2  | $15105.07                | $73795229.24                               |
| Month 3  | $-929582.02              | $-61847062.27                              |

### Schedule of Portfolio Investments

| Name                                                       | Title                                                      | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AAFD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200030 | PA      | $191343.29    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPK89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311330 | PA      | $294704.51    | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312946C79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111970 | PA      | $108128.99    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSTC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1322827 | PA      | $1319883.23   | 0.03%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325756 | PA      | $288853.75    | 0.01%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCX60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    916671 | PA      | $790417.30    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3078346 | PA      | $2521844.02   | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292K2X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83920 | PA      | $83027.63     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0HT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1385661 | PA      | $1403855.27   | 0.03%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQGF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1688599 | PA      | $1674923.67   | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TLU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113268 | PA      | $109263.69    | 0.00%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMTY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2075213 | PA      | $1638152.58   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ4N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    707949 | PA      | $708372.90    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSWJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1151428 | PA      | $1171049.52   | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9FW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380770 | PA      | $335331.82    | 0.01%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8CY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    426243 | PA      | $400027.46    | 0.01%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYXJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    610903 | PA      | $567167.79    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189973 | PA      | $185228.91    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1701325 | PA      | $1552213.65   | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    956162 | PA      | $908668.98    | 0.02%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTCV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128464 | PA      | $105911.96    | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R6H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74995 | PA      | $72734.27     | 0.00%             | 2031-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138Y14T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156426 | PA      | $143365.89    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6127801 | PA      | $5346309.42   | 0.11%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q9HH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    847818 | PA      | $793667.96    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31371LDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73613 | PA      | $74404.05     | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ERL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1393867 | PA      | $1375836.18   | 0.03%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8CN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301549 | PA      | $288083.86    | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31283HXM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52066 | PA      | $52692.53     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XP6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1211720 | PA      | $1202269.36   | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6577584 | PA      | $6314970.77   | 0.12%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KSZF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4485046 | PA      | $3488492.30   | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7217495 | PA      | $6165212.31   | 0.12%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUL39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2049505 | PA      | $2071989.96   | 0.04%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QECS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149341 | PA      | $142886.12    | 0.00%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2711412 | PA      | $2373100.74   | 0.05%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481966 | PA      | $439140.41    | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQRM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1852621 | PA      | $1810570.98   | 0.04%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D53R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1294497 | PA      | $1211305.77   | 0.02%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424745 | PA      | $357607.25    | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QBH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167151 | PA      | $162943.44    | 0.00%             | 2044-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X52E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    678476 | PA      | $572194.86    | 0.01%             | 2049-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1671812 | PA      | $1319328.56   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKUS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2490348 | PA      | $2180931.41   | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    683818 | PA      | $616749.78    | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TQR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128783 | PA      | $124230.54    | 0.00%             | 2048-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGFZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3363931 | PA      | $2783651.14   | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WG51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1664657 | PA      | $1500590.36   | 0.03%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MKD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5169557 | PA      | $5171188.59   | 0.10%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    420625 | PA      | $396066.08    | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XT3K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417346 | PA      | $392520.00    | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8HG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120603 | PA      | $117099.92    | 0.00%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314639 | PA      | $306062.47    | 0.01%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X2K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2930286 | PA      | $2855958.01   | 0.06%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E5B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1129341 | PA      | $1035544.12   | 0.02%             | 2054-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WCXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70609 | PA      | $66802.56     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7XQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    742044 | PA      | $587878.16    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W2X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7326837 | PA      | $6762079.91   | 0.13%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A46Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106270 | PA      | $102155.10    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1046314 | PA      | $975493.70    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KNBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79569 | PA      | $70793.39     | 0.00%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XD6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1326834 | PA      | $1094914.88   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ENL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5982011 | PA      | $6066044.44   | 0.12%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    959586 | PA      | $880420.38    | 0.02%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1926150 | PA      | $1566404.00   | 0.03%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128PXKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     86813 | PA      | $85789.90     | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XH3R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13766129 | PA      | $12724330.46  | 0.25%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R4D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1308506 | PA      | $1156309.19   | 0.02%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738350 | PA      | $687288.84    | 0.01%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8GP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1671355 | PA      | $1323210.45   | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324447 | PA      | $286180.90    | 0.01%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140E2HJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128647 | PA      | $125098.86    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A2ZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167972 | PA      | $158114.55    | 0.00%             | 2046-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBPR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000633 | PA      | $915259.70    | 0.02%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KVF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    531175 | PA      | $421394.22    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X0Y28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    499969 | PA      | $447556.56    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1743591 | PA      | $1517195.82   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEKB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48620 | PA      | $42017.40     | 0.00%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EYQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1548124 | PA      | $1614169.55   | 0.03%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNVZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2341857 | PA      | $2329561.36   | 0.05%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WJT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    887491 | PA      | $800021.00    | 0.02%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XXY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    981386 | PA      | $823683.74    | 0.02%             | 2053-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115852 | PA      | $117019.91    | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192560 | PA      | $185049.07    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2217168 | PA      | $2250530.36   | 0.04%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140FPFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121069 | PA      | $113094.35    | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116238 | PA      | $111194.12    | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133ABPQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    705599 | PA      | $558813.68    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUGH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    751377 | PA      | $640071.82    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5607719 | PA      | $5556624.86   | 0.11%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    542149 | PA      | $431559.23    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DB35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256583 | PA      | $245020.77    | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416WYL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237972 | PA      | $228775.61    | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMDV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1061736 | PA      | $1087839.41   | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ3M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1857590 | PA      | $1885417.31   | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    229205 | PA      | $220745.91    | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CLJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61666 | PA      | $58825.19     | 0.00%             | 2037-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416SSZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293749 | PA      | $290355.30    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DED0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62126 | PA      | $61230.15     | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169507 | PA      | $175488.11    | 0.00%             | 2052-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4706556 | PA      | $4044928.57   | 0.08%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDB21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1913951 | PA      | $1630427.31   | 0.03%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133L8B53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2245994 | PA      | $2039200.13   | 0.04%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ENE96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110789 | PA      | $109471.28    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R7L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77942 | PA      | $75817.72     | 0.00%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105613 | PA      | $99926.42     | 0.00%             | 2054-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJRM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293540 | PA      | $293405.83    | 0.01%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJQ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    590421 | PA      | $547410.55    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416BK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     81443 | PA      | $83491.32     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2887291 | PA      | $2395062.31   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439608 | PA      | $406857.42    | 0.01%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5975997 | PA      | $4745762.94   | 0.09%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQXC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1609996 | PA      | $1597924.09   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    612925 | PA      | $537962.21    | 0.01%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5996840 | PA      | $4432596.01   | 0.09%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461226 | PA      | $425674.45    | 0.01%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137808 | PA      | $123720.84    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31371K6B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106242 | PA      | $107383.81    | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92986 | PA      | $87161.21     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQCA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7000466 | PA      | $7132629.84   | 0.14%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79998 | PA      | $82009.62     | 0.00%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5KV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    698974 | PA      | $678465.16    | 0.01%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9NL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248236 | PA      | $217998.96    | 0.00%             | 2042-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179T7J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77025 | PA      | $69673.86     | 0.00%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    904086 | PA      | $790856.50    | 0.02%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    552640 | PA      | $504685.54    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJG44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226912 | PA      | $198656.86    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJMT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62105 | PA      | $62610.78     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    396585 | PA      | $374665.17    | 0.01%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSDV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3125304 | PA      | $3271681.91   | 0.06%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YRL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    568283 | PA      | $585562.06    | 0.01%             | 2054-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312941NJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110307 | PA      | $109136.55    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9906019 | PA      | $8314186.54   | 0.16%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453718 | PA      | $396465.99    | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6YK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    726180 | PA      | $687045.28    | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357699 | PA      | $294848.02    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X66N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1991403 | PA      | $1658088.68   | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJUB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     71827 | PA      | $68041.70     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18642662 | PA      | $15449880.58  | 0.30%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10014482 | PA      | $8405994.48   | 0.17%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FDX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78562 | PA      | $79148.59     | 0.00%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6EE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104374 | PA      | $103023.86    | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130016 | PA      | $126910.96    | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHYN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284272 | PA      | $261696.84    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133WLKV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1283258 | PA      | $1284563.83   | 0.03%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3617BC6D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    209814 | PA      | $202152.95    | 0.00%             | 2047-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312945ZK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72011 | PA      | $70968.04     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0LG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3922734 | PA      | $3891844.39   | 0.08%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31294UAQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     86383 | PA      | $84672.47     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275335 | PA      | $250869.81    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6628954 | PA      | $6706677.14   | 0.13%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1281280 | PA      | $1280756.24   | 0.03%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4929324 | PA      | $5043768.71   | 0.10%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UH39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201242 | PA      | $182035.64    | 0.00%             | 2048-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EYS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260748 | PA      | $266830.67    | 0.01%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190254 | PA      | $177216.09    | 0.00%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DHK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3258025 | PA      | $2695665.44   | 0.05%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1457425 | PA      | $1508427.68   | 0.03%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     64776 | PA      | $67608.26     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJX88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338199 | PA      | $306913.79    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQJT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447503 | PA      | $463264.75    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEW81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1134577 | PA      | $943621.21    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDLR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361730 | PA      | $331641.30    | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJZB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575656 | PA      | $582899.91    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6660784 | PA      | $6754352.45   | 0.13%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4336374 | PA      | $4454916.18   | 0.09%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8399721 | PA      | $6596411.34   | 0.13%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJJM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    937568 | PA      | $913287.47    | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    950650 | PA      | $785054.70    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9XA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77873 | PA      | $75212.43     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    551227 | PA      | $497915.65    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWD75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3871281 | PA      | $3440527.96   | 0.07%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DKT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2258607 | PA      | $1951881.10   | 0.04%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    546847 | PA      | $522874.41    | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAKH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223576 | PA      | $208443.25    | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    903611 | PA      | $925826.66    | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418PS89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57811 | PA      | $58125.60     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2390886 | PA      | $2057744.26   | 0.04%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220514 | PA      | $214481.74    | 0.00%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A3GW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129475 | PA      | $132803.69    | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1271691 | PA      | $1271552.60   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XC2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92833 | PA      | $90659.29     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141258 | PA      | $139087.39    | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620ASK81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56076 | PA      | $54929.95     | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620ASPX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173029 | PA      | $163623.60    | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495123 | PA      | $475146.04    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NQB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2020495 | PA      | $2045569.69   | 0.04%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MEEH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197912 | PA      | $191945.78    | 0.00%             | 2029-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GQC34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1168818 | PA      | $1199304.78   | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CLT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257210 | PA      | $250317.87    | 0.00%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ELD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554154 | PA      | $548595.63    | 0.01%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8RS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2626645 | PA      | $2084493.17   | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X97A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400627 | PA      | $347579.09    | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKJ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    910448 | PA      | $904752.53    | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACSS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2601550 | PA      | $2292303.55   | 0.05%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4QW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    867543 | PA      | $763064.87    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417A4U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81714 | PA      | $75686.30     | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LTJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256667 | PA      | $237672.41    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLVM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830645 | PA      | $844763.07    | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8BW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206856 | PA      | $198518.31    | 0.00%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140HEAK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100324 | PA      | $93533.91     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QV3B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    487240 | PA      | $487961.22    | 0.01%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJVM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    273352 | PA      | $242135.22    | 0.00%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNAA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    534287 | PA      | $458789.05    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XG4P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7008872 | PA      | $6345529.65   | 0.12%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    805334 | PA      | $661870.84    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2381485 | PA      | $2189964.58   | 0.04%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3528104 | PA      | $3624550.97   | 0.07%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11249205 | PA      | $8801369.10   | 0.17%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VXZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1864746 | PA      | $1631062.43   | 0.03%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432042 | PA      | $319314.52    | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LDX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59723 | PA      | $58882.23     | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4288908 | PA      | $4154362.05   | 0.08%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWPL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1712189 | PA      | $1788288.28   | 0.04%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11360612 | PA      | $8862149.75   | 0.17%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47878 | PA      | $50123.50     | 0.00%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YAT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5372356 | PA      | $5457007.23   | 0.11%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KGGM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    709883 | PA      | $615699.07    | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6ZY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313173 | PA      | $271622.43    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQBW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    930193 | PA      | $928959.65    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RYY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177995 | PA      | $170960.09    | 0.00%             | 2031-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JACV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464252 | PA      | $419561.61    | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJGQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1336702 | PA      | $1301069.13   | 0.03%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418NXX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95989 | PA      | $94879.77     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP5V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1476681 | PA      | $1434630.72   | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ET6D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56312 | PA      | $52785.23     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    760258 | PA      | $731057.39    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XTE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1215513 | PA      | $1234676.62   | 0.02%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4398532 | PA      | $3850515.29   | 0.08%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9194660 | PA      | $7838290.68   | 0.15%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    356199 | PA      | $319265.68    | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJFJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112957 | PA      | $117839.56    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    876500 | PA      | $763304.58    | 0.02%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EWA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2545088 | PA      | $2614662.62   | 0.05%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5137961 | PA      | $3996279.58   | 0.08%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    398913 | PA      | $376863.65    | 0.01%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87574 | PA      | $78270.29     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AWX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168600 | PA      | $160829.28    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186719 | PA      | $168224.87    | 0.00%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1260906 | PA      | $1179779.98   | 0.02%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177082 | PA      | $178562.25    | 0.00%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P73X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236711 | PA      | $226185.42    | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XUAC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420722 | PA      | $394958.46    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMSV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54968 | PA      | $53688.30     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XUTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     84846 | PA      | $80266.55     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    698980 | PA      | $661207.13    | 0.01%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123653 | PA      | $120188.43    | 0.00%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W5GJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63757 | PA      | $57073.60     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140GYKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367812 | PA      | $344457.94    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8D99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115955 | PA      | $110834.63    | 0.00%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312944PJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144502 | PA      | $139091.66    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115549 | PA      | $113875.97    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133ARDX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    757575 | PA      | $625612.10    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YAQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3534384 | PA      | $3352396.19   | 0.07%             | 2053-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MRBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371328 | PA      | $352997.69    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAHQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1123519 | PA      | $896010.20    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4399357 | PA      | $4394808.90   | 0.09%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XB6L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307757 | PA      | $267006.85    | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBA42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373432 | PA      | $348834.53    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTBR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1554135 | PA      | $1547697.45   | 0.03%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NF86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1384272 | PA      | $1314140.38   | 0.03%             | 2043-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419GB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    462739 | PA      | $444821.95    | 0.01%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ERPJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597004 | PA      | $543000.81    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GDS86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135963 | PA      | $133994.71    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5432175 | PA      | $5423677.06   | 0.11%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KK4B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54324 | PA      | $44714.14     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNH48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169319 | PA      | $138662.11    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292K2K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83128 | PA      | $82244.11     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3617L7D30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155069 | PA      | $139814.97    | 0.00%             | 2049-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6209228 | PA      | $5414595.49   | 0.11%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277476 | PA      | $262511.30    | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178462 | PA      | $176030.91    | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    241438 | PA      | $221421.10    | 0.00%             | 2043-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JABE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    793853 | PA      | $746489.07    | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7002422 | PA      | $7079034.63   | 0.14%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    963277 | PA      | $964398.90    | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BMQ99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    800830 | PA      | $779919.61    | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305149 | PA      | $257585.49    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BQ5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110145 | PA      | $109523.93    | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLVQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    625192 | PA      | $644664.06    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    707050 | PA      | $555447.59    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    513170 | PA      | $485472.20    | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31306XEA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229271 | PA      | $225095.34    | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2150405 | PA      | $2087044.72   | 0.04%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202F4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185691 | PA      | $176283.19    | 0.00%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P7YQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163796 | PA      | $156779.66    | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQK62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    733685 | PA      | $637583.04    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEKR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1077405 | PA      | $881960.71    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5C80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2156108 | PA      | $2203031.01   | 0.04%             | 2054-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2816050 | PA      | $2480298.32   | 0.05%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132HLM34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143646 | PA      | $129453.64    | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMU68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    142720 | PA      | $136942.35    | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XR4A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2100435 | PA      | $2201810.79   | 0.04%             | 2054-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBSL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295389 | PA      | $265864.13    | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89442 | PA      | $83221.05     | 0.00%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EL57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    591481 | PA      | $599790.37    | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5JC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2292321 | PA      | $2225060.91   | 0.04%             | 2055-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    530197 | PA      | $495220.34    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWLN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1584476 | PA      | $1626469.79   | 0.03%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQKP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1153947 | PA      | $1126291.48   | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1960241 | PA      | $1528943.31   | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BH3A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271185 | PA      | $249607.14    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    530972 | PA      | $485725.25    | 0.01%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36230UCY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145920 | PA      | $137770.74    | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMXE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    119326 | PA      | $113208.63    | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1354240 | PA      | $1227419.78   | 0.02%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJWB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260256 | PA      | $237446.38    | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1164103 | PA      | $1041048.98   | 0.02%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DN3B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1039499 | PA      | $983827.92    | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333554 | PA      | $300185.15    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0W40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2396590 | PA      | $2462959.36   | 0.05%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XF6Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624631 | PA      | $540455.36    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GS5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107986 | PA      | $105174.47    | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8ZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74101 | PA      | $66636.48     | 0.00%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YUH79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120998 | PA      | $117705.75    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1822020 | PA      | $1574584.12   | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1026122 | PA      | $902720.25    | 0.02%             | 2041-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292R7M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    182139 | PA      | $168877.58    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140GYJZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110139 | PA      | $106159.42    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1002384 | PA      | $819903.39    | 0.02%             | 2041-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBS74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209088 | PA      | $181640.73    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JAUB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107670 | PA      | $94703.29     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5740165 | PA      | $5892807.00   | 0.12%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W9RV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74044 | PA      | $72554.24     | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164091 | PA      | $153045.07    | 0.00%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290404 | PA      | $264599.65    | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417EFF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83204 | PA      | $74880.25     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DN6C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3104991 | PA      | $2954547.28   | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTUQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    669810 | PA      | $528300.19    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5ES4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49635 | PA      | $45498.37     | 0.00%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBMG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2127199 | PA      | $1909747.87   | 0.04%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EPJN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179888 | PA      | $175375.80    | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476107 | PA      | $465328.07    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1FZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3701478 | PA      | $3400937.02   | 0.07%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M5LN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    523694 | PA      | $484923.97    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8BS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145126 | PA      | $139425.49    | 0.00%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8DR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    885924 | PA      | $829148.94    | 0.02%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AD6M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    546977 | PA      | $491062.70    | 0.01%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KMTN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92774 | PA      | $82347.46     | 0.00%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQDM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1888914 | PA      | $1488526.26   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWHY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    763262 | PA      | $721107.80    | 0.01%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1017239 | PA      | $876660.17    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W9KR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347476 | PA      | $311050.25    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M96V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    825792 | PA      | $785813.42    | 0.02%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XP3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1218912 | PA      | $1209378.82   | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XAA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119695 | PA      | $113902.25    | 0.00%             | 2052-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335BXK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115985 | PA      | $108279.78    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122409 | PA      | $100806.50    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRYF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4763174 | PA      | $4143229.41   | 0.08%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P74J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77392 | PA      | $74916.63     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    577791 | PA      | $530123.73    | 0.01%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X96X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263974 | PA      | $222623.32    | 0.00%             | 2049-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138Y9MQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150002 | PA      | $137478.44    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402262 | PA      | $316777.48    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000250 | PA      | $948644.07    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYTR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449157 | PA      | $411734.36    | 0.01%             | 2040-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9LA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226191 | PA      | $209997.80    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1578812 | PA      | $1313564.25   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVG99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1792295 | PA      | $1813172.59   | 0.04%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9P40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1747441 | PA      | $1478316.00   | 0.03%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3XH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    141064 | PA      | $126276.22    | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2833987 | PA      | $2832173.42   | 0.06%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154397 | PA      | $148537.54    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E02Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1381355 | PA      | $1405564.03   | 0.03%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MFH55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60914 | PA      | $54505.35     | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6HN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1117109 | PA      | $1082156.81   | 0.02%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466814 | PA      | $469355.46    | 0.01%             | 2045-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D7J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3015667 | PA      | $2649920.38   | 0.05%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416RSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69068 | PA      | $66358.76     | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418A6J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71937 | PA      | $69493.00     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKRT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93778 | PA      | $93930.61     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203491 | PA      | $186620.25    | 0.00%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6ZG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173223 | PA      | $149418.86    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XJUS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    592392 | PA      | $548536.45    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388905 | PA      | $337306.62    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDSE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1820267 | PA      | $1503228.00   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YKV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3730861 | PA      | $3845879.65   | 0.08%             | 2053-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    908875 | PA      | $799292.80    | 0.02%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSVL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1394399 | PA      | $1392370.40   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    235588 | PA      | $216055.59    | 0.00%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    720740 | PA      | $726765.11    | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJ4V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    634037 | PA      | $500084.56    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358555 | PA      | $333774.40    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJ5X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    545990 | PA      | $514938.23    | 0.01%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414852 | PA      | $385077.72    | 0.01%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJ3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2865835 | PA      | $2554627.46   | 0.05%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBVV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2166932 | PA      | $1872656.46   | 0.04%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P7XJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382454 | PA      | $368211.90    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X63C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74695 | PA      | $62993.91     | 0.00%             | 2048-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2742728 | PA      | $2354620.10   | 0.05%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AP5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144711 | PA      | $142432.31    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160676 | PA      | $151530.42    | 0.00%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJV91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7510450 | PA      | $6716436.59   | 0.13%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFSR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289166 | PA      | $280962.92    | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3372030 | PA      | $3055425.76   | 0.06%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140HEAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174479 | PA      | $172362.06    | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    678735 | PA      | $634332.90    | 0.01%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179U4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2531445 | PA      | $2280713.59   | 0.04%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEB47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1625897 | PA      | $1606188.72   | 0.03%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31334YPK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63351 | PA      | $55721.84     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVK20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2794895 | PA      | $2529373.45   | 0.05%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67122 | PA      | $60829.17     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1285007 | PA      | $1284024.98   | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KVF88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1878258 | PA      | $1491513.41   | 0.03%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7521140 | PA      | $7684819.49   | 0.15%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1340790 | PA      | $1330770.33   | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90963 | PA      | $79762.92     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1083651 | PA      | $914743.86    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DU91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193570 | PA      | $179767.06    | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9LL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    807819 | PA      | $768472.16    | 0.02%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGM89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202186 | PA      | $190709.17    | 0.00%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15044936 | PA      | $12099848.78  | 0.24%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ELZC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72036 | PA      | $68459.31     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJW89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    946403 | PA      | $833514.10    | 0.02%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7524738 | PA      | $7481900.11   | 0.15%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKH52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1992695 | PA      | $1728277.73   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UV90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    353842 | PA      | $329011.35    | 0.01%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6066179 | PA      | $4967658.35   | 0.10%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7B81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    513576 | PA      | $443941.64    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J56X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431155 | PA      | $405497.02    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0MV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2214681 | PA      | $1754561.70   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LQRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291646 | PA      | $262469.73    | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    336970 | PA      | $331791.50    | 0.01%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSC90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    627551 | PA      | $610254.43    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5HX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189074 | PA      | $165216.21    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3923954 | PA      | $3894046.62   | 0.08%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64850 | PA      | $62886.51     | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CWBE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79538 | PA      | $78143.56     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4111067 | PA      | $3598476.04   | 0.07%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440820 | PA      | $433883.88    | 0.01%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53158 | PA      | $53602.64     | 0.00%             | 2040-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6386029 | PA      | $6197867.66   | 0.12%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VN22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    398466 | PA      | $334924.34    | 0.01%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    189100 | PA      | $178059.48    | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1853321 | PA      | $1625129.17   | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FGV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1671798 | PA      | $1532947.22   | 0.03%             | 2055-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8G84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88385 | PA      | $76382.23     | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D55F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    410311 | PA      | $390864.61    | 0.01%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1216267 | PA      | $987975.20    | 0.02%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467906 | PA      | $422863.64    | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJPF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1545660 | PA      | $1470769.34   | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WCZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64821 | PA      | $61321.97     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M9Z21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73401 | PA      | $65790.35     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241KBH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57265 | PA      | $57167.21     | 0.00%             | 2034-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    763302 | PA      | $700329.93    | 0.01%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1877768 | PA      | $1601201.89   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8TM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165683 | PA      | $156740.29    | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132WH5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257397 | PA      | $225704.42    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115284 | PA      | $110487.91    | 0.00%             | 2036-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJVG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    609459 | PA      | $579773.75    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQXU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1568649 | PA      | $1524715.82   | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2430256 | PA      | $2456219.26   | 0.05%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    687594 | PA      | $663288.58    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402CVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107860 | PA      | $109019.64    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    934105 | PA      | $922991.56    | 0.02%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D54Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1150419 | PA      | $1071421.71   | 0.02%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BHCM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259489 | PA      | $242255.08    | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     59183 | PA      | $56874.39     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KNMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429758 | PA      | $335734.26    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYZ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    883802 | PA      | $893022.85    | 0.02%             | 2043-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EA67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68767 | PA      | $63680.23     | 0.00%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GKZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213164 | PA      | $197635.37    | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6258355 | PA      | $4879959.48   | 0.10%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPMJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1074746 | PA      | $1069146.84   | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3849897 | PA      | $3047959.55   | 0.06%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221735 | PA      | $196746.17    | 0.00%             | 2040-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86581 | PA      | $70517.58     | 0.00%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    802749 | PA      | $771916.66    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AVP82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135526 | PA      | $130721.20    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2655492 | PA      | $2687780.47   | 0.05%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QELL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1063507 | PA      | $845147.22    | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2239496 | PA      | $2092672.85   | 0.04%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417BHU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141376 | PA      | $127232.63    | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56639 | PA      | $51328.42     | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1162954 | PA      | $1087819.12   | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8K63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2017454 | PA      | $1596210.85   | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    496682 | PA      | $478351.12    | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X6WX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    151094 | PA      | $148110.03    | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410GBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69652 | PA      | $71424.03     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPY44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1059149 | PA      | $1002343.41   | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312945AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129891 | PA      | $125027.62    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2116548 | PA      | $2099019.37   | 0.04%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6G87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    430511 | PA      | $424343.61    | 0.01%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPBL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1947037 | PA      | $1615706.97   | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136280 | PA      | $131415.86    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3538402 | PA      | $2910261.49   | 0.06%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418UEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173734 | PA      | $171666.87    | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71372 | PA      | $65052.76     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KJ3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2154627 | PA      | $1787472.26   | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KK7D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358989 | PA      | $284697.41    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6VV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356746 | PA      | $331871.38    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1390782 | PA      | $1452344.46   | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    828920 | PA      | $847670.50    | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179ST31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73404 | PA      | $70962.44     | 0.00%             | 2032-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6FE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317966 | PA      | $318251.83    | 0.01%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLZ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826476 | PA      | $830111.96    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125703 | PA      | $120799.83    | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRPM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    950716 | PA      | $843603.43    | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2966689 | PA      | $2690028.00   | 0.05%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369026 | PA      | $326724.79    | 0.01%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312943DJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     87414 | PA      | $84141.41     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XK5X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470206 | PA      | $458784.92    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPPV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1339942 | PA      | $1244524.59   | 0.02%             | 2053-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622AART3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1699066 | PA      | $1557422.16   | 0.03%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1783640 | PA      | $1467559.31   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BKAA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82175 | PA      | $75559.46     | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4901682 | PA      | $4759717.28   | 0.09%             | 2054-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717260 | PA      | $590901.02    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348030 | PA      | $324900.80    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MBVY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62298 | PA      | $61058.51     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1876155 | PA      | $1623717.84   | 0.03%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140K14K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    699132 | PA      | $604187.73    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    497644 | PA      | $478530.43    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1583597 | PA      | $1247819.50   | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQJE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1038155 | PA      | $922770.90    | 0.02%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P7W58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    433419 | PA      | $417358.45    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTDS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108653 | PA      | $103503.34    | 0.00%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14102058 | PA      | $13987887.09  | 0.28%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMKC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    581296 | PA      | $574212.91    | 0.01%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MQA90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73464 | PA      | $67544.59     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QM3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5024360 | PA      | $3925117.44   | 0.08%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EMR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440523 | PA      | $416784.71    | 0.01%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11821984 | PA      | $9695802.90   | 0.19%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FDD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2707362 | PA      | $2779115.60   | 0.05%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2291826 | PA      | $2064828.08   | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15437867 | PA      | $12106804.60  | 0.24%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FAW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2002900 | PA      | $1984052.96   | 0.04%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1502950 | PA      | $1426547.33   | 0.03%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YUHS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255657 | PA      | $232940.00    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    872437 | PA      | $814970.75    | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GQK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    870717 | PA      | $880859.17    | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YHR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14083254 | PA      | $13738917.28  | 0.27%             | 2053-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    982567 | PA      | $992744.44    | 0.02%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1912091 | PA      | $1908671.62   | 0.04%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7YM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315636 | PA      | $284059.72    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GD6M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151940 | PA      | $149740.31    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJMB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    114501 | PA      | $113326.31    | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJCE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56412 | PA      | $57953.89     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124673 | PA      | $115797.08    | 0.00%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    985443 | PA      | $863005.39    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NHMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156371 | PA      | $151821.80    | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ERQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320681 | PA      | $311656.73    | 0.01%             | 2038-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    638526 | PA      | $659147.44    | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XP5P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2031212 | PA      | $1981850.40   | 0.04%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1562240 | PA      | $1430742.19   | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1133044 | PA      | $1129624.26   | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AUDY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52993 | PA      | $45729.61     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X42K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199294 | PA      | $196922.56    | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XD2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7960596 | PA      | $6574083.95   | 0.13%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMUH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4352817 | PA      | $3594592.55   | 0.07%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQX76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1633340 | PA      | $1593712.40   | 0.03%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218058 | PA      | $221171.23    | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X5NC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378664 | PA      | $330017.36    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ENBF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119689 | PA      | $120337.76    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150343 | PA      | $148268.46    | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5657820 | PA      | $5492169.94   | 0.11%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EGWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116835 | PA      | $114995.69    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    374552 | PA      | $353232.23    | 0.01%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513812 | PA      | $462240.33    | 0.01%             | 2044-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140L04D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1071562 | PA      | $848831.52    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620AF4W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86850 | PA      | $87674.52     | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MQVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74317 | PA      | $72723.80     | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248887 | PA      | $225863.90    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292JBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92848 | PA      | $95379.01     | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XVT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2213618 | PA      | $2207856.86   | 0.04%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    993040 | PA      | $956390.76    | 0.02%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5C49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6533005 | PA      | $6172095.77   | 0.12%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BJ6S6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1151533 | PA      | $1094244.22   | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1033133 | PA      | $915739.26    | 0.02%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246624 | PA      | $194759.44    | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202614 | PA      | $189149.28    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UZT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    528295 | PA      | $475968.77    | 0.01%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425426 | PA      | $368288.29    | 0.01%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSXS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1561197 | PA      | $1556892.16   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    493634 | PA      | $467621.51    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416BL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94133 | PA      | $98082.20     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MGD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1243930 | PA      | $1283114.23   | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWAQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    439962 | PA      | $378752.43    | 0.01%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XQDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97298 | PA      | $89162.23     | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244184 | PA      | $230457.49    | 0.00%             | 2054-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    783110 | PA      | $767719.84    | 0.02%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDRU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194061 | PA      | $191752.44    | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164865 | PA      | $158926.98    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1024382 | PA      | $960214.11    | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NLC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    446104 | PA      | $401327.63    | 0.01%             | 2043-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2869695 | PA      | $2372380.24   | 0.05%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156370 | PA      | $163041.34    | 0.00%             | 2053-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1150723 | PA      | $1007750.00   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36176XCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123980 | PA      | $113755.51    | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8BE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84092 | PA      | $79360.43     | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XFD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199225 | PA      | $167199.55    | 0.00%             | 2052-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XH3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1343461 | PA      | $1314351.78   | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0J60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62122 | PA      | $58825.37     | 0.00%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AFYU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    869895 | PA      | $725171.21    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2281023 | PA      | $2010644.98   | 0.04%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103858 | PA      | $92128.91     | 0.00%             | 2035-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ER6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209094 | PA      | $202298.56    | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRA94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1753266 | PA      | $1724798.70   | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WD2D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    131038 | PA      | $120098.03    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3668508 | PA      | $3247843.49   | 0.06%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1GC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4330039 | PA      | $3579226.94   | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GRHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318486 | PA      | $307546.12    | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108566 | PA      | $107243.09    | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YYU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3123953 | PA      | $2954104.80   | 0.06%             | 2054-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    974403 | PA      | $882915.40    | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6S93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112230 | PA      | $101012.85    | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETYB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154025 | PA      | $141213.01    | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132HPR22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600633 | PA      | $541310.35    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210479 | PA      | $199815.46    | 0.00%             | 2042-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179N5X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328958 | PA      | $320677.31    | 0.01%             | 2044-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620ASGW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114419 | PA      | $112081.34    | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134086 | PA      | $136006.26    | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJAR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84649 | PA      | $74108.13     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAJU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1238557 | PA      | $1026736.05   | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y2J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    733660 | PA      | $693612.52    | 0.01%             | 2054-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFAR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72107 | PA      | $67226.61     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11760930 | PA      | $11111208.65  | 0.22%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133A2BZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    702950 | PA      | $607487.18    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1054184 | PA      | $948374.21    | 0.02%             | 2043-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128LXBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180953 | PA      | $182853.95    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X73K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700802 | PA      | $557072.26    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACWS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    363443 | PA      | $379333.13    | 0.01%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    520462 | PA      | $489270.44    | 0.01%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSD33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44769 | PA      | $46526.80     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X5NM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226058 | PA      | $218036.96    | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MGK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3574104 | PA      | $3547911.33   | 0.07%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7273219 | PA      | $6898715.78   | 0.14%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49496 | PA      | $49996.88     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A7FZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168610 | PA      | $165954.83    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7DC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160550 | PA      | $154118.95    | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2864363 | PA      | $2500169.34   | 0.05%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CS96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    598584 | PA      | $569383.59    | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FBM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1059829 | PA      | $1026581.07   | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J5L64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77396 | PA      | $76026.32     | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KM5W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    732139 | PA      | $608747.48    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113807 | PA      | $112135.97    | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACS68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1678806 | PA      | $1570274.17   | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66541 | PA      | $66903.57     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403DS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61352 | PA      | $63925.95     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417ESS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260275 | PA      | $227307.70    | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MGM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69183 | PA      | $67886.11     | 0.00%             | 2027-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214314 | PA      | $206737.91    | 0.00%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACBP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2538467 | PA      | $2371291.28   | 0.05%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XABH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    765312 | PA      | $695910.00    | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4RH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1291898 | PA      | $1276238.59   | 0.03%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7185592 | PA      | $6124758.95   | 0.12%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74685 | PA      | $68477.77     | 0.00%             | 2040-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    782755 | PA      | $800739.73    | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133ASJB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353426 | PA      | $291170.83    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1102035 | PA      | $992881.87    | 0.02%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QHR72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510600 | PA      | $446170.54    | 0.01%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    856075 | PA      | $791034.55    | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CWT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    193963 | PA      | $180834.47    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130244 | PA      | $111983.17    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMW82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96480 | PA      | $92841.79     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKG87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1429528 | PA      | $1456493.14   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WE6B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209347 | PA      | $191324.47    | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1339232 | PA      | $1324889.33   | 0.03%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3804874 | PA      | $3024520.42   | 0.06%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0GF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71007 | PA      | $61686.04     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RZU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100835 | PA      | $95095.06     | 0.00%             | 2046-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79638 | PA      | $73983.42     | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A25C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328302 | PA      | $323124.69    | 0.01%             | 2042-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J74X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65027 | PA      | $63837.00     | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140HKHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296389 | PA      | $269691.96    | 0.01%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1717922 | PA      | $1450563.60   | 0.03%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEB21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2778764 | PA      | $2679995.32   | 0.05%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165916 | PA      | $140732.73    | 0.00%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0VD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262692 | PA      | $274949.19    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63359 | PA      | $65050.24     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XUAN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385820 | PA      | $362194.11    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XHUD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227771 | PA      | $216472.53    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3031839 | PA      | $3003259.19   | 0.06%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGWR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464988 | PA      | $416235.98    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MJXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    181258 | PA      | $163124.54    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FJV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2186352 | PA      | $2245950.99   | 0.04%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100903 | PA      | $1002762.91   | 0.02%             | 2035-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419ANM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90908 | PA      | $89826.05     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LY2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74184 | PA      | $73076.38     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRPF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761671 | PA      | $682125.98    | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149097 | PA      | $141495.15    | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJJY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4028038 | PA      | $3721384.47   | 0.07%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410LMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152739 | PA      | $137458.87    | 0.00%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YFK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2267564 | PA      | $2210046.75   | 0.04%             | 2053-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6E30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    712514 | PA      | $729134.31    | 0.01%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419KKJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162066 | PA      | $155790.69    | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSE24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1070632 | PA      | $1042008.02   | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1401408 | PA      | $1421095.06   | 0.03%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XUHY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162249 | PA      | $147028.05    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMXB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    645313 | PA      | $620634.68    | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EDX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93771 | PA      | $84423.12     | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7VJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1691446 | PA      | $1528622.32   | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    989980 | PA      | $940351.27    | 0.02%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRVL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623459 | PA      | $531102.35    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4005180 | PA      | $3798950.66   | 0.07%             | 2053-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SLQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207934 | PA      | $177264.29    | 0.00%             | 2046-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3024815 | PA      | $3153859.07   | 0.06%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRC52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378842 | PA      | $345179.20    | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1519289 | PA      | $1441059.86   | 0.03%             | 2053-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80011 | PA      | $76977.49     | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XQY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3868738 | PA      | $3929732.53   | 0.08%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57291 | PA      | $55451.04     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    771774 | PA      | $715668.57    | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7JQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474689 | PA      | $428994.38    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WKUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56794 | PA      | $53187.90     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DS3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1544150 | PA      | $1532101.91   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9UC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    880004 | PA      | $701805.78    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7QT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56715 | PA      | $51972.46     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XNH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4362692 | PA      | $4432203.62   | 0.09%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E9DV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54368 | PA      | $51943.66     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFC74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1394740 | PA      | $1345165.24   | 0.03%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EPK94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    607615 | PA      | $592431.87    | 0.01%             | 2045-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTLU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202878 | PA      | $168416.76    | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9UZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2864297 | PA      | $2518063.56   | 0.05%             | 2042-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425444 | PA      | $352650.53    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KR5T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1259247 | PA      | $1280706.19   | 0.03%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E0RK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409334 | PA      | $394808.86    | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2378613 | PA      | $1893872.36   | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YPK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    733601 | PA      | $756216.87    | 0.01%             | 2054-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BNUC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    882033 | PA      | $858364.76    | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QB4C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489543 | PA      | $425281.21    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    430097 | PA      | $436540.02    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418B6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1207444 | PA      | $1057423.50   | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425448 | PA      | $409518.95    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM7M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1049582 | PA      | $830690.92    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0XK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    888970 | PA      | $887214.67    | 0.02%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RHL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58429 | PA      | $56830.78     | 0.00%             | 2030-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQN77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192513 | PA      | $164300.29    | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGJT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1376753 | PA      | $1232123.08   | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJVR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    599540 | PA      | $550143.51    | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9WW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    708787 | PA      | $563766.64    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1091402 | PA      | $1032539.91   | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75410 | PA      | $78878.20     | 0.00%             | 2054-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53775 | PA      | $54224.92     | 0.00%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3221821 | PA      | $3191876.19   | 0.06%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128LXEC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298554 | PA      | $306714.57    | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUDD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    840177 | PA      | $878546.78    | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J76D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134084 | PA      | $125570.48    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8GY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    992304 | PA      | $825601.22    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566780 | PA      | $496409.14    | 0.01%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNAV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2557262 | PA      | $1891263.81   | 0.04%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3475489 | PA      | $3043783.41   | 0.06%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KL2B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    534548 | PA      | $462108.87    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ADP77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74942 | PA      | $73819.04     | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1430331 | PA      | $1296035.30   | 0.03%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JAEY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74281 | PA      | $73283.19     | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQRA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    981142 | PA      | $983073.74    | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QAVC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432592 | PA      | $402958.61    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128PXT71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65297 | PA      | $64498.91     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJMW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    135252 | PA      | $133864.27    | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DKK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113764 | PA      | $108150.08    | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8JF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1150170 | PA      | $918510.20    | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132HMK26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82681 | PA      | $74512.24     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417VN66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    296930 | PA      | $293499.22    | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3XX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476686 | PA      | $453017.19    | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129828 | PA      | $126782.28    | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458753 | PA      | $414591.68    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYSU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144130 | PA      | $127931.44    | 0.00%             | 2039-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCW61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    962663 | PA      | $798446.08    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131Y2WQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1702284 | PA      | $1639434.60   | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0WH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    822446 | PA      | $838281.97    | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165129 | PA      | $152904.95    | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QBG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72231 | PA      | $68238.43     | 0.00%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324213 | PA      | $265000.17    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417ECK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165251 | PA      | $148737.58    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6318682 | PA      | $6285758.89   | 0.12%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMUB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    415955 | PA      | $400290.72    | 0.01%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPHN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1337927 | PA      | $1300714.94   | 0.03%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402CVM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114818 | PA      | $116051.86    | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    683871 | PA      | $644944.38    | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3887505 | PA      | $3283009.63   | 0.06%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EKAQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66284 | PA      | $61377.09     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104631 | PA      | $106315.65    | 0.00%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X87M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2831036 | PA      | $2622432.94   | 0.05%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DRQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1161205 | PA      | $1029533.32   | 0.02%             | 2040-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CMV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431393 | PA      | $419799.23    | 0.01%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207713 | PA      | $196186.67    | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AUTJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1871425 | PA      | $1478377.84   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172350 | PA      | $163618.55    | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1534408 | PA      | $1427822.80   | 0.03%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417YDV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60577 | PA      | $60485.89     | 0.00%             | 2029-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153171 | PA      | $153055.56    | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3628431 | PA      | $3073657.09   | 0.06%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1726801 | PA      | $1677209.44   | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KLWB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5444075 | PA      | $4514111.66   | 0.09%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517289 | PA      | $447039.61    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2539353 | PA      | $2418768.56   | 0.05%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8868913 | PA      | $8960320.68   | 0.18%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFSL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1847315 | PA      | $1540715.04   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8LJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1950741 | PA      | $1667042.53   | 0.03%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MM4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2132006 | PA      | $1959558.28   | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMWV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321732 | PA      | $309961.08    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSTV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98259 | PA      | $102827.42    | 0.00%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    642341 | PA      | $500443.58    | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8ZJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2010945 | PA      | $1842798.51   | 0.04%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600158 | PA      | $541688.80    | 0.01%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84949 | PA      | $69418.56     | 0.00%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUQM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3700484 | PA      | $3591793.24   | 0.07%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5309863 | PA      | $4749801.11   | 0.09%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461940 | PA      | $394032.77    | 0.01%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2006058 | PA      | $1817707.12   | 0.04%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XG3K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146374 | PA      | $134590.17    | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MABU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52924 | PA      | $50942.47     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500368 | PA      | $433804.52    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    806661 | PA      | $789877.06    | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XUTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101292 | PA      | $92835.58     | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MXFZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164128 | PA      | $153326.07    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6YY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187222 | PA      | $184950.92    | 0.00%             | 2050-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1323231 | PA      | $1076501.94   | 0.02%             | 2041-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXRZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    821751 | PA      | $797488.06    | 0.02%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335ACR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173949 | PA      | $159306.92    | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QF7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464012 | PA      | $368238.08    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170656 | PA      | $152667.41    | 0.00%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    946850 | PA      | $752233.92    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    808562 | PA      | $714515.14    | 0.01%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1185219 | PA      | $1079197.45   | 0.02%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJAC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99522 | PA      | $102234.95    | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421039 | PA      | $374190.17    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UH47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1423633 | PA      | $1328519.46   | 0.03%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6128138 | PA      | $5972696.07   | 0.12%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140HNF64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229032 | PA      | $202848.61    | 0.00%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QVF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53353 | PA      | $52020.28     | 0.00%             | 2029-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1286725 | PA      | $1341618.45   | 0.03%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6GL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1242629 | PA      | $1243716.85   | 0.02%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMKB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    617863 | PA      | $607302.39    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XALP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227551 | PA      | $229105.29    | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GJVM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339781 | PA      | $328149.23    | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFQ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596181 | PA      | $470644.66    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X5SU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1014501 | PA      | $916842.00    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5620950 | PA      | $5469292.30   | 0.11%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPCL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1342891 | PA      | $1303128.75   | 0.03%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LYDU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90861 | PA      | $86809.48     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    967751 | PA      | $937392.20    | 0.02%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDC79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3692564 | PA      | $3233776.93   | 0.06%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYS91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455454 | PA      | $417506.04    | 0.01%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160650 | PA      | $131249.20    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV7L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3226238 | PA      | $2655513.46   | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1201095 | PA      | $1167280.15   | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    446709 | PA      | $402464.11    | 0.01%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJLE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515202 | PA      | $472621.63    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XD5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4996164 | PA      | $4079523.64   | 0.08%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ5B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    410523 | PA      | $410590.79    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133USGU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    678986 | PA      | $634374.20    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHYF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3197787 | PA      | $2961155.91   | 0.06%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MKAE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    868732 | PA      | $808077.76    | 0.02%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0YQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    936031 | PA      | $948249.21    | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QADF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66149 | PA      | $63667.15     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1361521 | PA      | $1188708.46   | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    226890 | PA      | $199826.08    | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1920907 | PA      | $1509556.47   | 0.03%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4805055 | PA      | $3996909.98   | 0.08%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRD28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    640227 | PA      | $669220.89    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYS26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311268 | PA      | $276092.85    | 0.01%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10558190 | PA      | $8291485.64   | 0.16%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EJ5S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58909 | PA      | $57706.67     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450697 | PA      | $431575.66    | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36178WGL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    279103 | PA      | $251097.73    | 0.00%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DU4D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1280066 | PA      | $1303914.20   | 0.03%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D55N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91854 | PA      | $85445.54     | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1670766 | PA      | $1559141.30   | 0.03%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQUX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4500509 | PA      | $4220520.58   | 0.08%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEB92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5809805 | PA      | $5071185.18   | 0.10%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5FW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    448862 | PA      | $378548.97    | 0.01%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MG53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513866 | PA      | $471472.40    | 0.01%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211269 | PA      | $172683.41    | 0.00%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6439298 | PA      | $6516775.22   | 0.13%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133USJF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1185461 | PA      | $938579.78    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7PY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60679 | PA      | $53784.25     | 0.00%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LVZD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103265 | PA      | $98660.02     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QCVU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421911 | PA      | $364563.67    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10274033 | PA      | $8012108.06   | 0.16%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10590808 | PA      | $7841406.04   | 0.15%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1449446 | PA      | $1235008.97   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1029050 | PA      | $910088.67    | 0.02%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VN30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8225517 | PA      | $7201428.92   | 0.14%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JM5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1052590 | PA      | $978429.72    | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XW4U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380608 | PA      | $356929.42    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1374906 | PA      | $1214578.44   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YMN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3775292 | PA      | $3891680.19   | 0.08%             | 2053-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0ZH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2336630 | PA      | $2404093.13   | 0.05%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DNB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54905 | PA      | $52302.41     | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2708588 | PA      | $2350014.64   | 0.05%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYT41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2143296 | PA      | $1828223.84   | 0.04%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRU86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4144974 | PA      | $3881792.67   | 0.08%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    525043 | PA      | $492136.47    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265811 | PA      | $227277.26    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    706887 | PA      | $680798.64    | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5759351 | PA      | $4876627.62   | 0.10%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBSK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1567306 | PA      | $1301401.72   | 0.03%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140A1VN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1035269 | PA      | $1047039.23   | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140HJ4N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95603 | PA      | $89131.92     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SBY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70222 | PA      | $66822.13     | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5223852 | PA      | $5366655.34   | 0.11%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175635 | PA      | $167320.26    | 0.00%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2823382 | PA      | $2460663.61   | 0.05%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAD55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    764939 | PA      | $702239.92    | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNQE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67676 | PA      | $60900.84     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LURR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526425 | PA      | $487453.24    | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X0ZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174496 | PA      | $170226.84    | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7TL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4893009 | PA      | $3877771.00   | 0.08%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MP62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6612908 | PA      | $5214387.77   | 0.10%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418B5C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381629 | PA      | $345849.45    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BWU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174464 | PA      | $164062.10    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GR7C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1792509 | PA      | $1856449.75   | 0.04%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8UX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103422 | PA      | $90967.34     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36296XUD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69572 | PA      | $70292.09     | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AGQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     56941 | PA      | $54845.46     | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YRK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141748 | PA      | $145043.76    | 0.00%             | 2054-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133849 | PA      | $135728.81    | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AAM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149112 | PA      | $145385.27    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP3N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    725414 | PA      | $720064.47    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395943 | PA      | $359316.69    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8699375 | PA      | $7242944.54   | 0.14%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468476 | PA      | $382915.78    | 0.01%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1804181 | PA      | $1613326.31   | 0.03%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MNJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2576889 | PA      | $2614213.68   | 0.05%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173079 | PA      | $166095.98    | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5076183 | PA      | $4936248.15   | 0.10%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LUB53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64129 | PA      | $59381.71     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1344183 | PA      | $1205358.52   | 0.02%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQV86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    606849 | PA      | $594435.08    | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2449353 | PA      | $2043837.88   | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1776442 | PA      | $1610084.57   | 0.03%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPAM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1412580 | PA      | $1374437.59   | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6871704 | PA      | $5380145.88   | 0.11%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65136 | PA      | $66792.70     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1D75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1471848 | PA      | $1271551.58   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YRM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    376418 | PA      | $387993.99    | 0.01%             | 2054-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36176XFN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169622 | PA      | $155481.10    | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL6B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341524 | PA      | $299091.15    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E7B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6409197 | PA      | $6480494.54   | 0.13%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9V85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1306693 | PA      | $1209956.90   | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1824852 | PA      | $1433080.45   | 0.03%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0GX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72746 | PA      | $70725.64     | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125795 | PA      | $123862.21    | 0.00%             | 2042-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417DF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148737 | PA      | $133873.67    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EGGZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249550 | PA      | $246583.28    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJMX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153830 | PA      | $155082.86    | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0GG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1982117 | PA      | $1719139.51   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ESBU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448242 | PA      | $420355.54    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2667210 | PA      | $2209104.09   | 0.04%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1025392 | PA      | $909754.53    | 0.02%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHLQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1981569 | PA      | $1770838.80   | 0.03%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    468228 | PA      | $437386.88    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160339 | PA      | $161536.63    | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M7TA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140858 | PA      | $139412.35    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1052511 | PA      | $873558.90    | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNV92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    959062 | PA      | $888061.60    | 0.02%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KAYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2714677 | PA      | $2124697.97   | 0.04%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2413126 | PA      | $2251904.38   | 0.04%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    946483 | PA      | $860138.12    | 0.02%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KRCG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    676206 | PA      | $687699.65    | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FBL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    868987 | PA      | $820137.74    | 0.02%             | 2054-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1070013 | PA      | $1089970.21   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4977382 | PA      | $4842115.93   | 0.10%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y2M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11745793 | PA      | $11888610.68  | 0.23%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FVG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    572805 | PA      | $564002.46    | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36176XCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316584 | PA      | $290192.25    | 0.01%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473899 | PA      | $449507.21    | 0.01%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0LL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2200942 | PA      | $2262239.38   | 0.04%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHBP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108693 | PA      | $98502.85     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A2BN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78689 | PA      | $75648.88     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620A9S93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82342 | PA      | $78679.86     | 0.00%             | 2039-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441133 | PA      | $388007.83    | 0.01%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4309090 | PA      | $3854252.66   | 0.08%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWAD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11013784 | PA      | $8155430.73   | 0.16%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CGR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480772 | PA      | $450655.80    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    495654 | PA      | $463631.04    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV5E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437670 | PA      | $392929.37    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6MZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    874423 | PA      | $821229.08    | 0.02%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21755713 | PA      | $17079144.97  | 0.34%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0MQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2440942 | PA      | $2435710.36   | 0.05%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4D86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359585 | PA      | $327633.82    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5703028 | PA      | $4860069.87   | 0.10%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    871845 | PA      | $819718.92    | 0.02%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D54D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443441 | PA      | $413667.56    | 0.01%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3049385 | PA      | $2696597.11   | 0.05%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQFT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1345081 | PA      | $1308981.37   | 0.03%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78068 | PA      | $74113.07     | 0.00%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7LL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1132428 | PA      | $1071305.76   | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AAJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1703275 | PA      | $1750753.65   | 0.03%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510000 | PA      | $476407.09    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J7W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124596 | PA      | $120038.41    | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQFJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    704796 | PA      | $715546.77    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRAZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    640946 | PA      | $613962.04    | 0.01%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J5EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414066 | PA      | $388147.38    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1931152 | PA      | $1583163.20   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5126349 | PA      | $4259224.55   | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AUR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    456432 | PA      | $360948.65    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6ZN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114888 | PA      | $113179.52    | 0.00%             | 2035-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A4FW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374503 | PA      | $335243.90    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518928 | PA      | $465536.57    | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417CS30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317923 | PA      | $294336.06    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KY4M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    386628 | PA      | $383407.78    | 0.01%             | 2045-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GUKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321835 | PA      | $298401.90    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128Q0GE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76387 | PA      | $75332.18     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KRPW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101927 | PA      | $101565.49    | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KELM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1628290 | PA      | $1293527.77   | 0.03%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWEE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4811728 | PA      | $4682843.88   | 0.09%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    422790 | PA      | $383197.39    | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6248902 | PA      | $4875920.17   | 0.10%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D5F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4393497 | PA      | $3568843.17   | 0.07%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFVG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73568 | PA      | $69183.94     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4982816 | PA      | $4517956.77   | 0.09%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312942NM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80923 | PA      | $80063.15     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NL7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1515847 | PA      | $1503200.28   | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPYM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1718125 | PA      | $1704321.18   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226440 | PA      | $167467.62    | 0.00%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    541758 | PA      | $490891.85    | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453615 | PA      | $423735.94    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    894375 | PA      | $783252.65    | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5954832 | PA      | $5326281.95   | 0.10%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0ZM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2759328 | PA      | $2864294.97   | 0.06%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQB95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    658601 | PA      | $641230.80    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417AEK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195773 | PA      | $181280.64    | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LQ3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135438 | PA      | $133467.91    | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6A91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3965802 | PA      | $3587714.65   | 0.07%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   2165182 | PA      | $1972792.36   | 0.04%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FF44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1450078 | PA      | $1436865.88   | 0.03%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132FCBX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57973 | PA      | $55982.97     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    759141 | PA      | $633692.34    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    531930 | PA      | $497563.52    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426053 | PA      | $385039.82    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329PS53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262433 | PA      | $252588.90    | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ATR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    707846 | PA      | $675604.54    | 0.01%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    990180 | PA      | $1023702.30   | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8CV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3206340 | PA      | $2548741.65   | 0.05%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTUJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1698697 | PA      | $1740459.98   | 0.03%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397490 | PA      | $400178.94    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6368304 | PA      | $5919625.85   | 0.12%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1289178 | PA      | $1168450.80   | 0.02%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3617JGHX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87702 | PA      | $84487.81     | 0.00%             | 2049-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJ4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    964789 | PA      | $879953.40    | 0.02%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPST5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    765869 | PA      | $724397.03    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNZE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1186796 | PA      | $1240331.74   | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M1KJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94062 | PA      | $87116.47     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3575019 | PA      | $3677394.61   | 0.07%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5097031 | PA      | $4201680.62   | 0.08%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJL35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330813 | PA      | $322999.54    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EZN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5279196 | PA      | $5423511.77   | 0.11%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUB88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7268006 | PA      | $7403563.48   | 0.15%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    663505 | PA      | $692100.64    | 0.01%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292LW68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55431 | PA      | $49959.80     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E9AZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259969 | PA      | $248354.43    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A2BQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131377 | PA      | $126290.12    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6GU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191501 | PA      | $192547.03    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWHD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5697710 | PA      | $5383913.05   | 0.11%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202E4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153714 | PA      | $154862.51    | 0.00%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAAA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97006 | PA      | $91899.94     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3458337 | PA      | $3333123.79   | 0.07%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP3A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1015227 | PA      | $1017459.69   | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9547931 | PA      | $8487021.55   | 0.17%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   2831136 | PA      | $2482549.21   | 0.05%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MMZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325908 | PA      | $299546.70    | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XU6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    935197 | PA      | $819002.55    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QT43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188844 | PA      | $172751.87    | 0.00%             | 2044-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NQ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    802270 | PA      | $760696.20    | 0.01%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QADK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252050 | PA      | $242036.02    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    621863 | PA      | $562792.48    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM5L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3230912 | PA      | $2661725.11   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYXE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    421961 | PA      | $413724.66    | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140K3JV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107079 | PA      | $92542.68     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WT24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    515339 | PA      | $462115.40    | 0.01%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    247214 | PA      | $255664.18    | 0.01%             | 2054-01-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMUF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    674080 | PA      | $648528.56    | 0.01%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXFJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    726272 | PA      | $691851.17    | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRB77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512127 | PA      | $518296.11    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2015509 | PA      | $1838281.61   | 0.04%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173243 | PA      | $160629.26    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432555 | PA      | $381205.71    | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4XH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676617 | PA      | $654706.96    | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV4A0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1601404 | PA      | $1437701.62   | 0.03%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1123157 | PA      | $1047135.59   | 0.02%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4724323 | PA      | $4788868.05   | 0.09%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582569 | PA      | $558143.58    | 0.01%             | 2037-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506626 | PA      | $499724.12    | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165106 | PA      | $162856.46    | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416BLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190999 | PA      | $195968.85    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKPY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1798736 | PA      | $1755627.64   | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202F2P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92864 | PA      | $93640.53     | 0.00%             | 2042-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJLY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1281977 | PA      | $1221121.87   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4503232 | PA      | $3930593.92   | 0.08%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1818823 | PA      | $1486640.88   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1354355 | PA      | $1281479.43   | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31385XJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106497 | PA      | $107642.18    | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LV6T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53555 | PA      | $51167.41     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4407083 | PA      | $3674716.96   | 0.07%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JANB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408043 | PA      | $371785.96    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGQ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2218072 | PA      | $1889497.12   | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292LN76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63032 | PA      | $58429.37     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    726714 | PA      | $700993.11    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X75B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589663 | PA      | $518650.11    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66680 | PA      | $61384.69     | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YGXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158238 | PA      | $144177.28    | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    731759 | PA      | $671090.50    | 0.01%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0WN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3622430 | PA      | $3620106.78   | 0.07%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BL38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    426925 | PA      | $403882.05    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    962333 | PA      | $897550.87    | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M9C83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97400 | PA      | $101788.00    | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4105107 | PA      | $3648018.51   | 0.07%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4727029 | PA      | $4721552.93   | 0.09%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGCP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1476215 | PA      | $1276237.75   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1829846 | PA      | $1602208.79   | 0.03%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6EV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230219 | PA      | $206085.24    | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCGG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238289 | PA      | $231745.03    | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8FX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149041 | PA      | $141814.16    | 0.00%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQLM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1782150 | PA      | $1782442.30   | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVK60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1552178 | PA      | $1511689.05   | 0.03%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FFC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2554490 | PA      | $2533216.91   | 0.05%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4504842 | PA      | $3625303.36   | 0.07%             | 2050-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2111268 | PA      | $1848480.55   | 0.04%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2973827 | PA      | $2749529.02   | 0.05%             | 2037-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312936Y27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77395 | PA      | $74451.41     | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q8KD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524350 | PA      | $473874.77    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1485416 | PA      | $1339728.18   | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X0Z35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92020 | PA      | $89766.50     | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E6VH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    219931 | PA      | $212126.79    | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1473877 | PA      | $1246336.49   | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3579659 | PA      | $3033671.88   | 0.06%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7AV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168631 | PA      | $161940.27    | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8737763 | PA      | $7335686.50   | 0.14%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A27F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183387 | PA      | $165809.36    | 0.00%             | 2045-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X92F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441092 | PA      | $432330.66    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQYW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1429083 | PA      | $1220197.27   | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    744739 | PA      | $672712.72    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1241327 | PA      | $1119052.31   | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBWC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82523 | PA      | $79361.84     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XTB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    382270 | PA      | $363768.35    | 0.01%             | 2053-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179U6U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4232960 | PA      | $3705417.60   | 0.07%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1585359 | PA      | $1403017.64   | 0.03%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJW82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1221761 | PA      | $1009318.83   | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E7D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1924087 | PA      | $2007011.07   | 0.04%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133GAZ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360870 | PA      | $319614.76    | 0.01%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QE3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227446 | PA      | $211391.86    | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AFEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186231 | PA      | $187154.69    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    824564 | PA      | $780323.60    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D53T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250949 | PA      | $234459.74    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DS3D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    880381 | PA      | $899196.50    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMJZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1817691 | PA      | $1803489.83   | 0.04%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267511 | PA      | $241612.15    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FCR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31201 | PA      | $30941.05     | 0.00%             | 2044-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241KN61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58469 | PA      | $59294.31     | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EBP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496648 | PA      | $474471.99    | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    997046 | PA      | $906089.10    | 0.02%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410FSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61184 | PA      | $63750.79     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1283173 | PA      | $1300580.87   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNQ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1974100 | PA      | $2087927.36   | 0.04%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2753463 | PA      | $2733006.18   | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMJ30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6408333 | PA      | $5048986.45   | 0.10%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2982286 | PA      | $3071626.56   | 0.06%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ARX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    308711 | PA      | $295091.04    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2476561 | PA      | $2092383.09   | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWN82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4118802 | PA      | $4080955.88   | 0.08%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335ASZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106190 | PA      | $101048.79    | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EBG90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50358 | PA      | $49628.79     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5067253 | PA      | $4175563.19   | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1849073 | PA      | $1768888.29   | 0.03%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1929230 | PA      | $1691691.70   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV5S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179707 | PA      | $161286.61    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1368336 | PA      | $1132150.62   | 0.02%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMG58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    984527 | PA      | $778552.48    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9A96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165676 | PA      | $169986.50    | 0.00%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPYF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1603786 | PA      | $1557937.26   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    208780 | PA      | $210893.40    | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E0V48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69554 | PA      | $64423.07     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BTP20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1026604 | PA      | $1021038.43   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1590784 | PA      | $1393134.94   | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36184BZL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107540 | PA      | $97927.22     | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830475 | PA      | $845946.58    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MADL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    279967 | PA      | $292578.50    | 0.01%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2105393 | PA      | $1992105.91   | 0.04%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUXJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1147746 | PA      | $1138774.19   | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9NX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1856320 | PA      | $1661720.74   | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    165701 | PA      | $149750.41    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1465777 | PA      | $1283684.27   | 0.03%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMUW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7519643 | PA      | $7612384.28   | 0.15%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVK46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3477551 | PA      | $3041038.58   | 0.06%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMT86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225491 | PA      | $217153.28    | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461337 | PA      | $449006.74    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M9FH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89893 | PA      | $90695.27     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWEL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3228534 | PA      | $3141425.24   | 0.06%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    493570 | PA      | $452648.67    | 0.01%             | 2043-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1816602 | PA      | $1641730.49   | 0.03%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A2BM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158183 | PA      | $152069.90    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     62784 | PA      | $63419.58     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65191 | PA      | $61385.17     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTNT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2142432 | PA      | $2201854.86   | 0.04%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    586953 | PA      | $549070.62    | 0.01%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375793 | PA      | $335981.69    | 0.01%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UQ47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    710815 | PA      | $642974.71    | 0.01%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VU73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120464 | PA      | $113086.18    | 0.00%             | 2035-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FCH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4847513 | PA      | $4900323.42   | 0.10%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XF7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1074443 | PA      | $919908.70    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NABJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379661 | PA      | $376861.37    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131Y2SU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57075 | PA      | $53211.88     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620AMLN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55975 | PA      | $52928.51     | 0.00%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M6LG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105546 | PA      | $108396.75    | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBV72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1327528 | PA      | $1144068.43   | 0.02%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    684024 | PA      | $539881.83    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133WJZH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    709400 | PA      | $669054.82    | 0.01%             | 2037-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    283296 | PA      | $272245.55    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAB40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70403 | PA      | $69250.51     | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90509 | PA      | $88248.56     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DTL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    613527 | PA      | $543812.57    | 0.01%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1865157 | PA      | $1451778.35   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RZT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    570796 | PA      | $518724.27    | 0.01%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11405995 | PA      | $8904661.58   | 0.18%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJU99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85998 | PA      | $83953.53     | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5036408 | PA      | $4975296.48   | 0.10%             | 2050-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2668265 | PA      | $2119692.64   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2618650 | PA      | $2617411.91   | 0.05%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHD20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2449073 | PA      | $2331431.81   | 0.05%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NM96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2912223 | PA      | $2619919.27   | 0.05%             | 2043-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRVJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2041740 | PA      | $2034232.25   | 0.04%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ENR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110830 | PA      | $110946.60    | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0WB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97861 | PA      | $83278.47     | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140AEZA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170832 | PA      | $173793.11    | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2105091 | PA      | $2050583.87   | 0.04%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQDL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1266426 | PA      | $1003342.29   | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572852 | PA      | $472356.95    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SH26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62110 | PA      | $59498.60     | 0.00%             | 2031-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DN3P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    649138 | PA      | $631081.30    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180ACC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4675848 | PA      | $4777606.97   | 0.09%             | 2054-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148519 | PA      | $140969.37    | 0.00%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4465084 | PA      | $4511358.79   | 0.09%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    887606 | PA      | $806632.59    | 0.02%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9UN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2396333 | PA      | $1891632.59   | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2731259 | PA      | $2196067.10   | 0.04%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XVU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1784045 | PA      | $1812156.06   | 0.04%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFG96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164498 | PA      | $156702.06    | 0.00%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EBRE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56468 | PA      | $55669.44     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYSV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    450092 | PA      | $399368.98    | 0.01%             | 2040-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3118592 | PA      | $2943284.28   | 0.06%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241K6A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129217 | PA      | $130528.96    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDUG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252145 | PA      | $231062.06    | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1061142 | PA      | $1076048.42   | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P7YB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124816 | PA      | $119449.99    | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D55S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371267 | PA      | $338056.34    | 0.01%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132HMK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    139121 | PA      | $128991.41    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WAXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    143141 | PA      | $140604.83    | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WTW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    734691 | PA      | $558010.82    | 0.01%             | 2051-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QT2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114516 | PA      | $114317.73    | 0.00%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4677924 | PA      | $3866790.02   | 0.08%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJUW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174253 | PA      | $170111.02    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ER93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    693280 | PA      | $701727.82    | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRNV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2596413 | PA      | $2640823.94   | 0.05%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419B4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74788 | PA      | $71892.11     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108150 | PA      | $106837.44    | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQW44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1755662 | PA      | $1712107.53   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105295 | PA      | $103141.03    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2130016 | PA      | $2072421.01   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5KY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    797688 | PA      | $817740.15    | 0.02%             | 2055-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224936 | PA      | $214671.60    | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W9TL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161017 | PA      | $158170.85    | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323922 | PA      | $292890.57    | 0.01%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHV38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    864592 | PA      | $847003.97    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292HXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     61012 | PA      | $62642.58     | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140HJJP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100279 | PA      | $99062.00     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133L8XH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1449614 | PA      | $1314812.67   | 0.03%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVLC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1810753 | PA      | $1812484.62   | 0.04%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    834355 | PA      | $846893.25    | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312945ZL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    387103 | PA      | $381498.08    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1015578 | PA      | $859545.44    | 0.02%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14228754 | PA      | $11957554.99  | 0.24%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KM5X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117706 | PA      | $96458.88     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGXJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1439903 | PA      | $1384623.57   | 0.03%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XN5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1489161 | PA      | $1235747.89   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ANZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238417 | PA      | $229094.14    | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DNE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121903 | PA      | $111745.92    | 0.00%             | 2040-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1217050 | PA      | $1207610.00   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424615 | PA      | $425219.39    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EY87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431081 | PA      | $455322.28    | 0.01%             | 2053-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133ALJ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1344490 | PA      | $1114406.30   | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7976989 | PA      | $7550230.32   | 0.15%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1167887 | PA      | $995733.04    | 0.02%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1897138 | PA      | $1899129.72   | 0.04%             | 2037-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BD3B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1831623 | PA      | $1740968.23   | 0.03%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BTCH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4482710 | PA      | $4545635.65   | 0.09%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QM4P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2395998 | PA      | $1973897.32   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DS6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1693607 | PA      | $1723258.53   | 0.03%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGLB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    286807 | PA      | $261322.89    | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292K4A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66193 | PA      | $65489.32     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P7XZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213842 | PA      | $205585.55    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKNM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    686349 | PA      | $700022.82    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412830 | PA      | $392542.26    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9S22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1491626 | PA      | $1335257.81   | 0.03%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGQR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126854 | PA      | $114960.89    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     53925 | PA      | $55328.63     | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QS4E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80508 | PA      | $81880.13     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1587033 | PA      | $1359265.79   | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDSG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3543951 | PA      | $2931983.93   | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3757428 | PA      | $3339634.24   | 0.07%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXCS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330547 | PA      | $330844.59    | 0.01%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3536722 | PA      | $3433321.50   | 0.07%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2038620 | PA      | $1823752.20   | 0.04%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1188206 | PA      | $1180578.71   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKS43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2029906 | PA      | $1676981.83   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260630 | PA      | $207042.18    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140APZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123938 | PA      | $120050.12    | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    526280 | PA      | $448656.32    | 0.01%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KTL99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    732781 | PA      | $600515.33    | 0.01%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJTL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    581459 | PA      | $538688.78    | 0.01%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9060537 | PA      | $7112900.38   | 0.14%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQT98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    625383 | PA      | $648101.19    | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4EA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126561 | PA      | $114148.22    | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1771385 | PA      | $1611837.71   | 0.03%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    413551 | PA      | $375295.74    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Q6Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    630356 | PA      | $595514.74    | 0.01%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231826 | PA      | $207523.10    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164374 | PA      | $143798.11    | 0.00%             | 2043-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NNC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    372763 | PA      | $363379.89    | 0.01%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X97K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197082 | PA      | $190468.40    | 0.00%             | 2036-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFG88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2912557 | PA      | $2364069.16   | 0.05%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53725 | PA      | $50894.22     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178686 | PA      | $174275.13    | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1398281 | PA      | $1305354.93   | 0.03%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750311 | PA      | $699525.88    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1379067 | PA      | $1157382.34   | 0.02%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140L07H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    879869 | PA      | $696983.08    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5KX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    498964 | PA      | $504685.47    | 0.01%             | 2055-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0N65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98273 | PA      | $90820.33     | 0.00%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QJS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114092 | PA      | $104369.41    | 0.00%             | 2044-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X45Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408818 | PA      | $372492.02    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKTX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1250572 | PA      | $1038332.63   | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419JSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80325 | PA      | $79369.09     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XX4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101202 | PA      | $91460.35     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XH3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1155640 | PA      | $992340.99    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36181GFT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    454627 | PA      | $404453.18    | 0.01%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPM54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    590231 | PA      | $598425.31    | 0.01%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369470 | PA      | $355932.27    | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DN4J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    512809 | PA      | $471445.12    | 0.01%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2451867 | PA      | $2446801.39   | 0.05%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    429073 | PA      | $407227.06    | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8FB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    828162 | PA      | $769871.39    | 0.02%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2118773 | PA      | $1794033.15   | 0.04%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31283HWY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217170 | PA      | $222974.15    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTTZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106072 | PA      | $108068.34    | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    569285 | PA      | $493216.37    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6SS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2371431 | PA      | $2194487.15   | 0.04%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8Z75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702038 | PA      | $555072.87    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312939V73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50619 | PA      | $50081.21     | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWPJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393248 | PA      | $397323.80    | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXPN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2813217 | PA      | $2546964.76   | 0.05%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFMK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2955201 | PA      | $2443983.54   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1258926 | PA      | $1080392.87   | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9XB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110504 | PA      | $106674.33    | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82254 | PA      | $77354.29     | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    568990 | PA      | $556546.89    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    509196 | PA      | $461456.30    | 0.01%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQNQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1458359 | PA      | $1425904.95   | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312944FQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130767 | PA      | $125877.72    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETMU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780360 | PA      | $714913.38    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    701617 | PA      | $631194.72    | 0.01%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6EB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335695 | PA      | $335996.78    | 0.01%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140H5KT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126278 | PA      | $114121.79    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJ61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4845542 | PA      | $4978003.51   | 0.10%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403DBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61650 | PA      | $62215.79     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJVZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    100051 | PA      | $88116.64     | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7652734 | PA      | $6266905.20   | 0.12%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKTL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2190366 | PA      | $2255982.58   | 0.04%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    764773 | PA      | $614978.03    | 0.01%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85240 | PA      | $73579.12     | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6H45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    911146 | PA      | $911944.31    | 0.02%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R7G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85682 | PA      | $73044.09     | 0.00%             | 2046-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJ6T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1175870 | PA      | $1206540.17   | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140FGEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100515 | PA      | $88491.59     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVAV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2978400 | PA      | $3013322.43   | 0.06%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    749491 | PA      | $706522.73    | 0.01%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WT40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    332718 | PA      | $320439.21    | 0.01%             | 2051-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJEV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473513 | PA      | $452359.43    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4496941 | PA      | $3328575.11   | 0.07%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJV23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    307628 | PA      | $280666.50    | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132574 | PA      | $129096.94    | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPH91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4681088 | PA      | $4328278.88   | 0.09%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AXMG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1731218 | PA      | $1364256.53   | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8V38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2945724 | PA      | $2770092.21   | 0.05%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DCV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243351 | PA      | $228546.92    | 0.00%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WG5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358763 | PA      | $327337.62    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQPZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    960223 | PA      | $934701.59    | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0JF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1202993 | PA      | $1202713.40   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJP53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102289 | PA      | $100808.04    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1198961 | PA      | $1086389.56   | 0.02%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132J4KR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185929 | PA      | $170625.31    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2289879 | PA      | $1937212.36   | 0.04%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JADM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    976247 | PA      | $854951.63    | 0.02%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1693804 | PA      | $1384454.57   | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399963 | PA      | $397585.49    | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV3U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    848943 | PA      | $762160.72    | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EPA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    765240 | PA      | $702751.01    | 0.01%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CSE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117437 | PA      | $114131.49    | 0.00%             | 2037-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621025 | PA      | $574375.97    | 0.01%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJTV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98935 | PA      | $94144.32     | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ES76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186615 | PA      | $181362.98    | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1734493 | PA      | $1582208.89   | 0.03%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BGDR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390145 | PA      | $379078.22    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWB77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    927891 | PA      | $796016.00    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8MG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    778003 | PA      | $748817.98    | 0.01%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCEV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4961964 | PA      | $4101478.70   | 0.08%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLCZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544896 | PA      | $450750.65    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QM6T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668923 | PA      | $604415.95    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202F4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197747 | PA      | $181433.11    | 0.00%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214064 | PA      | $210820.98    | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289694 | PA      | $273682.33    | 0.01%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162279 | PA      | $150891.10    | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ3S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256112 | PA      | $231316.99    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACS50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    780674 | PA      | $732106.54    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEPL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2371531 | PA      | $2211013.08   | 0.04%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A9Q34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202400 | PA      | $196913.28    | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     98575 | PA      | $101236.95    | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    820784 | PA      | $737700.38    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YERQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470524 | PA      | $413858.98    | 0.01%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116250 | PA      | $101702.95    | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2293065 | PA      | $2085825.25   | 0.04%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202E2A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90886 | PA      | $91360.89     | 0.00%             | 2039-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140FBMZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248914 | PA      | $226739.22    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255576 | PA      | $256843.61    | 0.01%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2558006 | PA      | $2416691.80   | 0.05%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPFR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252382 | PA      | $232378.37    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140A1VL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90016 | PA      | $90977.44     | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AF29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228459 | PA      | $222934.96    | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEXM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680100 | PA      | $538338.06    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391598 | PA      | $369307.33    | 0.01%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7S91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384656 | PA      | $366292.49    | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6GC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365018 | PA      | $319665.60    | 0.01%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMCB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122352 | PA      | $124056.21    | 0.00%             | 2049-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMQZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69463 | PA      | $67376.90     | 0.00%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    569864 | PA      | $451260.16    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KJTX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1562524 | PA      | $1237539.58   | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHLP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2935634 | PA      | $2722031.55   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SQU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900095 | PA      | $767334.68    | 0.02%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QCY59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1670837 | PA      | $1512103.71   | 0.03%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ADZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    672463 | PA      | $647237.07    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650295 | PA      | $624492.15    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140K0SQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159978 | PA      | $139896.73    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRBH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1716236 | PA      | $1675104.16   | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    788777 | PA      | $711414.76    | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    389365 | PA      | $357083.88    | 0.01%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1069111 | PA      | $958257.34    | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EHQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62891 | PA      | $61900.79     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141248 | PA      | $128696.98    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4628022 | PA      | $4194291.11   | 0.08%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKTQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3412557 | PA      | $3153815.27   | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WF3L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150144 | PA      | $136803.06    | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVWK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2064823 | PA      | $2007156.15   | 0.04%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ADQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    107944 | PA      | $105409.95    | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQP67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5276035 | PA      | $5282855.24   | 0.10%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KEM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1541053 | PA      | $1223807.77   | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319348 | PA      | $269322.68    | 0.01%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0JZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1583227 | PA      | $1584914.19   | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WKQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76734 | PA      | $71680.64     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2304682 | PA      | $1813309.76   | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQ2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1123347 | PA      | $1093198.58   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4103542 | PA      | $3446947.33   | 0.07%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7ZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2009235 | PA      | $1666855.17   | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1705549 | PA      | $1406905.25   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VFQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1190210 | PA      | $1072323.43   | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1416370 | PA      | $1282560.76   | 0.03%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVAS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2542955 | PA      | $2580933.25   | 0.05%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E1M20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     55394 | PA      | $51293.53     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAPT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    695954 | PA      | $665773.46    | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHWE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2397305 | PA      | $2232674.36   | 0.04%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL5C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2714557 | PA      | $2704324.03   | 0.05%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMPB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1490673 | PA      | $1362219.07   | 0.03%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2268934 | PA      | $2008757.16   | 0.04%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2137487 | PA      | $1784266.71   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WCAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179662 | PA      | $169972.25    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CYE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375645 | PA      | $370829.26    | 0.01%             | 2028-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SJT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259526 | PA      | $235222.25    | 0.00%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513847 | PA      | $479949.49    | 0.01%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76568 | PA      | $70736.22     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419AQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268930 | PA      | $258517.33    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGHD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113880 | PA      | $107090.38    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3129413U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     86310 | PA      | $86890.77     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122962 | PA      | $121072.11    | 0.00%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XYA72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195129 | PA      | $182160.83    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KNGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113673 | PA      | $88411.48     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1968231 | PA      | $1668026.67   | 0.03%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0DM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1739033 | PA      | $1763863.86   | 0.03%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6BE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3973652 | PA      | $3590447.81   | 0.07%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636808 | PA      | $622337.21    | 0.01%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417DSZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204952 | PA      | $189778.86    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    897531 | PA      | $805781.55    | 0.02%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3351777 | PA      | $3164593.36   | 0.06%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9160982 | PA      | $9083416.88   | 0.18%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209299 | PA      | $195389.88    | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ESM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1092387 | PA      | $1061644.67   | 0.02%             | 2038-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1627540 | PA      | $1509385.09   | 0.03%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9BD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248803 | PA      | $245843.02    | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75389 | PA      | $68193.85     | 0.00%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFLH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4317824 | PA      | $3527952.66   | 0.07%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0Y63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2853470 | PA      | $2946028.92   | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421469 | PA      | $381954.55    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MFSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88018 | PA      | $79226.32     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMHH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    418569 | PA      | $363035.60    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312946AS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173369 | PA      | $170853.22    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140N26Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753648 | PA      | $713153.49    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YFP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170966 | PA      | $176164.75    | 0.00%             | 2053-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000706 | PA      | $2224965.42   | 0.04%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5JB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    621503 | PA      | $543079.34    | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KNQU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14289394 | PA      | $11159247.46  | 0.22%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140F5CV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1192026 | PA      | $1043921.33   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPUU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1595219 | PA      | $1555288.44   | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1126834 | PA      | $1046482.11   | 0.02%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    136379 | PA      | $137631.08    | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9WX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171150 | PA      | $135862.57    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WPJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    358906 | PA      | $350690.95    | 0.01%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0X72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146033 | PA      | $149336.49    | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1655442 | PA      | $1603464.99   | 0.03%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1071420 | PA      | $965821.65    | 0.02%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1991443 | PA      | $1601494.46   | 0.03%             | 2051-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202E5F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204642 | PA      | $200620.50    | 0.00%             | 2039-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4802347 | PA      | $3735122.65   | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQB97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2779579 | PA      | $2844303.55   | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEKC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67064 | PA      | $64005.73     | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6965237 | PA      | $6784885.07   | 0.13%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5JF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3979664 | PA      | $4079703.01   | 0.08%             | 2055-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNQB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269452 | PA      | $256254.12    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WFJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    579554 | PA      | $522433.88    | 0.01%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MAG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66961 | PA      | $66028.43     | 0.00%             | 2027-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133ASYC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2259343 | PA      | $1869900.91   | 0.04%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M6SS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57362 | PA      | $58911.54     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FHX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    742314 | PA      | $719027.15    | 0.01%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M6EC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77480 | PA      | $78294.33     | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LL38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184678 | PA      | $174364.38    | 0.00%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410LTL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63090 | PA      | $59727.45     | 0.00%             | 2031-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    677501 | PA      | $607529.94    | 0.01%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1700961 | PA      | $1500344.23   | 0.03%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    621637 | PA      | $628318.57    | 0.01%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8379164 | PA      | $8367351.17   | 0.16%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LVMF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118662 | PA      | $109899.98    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31385XTM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51975 | PA      | $53296.96     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410070 | PA      | $404765.79    | 0.01%             | 2038-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2084290 | PA      | $1761737.80   | 0.03%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133W6GW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80179 | PA      | $82475.26     | 0.00%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416WU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    525370 | PA      | $505027.37    | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36296Q2G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161008 | PA      | $158588.69    | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EHT28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95353 | PA      | $88294.64     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRP53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    834655 | PA      | $850462.39    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8BH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    450153 | PA      | $424840.13    | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227294 | PA      | $180238.23    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6JP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1177797 | PA      | $1160724.12   | 0.02%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4L95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227488 | PA      | $203639.92    | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0KW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1324811 | PA      | $1327341.86   | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140A8VX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244706 | PA      | $237373.62    | 0.00%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GDHH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74556 | PA      | $73476.79     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1019594 | PA      | $950582.05    | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8AM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92708 | PA      | $88567.33     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    491196 | PA      | $479341.12    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GS4K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2596925 | PA      | $2581454.89   | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJSG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178928 | PA      | $161249.20    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RTA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207647 | PA      | $195827.27    | 0.00%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    878949 | PA      | $882677.67    | 0.02%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPVV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121237 | PA      | $109988.83    | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12722885 | PA      | $12107113.59  | 0.24%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    186403 | PA      | $174761.87    | 0.00%             | 2036-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ4X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1025657 | PA      | $849611.56    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1018274 | PA      | $919071.80    | 0.02%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| State Street Institutional US Government Money Market Fund | State Street Institutional US Government Money Market Fund | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |  75701372 | NS      | $75701371.64  | 1.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AHJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106563 | PA      | $95902.57     | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2537576 | PA      | $2295087.85   | 0.05%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128PYYP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182482 | PA      | $179460.49    | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2921153 | PA      | $2685779.40   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7224630 | PA      | $5809244.88   | 0.11%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140F0JX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    745341 | PA      | $713212.43    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233363 | PA      | $217567.93    | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5755018 | PA      | $4710970.23   | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJQ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12220114 | PA      | $9589984.97   | 0.19%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347498 | PA      | $327717.84    | 0.01%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KNAL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    839411 | PA      | $697421.21    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170946 | PA      | $175295.30    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M0KE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72337 | PA      | $69111.04     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XTBN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    747667 | PA      | $665312.34    | 0.01%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2009804 | PA      | $1990858.10   | 0.04%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRR47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1512395 | PA      | $1501241.95   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241L2E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64710 | PA      | $59373.13     | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31371LCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    103439 | PA      | $104551.04    | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D55X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    855394 | PA      | $795186.62    | 0.02%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    838868 | PA      | $714668.23    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMT79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1513197 | PA      | $1253106.32   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWPK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2322027 | PA      | $2385324.06   | 0.05%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1106712 | PA      | $942768.81    | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LLQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63471 | PA      | $62499.70     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M9EC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76753 | PA      | $74127.19     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373732 | PA      | $318369.41    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0BY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6251849 | PA      | $6149003.70   | 0.12%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253837 | PA      | $225257.91    | 0.00%             | 2035-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210077 | PA      | $190643.55    | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPHF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    580989 | PA      | $588300.87    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWN74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1281586 | PA      | $1241382.03   | 0.02%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8DM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    201183 | PA      | $188220.91    | 0.00%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3EQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540953 | PA      | $500554.76    | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1991457 | PA      | $1767487.96   | 0.03%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWKW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4473189 | PA      | $4523978.62   | 0.09%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP2U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    720496 | PA      | $681637.67    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6BJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1240434 | PA      | $1121601.25   | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10031419 | PA      | $8070528.61   | 0.16%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    623918 | PA      | $592201.05    | 0.01%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312945DN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    371474 | PA      | $344283.01    | 0.01%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J7UK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    513482 | PA      | $482845.62    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403DBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54858 | PA      | $56285.72     | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2424085 | PA      | $2265159.65   | 0.04%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1429755 | PA      | $1342108.83   | 0.03%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWLK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1116914 | PA      | $1081875.47   | 0.02%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EKFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137431 | PA      | $123698.16    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUUV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    868435 | PA      | $890957.50    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1873542 | PA      | $1531365.62   | 0.03%             | 2053-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CWVQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2553173 | PA      | $2364026.25   | 0.05%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140ABX42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535474 | PA      | $505372.60    | 0.01%             | 2054-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5264996 | PA      | $5128668.72   | 0.10%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1507951 | PA      | $1294867.80   | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133A0DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2254585 | PA      | $1865426.66   | 0.04%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132J7YN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324938 | PA      | $291300.26    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     57395 | PA      | $52596.20     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8YP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1412222 | PA      | $1117351.19   | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    229926 | PA      | $212741.21    | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKC32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    925187 | PA      | $926795.33    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A2X23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91152 | PA      | $85814.34     | 0.00%             | 2046-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D57E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3517829 | PA      | $3189770.76   | 0.06%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1075206 | PA      | $1075785.22   | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54710 | PA      | $52680.77     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6753403 | PA      | $6713401.00   | 0.13%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53629 | PA      | $55024.75     | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    612090 | PA      | $584946.52    | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1377236 | PA      | $1231652.30   | 0.02%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSQJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1775255 | PA      | $1394612.80   | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1017695 | PA      | $845862.82    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMH90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1389076 | PA      | $1355968.96   | 0.03%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111726 | PA      | $97744.67     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEJT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    508239 | PA      | $447825.00    | 0.01%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3715912 | PA      | $3049908.84   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XK3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    809293 | PA      | $756973.73    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238123 | PA      | $214056.53    | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    935270 | PA      | $882694.48    | 0.02%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7362346 | PA      | $6670656.83   | 0.13%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BXZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447050 | PA      | $407326.86    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5G90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    686447 | PA      | $658750.32    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FKQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2968907 | PA      | $3050072.38   | 0.06%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    409326 | PA      | $388485.15    | 0.01%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QV4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2163736 | PA      | $2249902.91   | 0.04%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KLZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2263104 | PA      | $1772273.38   | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKMB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1637768 | PA      | $1470814.65   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    673600 | PA      | $607210.19    | 0.01%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Y6JG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3270658 | PA      | $3331968.72   | 0.07%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XM7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610159 | PA      | $627806.57    | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BVH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    122280 | PA      | $114989.17    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AD3L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292651 | PA      | $273642.96    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119525 | PA      | $114749.83    | 0.00%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    730413 | PA      | $659254.84    | 0.01%             | 2042-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89346 | PA      | $88426.40     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335CED2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153109 | PA      | $138565.13    | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2435331 | PA      | $2412374.30   | 0.05%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3942081 | PA      | $3222115.33   | 0.06%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140LYM34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1721905 | PA      | $1355867.50   | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107723 | PA      | $104413.47    | 0.00%             | 2038-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P75M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78055 | PA      | $75457.06     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNP24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2068103 | PA      | $1964701.31   | 0.04%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31371MDT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136587 | PA      | $140140.92    | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410LWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78365 | PA      | $68991.03     | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GDJ52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83704 | PA      | $82494.52     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36296Q6S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78935 | PA      | $77825.60     | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X72M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404158 | PA      | $352236.33    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBM64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2551787 | PA      | $2312543.51   | 0.05%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XTF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245781 | PA      | $251757.89    | 0.00%             | 2053-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AAFC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232473 | PA      | $222488.11    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31334YPV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    576032 | PA      | $506660.88    | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0Q96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1049219 | PA      | $1040464.68   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3XU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143007 | PA      | $135906.71    | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X42H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172649 | PA      | $149202.54    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93785 | PA      | $88199.08     | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7M89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    685820 | PA      | $616232.25    | 0.01%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E4L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424346 | PA      | $400491.74    | 0.01%             | 2054-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SLT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106868 | PA      | $100502.49    | 0.00%             | 2046-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XA6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    509843 | PA      | $500819.88    | 0.01%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1197226 | PA      | $1106806.77   | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7483206 | PA      | $6280125.68   | 0.12%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655468 | PA      | $517192.80    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    763315 | PA      | $758478.16    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335ARF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123001 | PA      | $118391.33    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLDJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1916829 | PA      | $1736512.22   | 0.03%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140FE5W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362110 | PA      | $338700.71    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL3T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650807 | PA      | $677807.90    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D55T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2616515 | PA      | $2433154.35   | 0.05%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6882645 | PA      | $5777712.66   | 0.11%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    127961 | PA      | $123749.68    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTLY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73002 | PA      | $65289.86     | 0.00%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTEC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1547248 | PA      | $1541565.96   | 0.03%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3XV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     76505 | PA      | $72706.72     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416CEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130606 | PA      | $131805.08    | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133C4RL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1374549 | PA      | $1335319.93   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85556 | PA      | $69914.61     | 0.00%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3129366F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74268 | PA      | $73506.21     | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AEKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98746 | PA      | $97190.92     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJVR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    787050 | PA      | $639809.22    | 0.01%             | 2042-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KNVT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1469720 | PA      | $1258909.20   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2061553 | PA      | $2051641.88   | 0.04%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KVFR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    564854 | PA      | $447041.61    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132HMK75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65033 | PA      | $60298.39     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85329 | PA      | $84082.05     | 0.00%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Q3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212363 | PA      | $200624.70    | 0.00%             | 2045-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XX2L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204424 | PA      | $184745.33    | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPWL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2166608 | PA      | $2256322.52   | 0.04%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119086 | PA      | $117621.42    | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AD96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172841 | PA      | $160045.23    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    522386 | PA      | $488212.54    | 0.01%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYSP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125150 | PA      | $111123.75    | 0.00%             | 2039-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8BA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367436 | PA      | $319181.29    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164482 | PA      | $155119.04    | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7418574 | PA      | $7201483.50   | 0.14%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3696984 | PA      | $3668068.57   | 0.07%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     99981 | PA      | $96326.47     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1416883 | PA      | $1189119.81   | 0.02%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMTZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2071742 | PA      | $1635412.78   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XJSY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1027977 | PA      | $952026.21    | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4QY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    786116 | PA      | $691444.63    | 0.01%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3262063 | PA      | $3020675.36   | 0.06%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XQDM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280438 | PA      | $265325.19    | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGVF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400982 | PA      | $338481.43    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36296QUY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65227 | PA      | $64342.85     | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EKY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111371 | PA      | $110045.69    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6QS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389868 | PA      | $352338.06    | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36176W7F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222528 | PA      | $204176.35    | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRVE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2815043 | PA      | $2581851.54   | 0.05%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5037027 | PA      | $4086902.63   | 0.08%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8QZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151113 | PA      | $139925.62    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136921 | PA      | $124468.56    | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6DX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    717674 | PA      | $728298.02    | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7QN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1116441 | PA      | $1046506.79   | 0.02%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349959 | PA      | $317585.77    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2233653 | PA      | $2344327.20   | 0.05%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1468039 | PA      | $1334909.83   | 0.03%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335ATV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67484 | PA      | $67940.58     | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179M5Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53408 | PA      | $53806.72     | 0.00%             | 2043-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CCM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469131 | PA      | $449048.50    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10426494 | PA      | $8750439.28   | 0.17%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMYP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189018 | PA      | $186360.94    | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EKUE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52661 | PA      | $54963.19     | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EZ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    637836 | PA      | $671875.72    | 0.01%             | 2054-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128874 | PA      | $125630.07    | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A3YM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    614863 | PA      | $569504.25    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7E54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825280 | PA      | $751201.59    | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ESAD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1542640 | PA      | $1582779.94   | 0.03%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DH54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445982 | PA      | $427060.86    | 0.01%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    230609 | PA      | $224786.86    | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1713570 | PA      | $1415080.06   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6BY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1245853 | PA      | $1174999.09   | 0.02%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UD90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    711957 | PA      | $664390.85    | 0.01%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDAM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119944 | PA      | $109966.58    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EQPE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203621 | PA      | $179099.31    | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315835 | PA      | $288153.97    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12847099 | PA      | $10082024.48  | 0.20%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133C7AD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5900905 | PA      | $5852036.91   | 0.12%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQAG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    693229 | PA      | $676974.85    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0QE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2002521 | PA      | $2026153.77   | 0.04%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    587066 | PA      | $578408.09    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10311154 | PA      | $8061841.84   | 0.16%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XVR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2634797 | PA      | $2507276.39   | 0.05%             | 2053-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJSS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    406557 | PA      | $364402.34    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QU2L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5161273 | PA      | $5320800.11   | 0.10%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WKZ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    764743 | PA      | $733997.88    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589681 | PA      | $612400.55    | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179S5N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114490 | PA      | $110963.10    | 0.00%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566903 | PA      | $503321.30    | 0.01%             | 2040-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XX76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3562213 | PA      | $3618342.06   | 0.07%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGP81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130205 | PA      | $126298.77    | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1844161 | PA      | $1633261.59   | 0.03%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115413 | PA      | $105844.52    | 0.00%             | 2043-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622AADG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328800 | PA      | $301389.48    | 0.01%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131Y3XK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119105 | PA      | $114687.58    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJRJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668166 | PA      | $623887.55    | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FZZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79816 | PA      | $78589.39     | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2392807 | PA      | $1952518.16   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MACH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124797 | PA      | $122755.75    | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418NZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61543 | PA      | $60810.49     | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22373730 | PA      | $17511260.40  | 0.34%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ECTY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277030 | PA      | $272292.89    | 0.01%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BXN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283848 | PA      | $266924.21    | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNMH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1325563 | PA      | $1345186.65   | 0.03%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1031087 | PA      | $838511.72    | 0.02%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133B6DS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1547864 | PA      | $1331999.43   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPCM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    564179 | PA      | $561239.54    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31368HNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211399 | PA      | $208956.39    | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    403653 | PA      | $377246.30    | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133WB5K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1237372 | PA      | $1251231.64   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KNN25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2410069 | PA      | $1984742.94   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MNW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166411 | PA      | $156946.43    | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6720989 | PA      | $5519519.43   | 0.11%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    336854 | PA      | $303489.75    | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJP49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    932509 | PA      | $870712.70    | 0.02%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DS4P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    771940 | PA      | $787521.08    | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A25S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187241 | PA      | $176784.23    | 0.00%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A9QX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68402 | PA      | $66561.63     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227143 | PA      | $199076.07    | 0.00%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    753940 | PA      | $683152.02    | 0.01%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68241 | PA      | $62140.77     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335B6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50070 | PA      | $49537.84     | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    404082 | PA      | $328737.19    | 0.01%             | 2041-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295663 | PA      | $281116.09    | 0.01%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FHH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3624314 | PA      | $3721100.47   | 0.07%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MFSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166557 | PA      | $149913.57    | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1803222 | PA      | $1788624.25   | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112888 | PA      | $114714.54    | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1072835 | PA      | $1043403.66   | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W9ZS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109276 | PA      | $105747.18    | 0.00%             | 2028-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRS92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3337171 | PA      | $3446259.88   | 0.07%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1484456 | PA      | $1307637.25   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419AGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127163 | PA      | $122175.84    | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    467545 | PA      | $413495.65    | 0.01%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133A3PB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329367 | PA      | $285653.19    | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCHN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1079987 | PA      | $892196.26    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EMY54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    371311 | PA      | $366893.02    | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W0J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9467864 | PA      | $9564926.77   | 0.19%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    194106 | PA      | $196071.26    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV4P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1766902 | PA      | $1526951.32   | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPDM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93873 | PA      | $96833.62     | 0.00%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWLA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6644385 | PA      | $6719317.81   | 0.13%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335CGS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    303651 | PA      | $281315.03    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1591635 | PA      | $1600928.42   | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWAM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4406002 | PA      | $3259170.80   | 0.06%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106588 | PA      | $105777.54    | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8LG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93861 | PA      | $89690.91     | 0.00%             | 2037-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRNB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2673476 | PA      | $2631378.75   | 0.05%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5A41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7730438 | PA      | $7684649.26   | 0.15%             | 2054-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D53K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152096 | PA      | $144916.91    | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196860 | PA      | $188910.81    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1917057 | PA      | $1656106.74   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140EVS81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296849 | PA      | $269017.48    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMRD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141597 | PA      | $138147.91    | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140AQUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476080 | PA      | $488697.43    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81961 | PA      | $78892.63     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0Y30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5444364 | PA      | $5593194.72   | 0.11%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNNF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    923532 | PA      | $882279.74    | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    456152 | PA      | $437880.19    | 0.01%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    433142 | PA      | $404203.82    | 0.01%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6TF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156547 | PA      | $136137.79    | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58305 | PA      | $53123.83     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3004233 | PA      | $2222542.59   | 0.04%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1180206 | PA      | $1034892.20   | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQ4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2760076 | PA      | $2808338.54   | 0.06%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMUM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371627 | PA      | $360976.50    | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132WEKW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155016 | PA      | $140676.48    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSF22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92978 | PA      | $92274.63     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1945845 | PA      | $1870502.42   | 0.04%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJLM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71376 | PA      | $70643.93     | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    887336 | PA      | $800889.56    | 0.02%             | 2042-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XK3Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486696 | PA      | $475187.85    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3659064 | PA      | $3315509.65   | 0.07%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEN44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243123 | PA      | $226667.00    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416CCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    219306 | PA      | $216772.53    | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    776994 | PA      | $797586.44    | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3410102 | PA      | $3446991.07   | 0.07%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMR72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249070 | PA      | $222854.60    | 0.00%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FFB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41089 | PA      | $39709.00     | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5EW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11654719 | PA      | $11785375.97  | 0.23%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140FPFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177102 | PA      | $160053.24    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140AFCP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    742064 | PA      | $736145.05    | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QKFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    989467 | PA      | $808237.46    | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8XK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717542 | PA      | $597634.79    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8BL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71365 | PA      | $67332.68     | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2846463 | PA      | $2261254.08   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q8WW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81264 | PA      | $78215.75     | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    594466 | PA      | $539475.03    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KTMA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    575120 | PA      | $471312.03    | 0.01%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187836 | PA      | $181170.94    | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMT60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    361858 | PA      | $352062.18    | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140F5DA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1052762 | PA      | $954060.51    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LTJQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221000 | PA      | $198890.85    | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EGEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80961 | PA      | $77834.58     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1277112 | PA      | $1055070.39   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ADWF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1186193 | PA      | $1139127.20   | 0.02%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GU4P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     66662 | PA      | $61808.62     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5GL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1192265 | PA      | $1092906.01   | 0.02%             | 2055-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X0Y69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163818 | PA      | $146645.31    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1685164 | PA      | $1721881.17   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVK87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2699928 | PA      | $2452786.94   | 0.05%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ELV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5292482 | PA      | $4861940.04   | 0.10%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120072 | PA      | $105944.29    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11880949 | PA      | $9777903.29   | 0.19%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1836430 | PA      | $1451729.28   | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    430138 | PA      | $381559.86    | 0.01%             | 2035-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119513 | PA      | $109672.84    | 0.00%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    508487 | PA      | $458246.11    | 0.01%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AFC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552694 | PA      | $543991.25    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WKW68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199936 | PA      | $186766.23    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSHF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2031424 | PA      | $2026893.27   | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LUTA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193241 | PA      | $184609.11    | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MTKC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2282882 | PA      | $2154552.63   | 0.04%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GE7K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118996 | PA      | $117272.71    | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     78784 | PA      | $73693.75     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    543431 | PA      | $491566.31    | 0.01%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPZM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1729993 | PA      | $1721813.78   | 0.03%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYWF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    739613 | PA      | $649293.74    | 0.01%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJRY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79495 | PA      | $71640.44     | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    695358 | PA      | $696031.71    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMHM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281470 | PA      | $258615.74    | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31294UAM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    112615 | PA      | $110385.22    | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJUF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79385 | PA      | $72844.10     | 0.00%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFNK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2652409 | PA      | $2098587.30   | 0.04%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6N48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1159502 | PA      | $1055716.70   | 0.02%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BVG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336159 | PA      | $306289.18    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M8N26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115691 | PA      | $120903.00    | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13340344 | PA      | $12590432.50  | 0.25%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394415 | PA      | $348959.77    | 0.01%             | 2041-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91714 | PA      | $86634.85     | 0.00%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12238259 | PA      | $9604224.43   | 0.19%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    542348 | PA      | $490830.25    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414450 | PA      | $409519.07    | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2419164 | PA      | $2005601.88   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKKB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2557124 | PA      | $2029381.26   | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJYQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4999309 | PA      | $4902155.12   | 0.10%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226418 | PA      | $214487.25    | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416BL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82698 | PA      | $84849.66     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WA5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97289 | PA      | $95192.27     | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8W45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1521252 | PA      | $1314196.19   | 0.03%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MDZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    173103 | PA      | $160287.64    | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7553014 | PA      | $6337544.16   | 0.12%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M73U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253748 | PA      | $255802.17    | 0.01%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGZM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1237104 | PA      | $981089.07    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202973 | PA      | $183690.42    | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1061806 | PA      | $992745.77    | 0.02%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1443271 | PA      | $1341685.59   | 0.03%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WLR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1845096 | PA      | $1654537.85   | 0.03%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GJR27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150500 | PA      | $145355.18    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACS76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1240500 | PA      | $1161270.31   | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQND5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13399942 | PA      | $12750686.05  | 0.25%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X86W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235915 | PA      | $224197.37    | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417F4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75557 | PA      | $67646.50     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ENWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155413 | PA      | $147705.02    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WF2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119632 | PA      | $105224.83    | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AC2W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314877 | PA      | $293535.13    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MFNA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    370690 | PA      | $355473.60    | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1039961 | PA      | $1064106.34   | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3650573 | PA      | $3304227.40   | 0.07%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQYG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    715802 | PA      | $746896.15    | 0.01%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPGF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1327172 | PA      | $1295671.94   | 0.03%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1929432 | PA      | $1776207.20   | 0.03%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6017358 | PA      | $5247279.69   | 0.10%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X72X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2195042 | PA      | $1968773.78   | 0.04%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180ACA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9008851 | PA      | $8955489.82   | 0.18%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLLM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    847704 | PA      | $832257.57    | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M9D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57589 | PA      | $57949.35     | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YYT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1735121 | PA      | $1595305.20   | 0.03%             | 2054-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58934 | PA      | $54714.44     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQFU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226002 | PA      | $222436.71    | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46851 | PA      | $47940.51     | 0.00%             | 2053-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2993402 | PA      | $2767328.62   | 0.05%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CRJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528036 | PA      | $507677.29    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMZU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2977575 | PA      | $3070655.20   | 0.06%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QD24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68197 | PA      | $66480.66     | 0.00%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495435 | PA      | $517455.04    | 0.01%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSQC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1314785 | PA      | $1304754.46   | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4902906 | PA      | $4084376.57   | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQUJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1184850 | PA      | $1158765.52   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPUF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1450129 | PA      | $1302415.63   | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    859210 | PA      | $828837.35    | 0.02%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    406555 | PA      | $391550.34    | 0.01%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV5Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239978 | PA      | $222212.37    | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2910409 | PA      | $2819107.13   | 0.06%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140K5D38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210607 | PA      | $182850.76    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145665 | PA      | $140944.61    | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8ER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215889 | PA      | $202668.89    | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMUU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    692563 | PA      | $601137.62    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPQL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1101513 | PA      | $1021364.87   | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2469480 | PA      | $2148546.29   | 0.04%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FBX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2269120 | PA      | $2289154.43   | 0.05%             | 2044-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACMJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6072420 | PA      | $5513477.72   | 0.11%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SBK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121878 | PA      | $112913.02    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q8DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157836 | PA      | $147814.04    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31385XAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96351 | PA      | $98802.28     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6207936 | PA      | $5214198.42   | 0.10%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJTQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1041024 | PA      | $1045046.97   | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8817473 | PA      | $7974803.83   | 0.16%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKRT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4048868 | PA      | $3363659.58   | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    183616 | PA      | $167522.75    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140E7FY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101839 | PA      | $99033.98     | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    665680 | PA      | $621441.13    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQRH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1076764 | PA      | $1097030.52   | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179U6W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    632999 | PA      | $588975.35    | 0.01%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VTW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2157672 | PA      | $1813096.59   | 0.04%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676545 | PA      | $658193.52    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479221 | PA      | $424733.12    | 0.01%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1254529 | PA      | $1303390.15   | 0.03%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5FL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1448435 | PA      | $1268472.35   | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ECSX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88142 | PA      | $84211.99     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKKR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1396701 | PA      | $1401793.17   | 0.03%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2732888 | PA      | $2471599.83   | 0.05%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2010049 | PA      | $1740785.55   | 0.03%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    789754 | PA      | $737734.28    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1114847 | PA      | $979412.94    | 0.02%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDJB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2765665 | PA      | $2259627.31   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VSH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2760385 | PA      | $2415212.97   | 0.05%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQWD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6589299 | PA      | $6009889.81   | 0.12%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1513186 | PA      | $1580566.41   | 0.03%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDVU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    954728 | PA      | $761456.08    | 0.01%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WBW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    777149 | PA      | $598056.45    | 0.01%             | 2051-03-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EKU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4520340 | PA      | $4395727.82   | 0.09%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140K4LM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428479 | PA      | $398978.52    | 0.01%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329JPT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1211547 | PA      | $1121854.84   | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    228683 | PA      | $215331.36    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3410300 | PA      | $3464035.44   | 0.07%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XBV43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55559 | PA      | $54441.53     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMTJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101084 | PA      | $98528.51     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6HY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1240620 | PA      | $1201803.01   | 0.02%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181549 | PA      | $143421.78    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X97F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1554145 | PA      | $1328304.29   | 0.03%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EQCT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188124 | PA      | $183162.99    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YXKA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91781 | PA      | $89342.30     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11309125 | PA      | $11242139.32  | 0.22%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM2V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2019338 | PA      | $1604281.75   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XC3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1423706 | PA      | $1278168.84   | 0.03%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X0BT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58474 | PA      | $54116.57     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DN3E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1972262 | PA      | $1875523.15   | 0.04%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    724909 | PA      | $735091.87    | 0.01%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NQ68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163796 | PA      | $159672.88    | 0.00%             | 2043-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NTF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80370 | PA      | $78347.43     | 0.00%             | 2043-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLJM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1791193 | PA      | $1489724.95   | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J6GP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517571 | PA      | $483479.12    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    658657 | PA      | $627924.28    | 0.01%             | 2037-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPSB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    773885 | PA      | $770055.16    | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1877439 | PA      | $1861640.53   | 0.04%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1147955 | PA      | $1197429.50   | 0.02%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106421 | PA      | $99755.17     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    637327 | PA      | $505435.20    | 0.01%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6YL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1634583 | PA      | $1546425.27   | 0.03%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLXD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1367444 | PA      | $1328248.91   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4XG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631864 | PA      | $611639.45    | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E2JY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123102 | PA      | $113988.59    | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9P90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241417 | PA      | $190878.81    | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q8WB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340925 | PA      | $319150.61    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3272851 | PA      | $2886840.34   | 0.06%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WG69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    684455 | PA      | $636852.99    | 0.01%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9S70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275141 | PA      | $234251.15    | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XRED3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7248076 | PA      | $5731807.39   | 0.11%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    764962 | PA      | $745984.67    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TG66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238883 | PA      | $230438.37    | 0.00%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUJM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1927777 | PA      | $1980120.46   | 0.04%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DT5U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    345406 | PA      | $322654.49    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8HQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1035521 | PA      | $958861.97    | 0.02%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6YS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249766 | PA      | $228263.32    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596153 | PA      | $578587.94    | 0.01%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335AXD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235647 | PA      | $227843.35    | 0.00%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8WB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492965 | PA      | $408872.49    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    296707 | PA      | $277163.62    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417AJM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69768 | PA      | $64594.79     | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GSTW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     91546 | PA      | $84880.40     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EVQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    696160 | PA      | $712398.38    | 0.01%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X5H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6273070 | PA      | $6263542.01   | 0.12%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRMP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1762544 | PA      | $1748895.00   | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9225645 | PA      | $7750191.44   | 0.15%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKAS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1941908 | PA      | $1584586.29   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145777 | PA      | $119152.99    | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QGD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223901 | PA      | $211525.31    | 0.00%             | 2044-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFKT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1001350 | PA      | $812777.89    | 0.02%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKSZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1529419 | PA      | $1486713.09   | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7YC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353371 | PA      | $316326.99    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109077 | PA      | $111108.65    | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80590 | PA      | $70420.74     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2805559 | PA      | $2239720.92   | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XYNZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341714 | PA      | $308819.55    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5070791 | PA      | $5022990.06   | 0.10%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DN4V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2840775 | PA      | $2705925.21   | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23295250 | PA      | $18175607.81  | 0.36%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMPU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    555210 | PA      | $461014.85    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHWW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3149074 | PA      | $2734477.64   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93668 | PA      | $87273.90     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHAR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    924437 | PA      | $878537.03    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    100282 | PA      | $94426.62     | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    684051 | PA      | $647349.23    | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XNJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3415805 | PA      | $3497596.59   | 0.07%             | 2052-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292HW42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64192 | PA      | $64964.04     | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGPQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82268 | PA      | $74555.26     | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSR46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232998 | PA      | $226130.55    | 0.00%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQKE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1196141 | PA      | $995194.13    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312945ZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398273 | PA      | $383361.43    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410LA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51780 | PA      | $51181.43     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ELKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80440 | PA      | $80839.15     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3957645 | PA      | $3367890.63   | 0.07%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMS61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111493 | PA      | $107858.79    | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132HQBE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    412514 | PA      | $371755.71    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1788977 | PA      | $1574657.20   | 0.03%             | 2036-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWHR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10611630 | PA      | $10026380.43  | 0.20%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYTX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173080 | PA      | $153453.75    | 0.00%             | 2040-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    465749 | PA      | $427324.43    | 0.01%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366244 | PA      | $375773.47    | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXG71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93748 | PA      | $89634.73     | 0.00%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335A5Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     62423 | PA      | $60939.01     | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E2H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443588 | PA      | $467398.20    | 0.01%             | 2054-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPT40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    293447 | PA      | $270097.96    | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    753314 | PA      | $676306.70    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1492996 | PA      | $1519135.15   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WKRH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    126639 | PA      | $118297.92    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77716 | PA      | $78296.20     | 0.00%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2739833 | PA      | $2869161.98   | 0.06%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9UY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323886 | PA      | $319958.06    | 0.01%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EYA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119407 | PA      | $120618.28    | 0.00%             | 2043-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DRS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2721647 | PA      | $2241872.14   | 0.04%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNND1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243876 | PA      | $224279.64    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMU35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162000 | PA      | $157197.60    | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5EV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10197017 | PA      | $10136618.74  | 0.20%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9P33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265800 | PA      | $255075.55    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFG39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2537805 | PA      | $2143183.38   | 0.04%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5723928 | PA      | $5184844.14   | 0.10%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1637086 | PA      | $1340843.26   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283269 | PA      | $259615.48    | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLEJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379058 | PA      | $380891.38    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QRY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    646959 | PA      | $591828.34    | 0.01%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMT37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119402 | PA      | $116192.68    | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138Y64A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115385 | PA      | $113568.33    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEVT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393085 | PA      | $311524.62    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    967904 | PA      | $851204.44    | 0.02%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1205853 | PA      | $1060836.82   | 0.02%             | 2041-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372228 | PA      | $313919.34    | 0.01%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    672495 | PA      | $690879.01    | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4215459 | PA      | $3477580.22   | 0.07%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138Y6NU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145904 | PA      | $133722.12    | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329QH87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48138 | PA      | $47553.60     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZ86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184950 | PA      | $167381.16    | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94059 | PA      | $95700.31     | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFPA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2743368 | PA      | $2365314.06   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q8JD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200704 | PA      | $181383.36    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMXC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1867980 | PA      | $1693490.59   | 0.03%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    616241 | PA      | $533689.90    | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135814 | PA      | $123788.92    | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3036098 | PA      | $2676217.71   | 0.05%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDDE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    590984 | PA      | $550802.25    | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5E84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    396509 | PA      | $359334.22    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190234 | PA      | $171145.85    | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7266039 | PA      | $6340506.26   | 0.12%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W9TV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62490 | PA      | $61382.70     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6803224 | PA      | $6600233.18   | 0.13%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FJS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    742555 | PA      | $719227.09    | 0.01%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYTD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314697 | PA      | $279304.53    | 0.01%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2421227 | PA      | $1915372.15   | 0.04%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EPUP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271582 | PA      | $264785.37    | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M9KG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195424 | PA      | $193418.42    | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6DC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    865314 | PA      | $856634.77    | 0.02%             | 2037-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13215115 | PA      | $10627696.64  | 0.21%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRDF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1163947 | PA      | $1155048.37   | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ERNX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278328 | PA      | $257724.39    | 0.01%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0K43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4396764 | PA      | $4490478.97   | 0.09%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179USU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1256149 | PA      | $1167999.26   | 0.02%             | 2049-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    944982 | PA      | $799444.03    | 0.02%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3XS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319609 | PA      | $303756.60    | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1862050 | PA      | $1511968.85   | 0.03%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVJ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158228 | PA      | $149333.44    | 0.00%             | 2054-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8B34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87914 | PA      | $82819.06     | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402C4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188305 | PA      | $193095.04    | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    438248 | PA      | $431842.69    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316398 | PA      | $269886.14    | 0.01%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133B7FQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    715113 | PA      | $591101.96    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6298501 | PA      | $6135413.27   | 0.12%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1181527 | PA      | $1156943.47   | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8128299 | PA      | $8214359.46   | 0.16%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RD97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150999 | PA      | $146883.27    | 0.00%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QST92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2126411 | PA      | $2165950.24   | 0.04%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67716 | PA      | $62601.10     | 0.00%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XC4S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2085245 | PA      | $1992101.09   | 0.04%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117756 | PA      | $120751.77    | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EHBB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    547152 | PA      | $549866.09    | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2998496 | PA      | $2971542.22   | 0.06%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267501 | PA      | $245440.75    | 0.00%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825433 | PA      | $786933.65    | 0.02%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1274449 | PA      | $1130923.25   | 0.02%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X2G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3204981 | PA      | $2887538.10   | 0.06%             | 2053-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417G4Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257566 | PA      | $238315.95    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKNG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    768846 | PA      | $748340.54    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJUC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     83580 | PA      | $81593.63     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140AAF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439493 | PA      | $444666.54    | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M7ZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102352 | PA      | $101264.31    | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XG2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    688944 | PA      | $647867.12    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X66C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353232 | PA      | $330289.57    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8140791 | PA      | $8226359.75   | 0.16%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LWKX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61939 | PA      | $59177.21     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDHC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610350 | PA      | $531345.18    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    718957 | PA      | $738611.27    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239994 | PA      | $233056.56    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHER9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    124234 | PA      | $108798.83    | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1782138 | PA      | $1837848.20   | 0.04%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y5H3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1075880 | PA      | $987528.69    | 0.02%             | 2054-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5GR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2206247 | PA      | $2254260.83   | 0.04%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CP57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189223 | PA      | $165345.93    | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QL58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    372357 | PA      | $340626.82    | 0.01%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2687470 | PA      | $2442101.94   | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278169 | PA      | $231287.96    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXQU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1257880 | PA      | $1286937.50   | 0.03%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EPAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275314 | PA      | $270435.38    | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XTA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    382176 | PA      | $352869.38    | 0.01%             | 2053-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ASSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210433 | PA      | $207119.20    | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325700 | PA      | $296759.78    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   2773066 | PA      | $2509651.98   | 0.05%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRVV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7489961 | PA      | $7584423.51   | 0.15%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV5Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398284 | PA      | $357459.02    | 0.01%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180561 | PA      | $177012.24    | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DYZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295034 | PA      | $253376.88    | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312936NA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     56327 | PA      | $55748.94     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316198 | PA      | $295370.60    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3444182 | PA      | $2726473.55   | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7713892 | PA      | $6302170.95   | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1997630 | PA      | $1694426.18   | 0.03%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPV88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    846257 | PA      | $668157.71    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MDMH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64257 | PA      | $62602.06     | 0.00%             | 2028-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    533985 | PA      | $473180.74    | 0.01%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4473683 | PA      | $4579201.85   | 0.09%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2281140 | PA      | $1775566.80   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AD2M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356947 | PA      | $341853.60    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2829117 | PA      | $2816959.17   | 0.06%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM5S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1438252 | PA      | $1187749.13   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1701763 | PA      | $1467905.73   | 0.03%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6BD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2879394 | PA      | $2533424.76   | 0.05%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114899 | PA      | $103838.68    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFZT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050808 | PA      | $867786.85    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223971 | PA      | $212567.61    | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    571646 | PA      | $524485.43    | 0.01%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJUX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    257440 | PA      | $236229.54    | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDUC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    877248 | PA      | $690450.92    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1270281 | PA      | $1279118.93   | 0.03%             | 2045-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M8G99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64720 | PA      | $59983.00     | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV4V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    334945 | PA      | $289458.80    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    961955 | PA      | $852315.95    | 0.02%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CXT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426500 | PA      | $413663.68    | 0.01%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UST0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3273253 | PA      | $2949047.57   | 0.06%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQT80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101645 | PA      | $104979.36    | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10525398 | PA      | $8274301.96   | 0.16%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1907359 | PA      | $1927992.02   | 0.04%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CDG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323646 | PA      | $305571.88    | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417WTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62488 | PA      | $61766.98     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    606456 | PA      | $527640.67    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETWF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104478 | PA      | $102832.46    | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNQY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2127453 | PA      | $1812709.59   | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140FQT31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131415 | PA      | $115588.93    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    578412 | PA      | $578932.03    | 0.01%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5ET2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2081902 | PA      | $1965339.23   | 0.04%             | 2055-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65393 | PA      | $62488.41     | 0.00%             | 2035-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0C59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69441 | PA      | $71364.09     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128ME5D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    210966 | PA      | $201731.25    | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTVM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1997892 | PA      | $2038341.80   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLQG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1585571 | PA      | $1555532.40   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6267474 | PA      | $5678647.85   | 0.11%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M8B51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70454 | PA      | $63405.59     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVD44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1724376 | PA      | $1671213.16   | 0.03%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJCF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583136 | PA      | $457311.24    | 0.01%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJS68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    579050 | PA      | $519009.54    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403DDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113060 | PA      | $116003.01    | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8G68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1263127 | PA      | $1094310.84   | 0.02%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9ME8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150906 | PA      | $141459.72    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231968 | PA      | $223465.34    | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMXV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128266 | PA      | $122934.69    | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y5J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1079102 | PA      | $1019487.99   | 0.02%             | 2054-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TNT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98511 | PA      | $95028.30     | 0.00%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTWF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    936464 | PA      | $952670.90    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NTE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214014 | PA      | $202923.44    | 0.00%             | 2043-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417BPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154958 | PA      | $143490.42    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GQSU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1436583 | PA      | $1477722.13   | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CWRA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    722667 | PA      | $688292.05    | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KNLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173450 | PA      | $137367.54    | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3170284 | PA      | $2747379.76   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRHR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1786451 | PA      | $1737676.56   | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202E6E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115085 | PA      | $115945.20    | 0.00%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2578561 | PA      | $2649050.00   | 0.05%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1072896 | PA      | $1001699.74   | 0.02%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YDJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7313363 | PA      | $7127857.47   | 0.14%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XM3S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    945393 | PA      | $949051.07    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1012307 | PA      | $856024.47    | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10746966 | PA      | $10872147.56  | 0.21%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2250193 | PA      | $1906146.94   | 0.04%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    854513 | PA      | $811005.49    | 0.02%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165784 | PA      | $167169.81    | 0.00%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1080942 | PA      | $1039443.17   | 0.02%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6672777 | PA      | $6312694.59   | 0.12%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QANJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    616340 | PA      | $593219.96    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8DX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1075612 | PA      | $983012.91    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495044 | PA      | $462436.59    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A2AN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58949 | PA      | $58097.50     | 0.00%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6808475 | PA      | $5581862.00   | 0.11%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VKK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3741109 | PA      | $3148899.92   | 0.06%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDQW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169101 | PA      | $140272.60    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7XM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1247562 | PA      | $1135579.85   | 0.02%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36230UEJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129802 | PA      | $122552.77    | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417BDP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125124 | PA      | $119535.01    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMT29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83794 | PA      | $80783.75     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329KYU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147466 | PA      | $142938.56    | 0.00%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPMH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1067909 | PA      | $1082734.23   | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335ARL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126872 | PA      | $122531.38    | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5JE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2488634 | PA      | $2517170.51   | 0.05%             | 2055-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    737926 | PA      | $677047.56    | 0.01%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1395613 | PA      | $1222213.53   | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410GFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72180 | PA      | $74058.36     | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFLC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1390237 | PA      | $1266706.28   | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QP4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304550 | PA      | $305039.06    | 0.01%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1498531 | PA      | $1514052.49   | 0.03%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X5T78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69049 | PA      | $68207.79     | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133WFCE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    879695 | PA      | $891967.61    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M5VT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     70902 | PA      | $74096.11     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XH3C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5403529 | PA      | $4467103.95   | 0.09%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WG28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8403460 | PA      | $6757794.76   | 0.13%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133CDFA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    401009 | PA      | $397613.76    | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ7D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1689854 | PA      | $1684323.61   | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M9LU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175860 | PA      | $158495.98    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1115997 | PA      | $1012761.48   | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EN4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153693 | PA      | $150969.31    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5GQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5982195 | PA      | $6050792.15   | 0.12%             | 2055-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1814603 | PA      | $1597502.16   | 0.03%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8PS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197731 | PA      | $179845.14    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8TA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1076860 | PA      | $851811.10    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1999759 | PA      | $1956247.00   | 0.04%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMXN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    439200 | PA      | $421247.13    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    402554 | PA      | $385495.31    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GR6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3152551 | PA      | $3275915.36   | 0.06%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DT4G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    927795 | PA      | $945099.70    | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123827 | PA      | $117532.05    | 0.00%             | 2041-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140GQ6H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227148 | PA      | $205282.46    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9AN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    542036 | PA      | $493872.54    | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWM91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109174 | PA      | $100106.75    | 0.00%             | 2054-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WQAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1017018 | PA      | $910403.72    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241K5P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139512 | PA      | $140910.03    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9KS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    920926 | PA      | $869463.72    | 0.02%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1161682 | PA      | $1118809.63   | 0.02%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WP85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46130 | PA      | $35051.32     | 0.00%             | 2051-10-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140A4XM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439694 | PA      | $436177.14    | 0.01%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1006304 | PA      | $874493.76    | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    176000 | PA      | $172166.08    | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYV63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1173357 | PA      | $952392.60    | 0.02%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YMM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7870587 | PA      | $8053561.50   | 0.16%             | 2053-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7727470 | PA      | $6323317.31   | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    251331 | PA      | $241307.01    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJHE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    882521 | PA      | $858362.77    | 0.02%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5202068 | PA      | $4603149.03   | 0.09%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E2E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8450241 | PA      | $8544801.17   | 0.17%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9993711 | PA      | $8540858.49   | 0.17%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140H1VX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374908 | PA      | $350962.50    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    276381 | PA      | $261105.04    | 0.01%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9VH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67631 | PA      | $64902.36     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14798703 | PA      | $11907072.77  | 0.23%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8H83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    977597 | PA      | $905224.07    | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FJP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59733 | PA      | $56691.93     | 0.00%             | 2040-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSUK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257245 | PA      | $256647.28    | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBLL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    638562 | PA      | $554405.14    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0AY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    753097 | PA      | $763883.92    | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    570129 | PA      | $515972.71    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9446507 | PA      | $7595644.56   | 0.15%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4601103 | PA      | $3822398.76   | 0.08%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58881 | PA      | $53360.26     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A5FX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     58777 | PA      | $56501.36     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    783805 | PA      | $809107.99    | 0.02%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580556 | PA      | $501714.42    | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGYK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    718748 | PA      | $570005.17    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YHV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2041973 | PA      | $2104924.87   | 0.04%             | 2053-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1081760 | PA      | $980192.33    | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EKG74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    697549 | PA      | $646028.18    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CWMC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231695 | PA      | $223087.40    | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64108 | PA      | $61946.71     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4139867 | PA      | $3526291.25   | 0.07%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5956120 | PA      | $5193878.84   | 0.10%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66464 | PA      | $58460.16     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNFP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1595172 | PA      | $1432561.40   | 0.03%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GS7G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1418365 | PA      | $1411969.86   | 0.03%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6BH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2124745 | PA      | $1868957.27   | 0.04%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179046 | PA      | $174080.58    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMSG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723591 | PA      | $724929.32    | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1441148 | PA      | $1313093.04   | 0.03%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X5P31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118026 | PA      | $105653.29    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117994 | PA      | $120083.51    | 0.00%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NX78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74640 | PA      | $72761.66     | 0.00%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNEN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1464366 | PA      | $1266127.69   | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5629741 | PA      | $4724762.27   | 0.09%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0XN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    610729 | PA      | $609823.84    | 0.01%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJV72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     98133 | PA      | $92403.11     | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7365252 | PA      | $7008782.92   | 0.14%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6969693 | PA      | $6936952.28   | 0.14%             | 2054-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    332782 | PA      | $324890.35    | 0.01%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSGC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    942978 | PA      | $978493.32    | 0.02%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1272428 | PA      | $1188487.47   | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0BE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    679712 | PA      | $688354.43    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A16C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    238360 | PA      | $244353.91    | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRKR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1705173 | PA      | $1737690.52   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QB7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    635684 | PA      | $594416.67    | 0.01%             | 2034-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    488381 | PA      | $469323.27    | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    210567 | PA      | $192960.05    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124620 | PA      | $129176.05    | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WJU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    829738 | PA      | $772031.24    | 0.02%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1529490 | PA      | $1385883.97   | 0.03%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6C24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1294158 | PA      | $1258758.00   | 0.02%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133CHNS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97610 | PA      | $94764.01     | 0.00%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106886 | PA      | $101443.93    | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    919515 | PA      | $828305.00    | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ADME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    898408 | PA      | $804357.60    | 0.02%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNZM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130187 | PA      | $136283.97    | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5010451 | PA      | $5089399.87   | 0.10%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133GFBY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78005 | PA      | $68742.38     | 0.00%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    273891 | PA      | $253949.35    | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335AR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435295 | PA      | $398377.68    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6393973 | PA      | $5234111.14   | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    230205 | PA      | $225069.96    | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5HF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180783 | PA      | $163379.97    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2916674 | PA      | $2449561.04   | 0.05%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1350998 | PA      | $1171615.78   | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DR95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444608 | PA      | $394396.46    | 0.01%             | 2035-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AAH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4849988 | PA      | $4951382.79   | 0.10%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQQC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124745 | PA      | $127399.04    | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82807 | PA      | $72834.84     | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1254424 | PA      | $1312039.78   | 0.03%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69250 | PA      | $68397.96     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMNS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    548855 | PA      | $453685.78    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3460900 | PA      | $3373784.39   | 0.07%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2013544 | PA      | $1715924.54   | 0.03%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPSQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1524559 | PA      | $1460726.76   | 0.03%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWKJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2832158 | PA      | $2909580.19   | 0.06%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DPB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    456829 | PA      | $418767.13    | 0.01%             | 2040-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DSM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    573945 | PA      | $522427.00    | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EQYF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2698127 | PA      | $2471843.33   | 0.05%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419ADT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267376 | PA      | $256888.91    | 0.01%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1191052 | PA      | $1051244.77   | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5CZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2935346 | PA      | $2559692.06   | 0.05%             | 2054-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XF6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370042 | PA      | $304541.04    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6T68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    696546 | PA      | $648162.04    | 0.01%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    230293 | PA      | $213941.68    | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8QG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168783 | PA      | $157820.56    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    883768 | PA      | $907190.21    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    870204 | PA      | $741230.00    | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ERQX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123144 | PA      | $119766.17    | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAFA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    436836 | PA      | $400843.25    | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5773325 | PA      | $4847819.56   | 0.10%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5504013 | PA      | $4802498.61   | 0.09%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMHC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    905450 | PA      | $753690.51    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    888797 | PA      | $898350.23    | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    122997 | PA      | $115432.36    | 0.00%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A4XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209087 | PA      | $200991.58    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AUS82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2311863 | PA      | $1920125.23   | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144971 | PA      | $124457.16    | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRJ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931047 | PA      | $937435.65    | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFF87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    588162 | PA      | $531674.55    | 0.01%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2151847 | PA      | $1775470.27   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4H90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    801674 | PA      | $769211.89    | 0.02%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FBJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1250941 | PA      | $1260286.39   | 0.02%             | 2039-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128LXBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67754 | PA      | $69600.51     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBUX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2303637 | PA      | $2149977.18   | 0.04%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Q2A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68874 | PA      | $67113.24     | 0.00%             | 2030-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XF2K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3580476 | PA      | $3135615.23   | 0.06%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KK5P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240826 | PA      | $190104.77    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2206795 | PA      | $2213385.69   | 0.04%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64273 | PA      | $62847.95     | 0.00%             | 2028-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9881929 | PA      | $9592753.23   | 0.19%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    496853 | PA      | $450324.30    | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M5NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79816 | PA      | $81925.23     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1526858 | PA      | $1572597.63   | 0.03%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNNW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396669 | PA      | $327118.67    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8138623 | PA      | $6542940.03   | 0.13%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2470928 | PA      | $2209541.88   | 0.04%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312941NL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58876 | PA      | $58250.51     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJX54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    388175 | PA      | $364328.67    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLVP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    671633 | PA      | $690232.39    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EZR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391404 | PA      | $400533.41    | 0.01%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QN6U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1549398 | PA      | $1326798.66   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XHTE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252686 | PA      | $234045.58    | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2950541 | PA      | $2943690.83   | 0.06%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391581 | PA      | $358171.87    | 0.01%             | 2039-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NH92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    406570 | PA      | $365762.31    | 0.01%             | 2043-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q8QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347590 | PA      | $325013.20    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBYS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2037257 | PA      | $1781533.97   | 0.04%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323913 | PA      | $311060.55    | 0.01%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2285066 | PA      | $1691020.32   | 0.03%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2373583 | PA      | $1927329.61   | 0.04%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1305342 | PA      | $1154439.94   | 0.02%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1067385 | PA      | $875085.35    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NF60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375677 | PA      | $337970.25    | 0.01%             | 2043-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL6L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2005135 | PA      | $1599101.50   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4PF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174293 | PA      | $163921.05    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410700 | PA      | $403435.73    | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D54U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1288495 | PA      | $1200180.27   | 0.02%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13348827 | PA      | $10425997.77  | 0.21%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    564983 | PA      | $518280.61    | 0.01%             | 2041-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D53H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181571 | PA      | $173079.87    | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6BX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    496042 | PA      | $457958.82    | 0.01%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCGW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589073 | PA      | $489497.33    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJW48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    946982 | PA      | $834024.11    | 0.02%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3754952 | PA      | $3274407.84   | 0.06%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJY20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172219 | PA      | $161639.08    | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMCC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170733 | PA      | $173110.70    | 0.00%             | 2049-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    990510 | PA      | $924683.76    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377832 | PA      | $356344.21    | 0.01%             | 2038-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6A83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3395604 | PA      | $2988395.49   | 0.06%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WEBU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186516 | PA      | $170597.94    | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137215 | PA      | $129034.31    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258790 | PA      | $227267.52    | 0.00%             | 2042-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SKZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149622 | PA      | $143326.54    | 0.00%             | 2031-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KRMX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122156 | PA      | $121945.37    | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAEN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51649 | PA      | $50802.44     | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LTJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114694 | PA      | $106223.14    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620AAT81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56608 | PA      | $57145.74     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74387 | PA      | $68204.13     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    731060 | PA      | $587851.85    | 0.01%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M5H45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107586 | PA      | $112432.70    | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLR24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2105051 | PA      | $1830617.40   | 0.04%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHCK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1198549 | PA      | $1032981.76   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XYRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    210669 | PA      | $205785.92    | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M8Z72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210252 | PA      | $211565.46    | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    438166 | PA      | $385900.57    | 0.01%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACS27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1516769 | PA      | $1379187.64   | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YWKG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    176891 | PA      | $171947.01    | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Q6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280003 | PA      | $247634.16    | 0.00%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140W1LE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10207399 | PA      | $9292835.35   | 0.18%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AKN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    451129 | PA      | $433984.57    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86368 | PA      | $84436.58     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    912232 | PA      | $848024.22    | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FJ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571949 | PA      | $580165.87    | 0.01%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJTB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622707 | PA      | $619462.63    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MAV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3936573 | PA      | $3899463.83   | 0.08%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13807336 | PA      | $10799101.84  | 0.21%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFNQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4972141 | PA      | $4146913.23   | 0.08%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AMZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499361 | PA      | $479860.71    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114292 | PA      | $104844.00    | 0.00%             | 2041-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FEM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114828 | PA      | $113871.55    | 0.00%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KHSV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149919 | PA      | $130028.19    | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2782559 | PA      | $2775317.65   | 0.05%             | 2053-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WBZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3278394 | PA      | $2866292.19   | 0.06%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419AGU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87358 | PA      | $87834.16     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138XBXV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128683 | PA      | $122300.27    | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    709984 | PA      | $713270.69    | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWKK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1437814 | PA      | $1499153.91   | 0.03%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NX60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222876 | PA      | $211326.77    | 0.00%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MGHP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3331795 | PA      | $2593362.69   | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUTB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1849843 | PA      | $1910524.62   | 0.04%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1640696 | PA      | $1485578.05   | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTWP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2038403 | PA      | $2033615.62   | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMH58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189524 | PA      | $197756.80    | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13650480 | PA      | $10981099.34  | 0.22%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    912045 | PA      | $807145.16    | 0.02%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAAE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232012 | PA      | $228652.63    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417D2J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568194 | PA      | $511351.70    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2406495 | PA      | $2161636.94   | 0.04%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XWEZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    548174 | PA      | $496102.96    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5452282 | PA      | $5516209.24   | 0.11%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242869 | PA      | $206891.48    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3952212 | PA      | $3280881.48   | 0.06%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XA5Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145110 | PA      | $139352.02    | 0.00%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    256312 | PA      | $244469.90    | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KJX98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    999972 | PA      | $796728.20    | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BXB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190855 | PA      | $183118.76    | 0.00%             | 2035-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UXS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3738039 | PA      | $3275450.68   | 0.06%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QYT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63091 | PA      | $59604.15     | 0.00%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    871558 | PA      | $691212.42    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NBPW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    933390 | PA      | $945403.20    | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ERA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260911 | PA      | $264109.94    | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBB23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177307 | PA      | $160159.01    | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJGC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    787491 | PA      | $748856.93    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144280 | PA      | $132318.26    | 0.00%             | 2044-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XN5J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365023 | PA      | $302734.72    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9YB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1114157 | PA      | $925258.03    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XXG62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102409 | PA      | $96037.40     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    819197 | PA      | $717414.88    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KR5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87462 | PA      | $88948.91     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SEK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108636 | PA      | $105901.32    | 0.00%             | 2046-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XD6D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622394 | PA      | $515223.14    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QAVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    530793 | PA      | $477739.12    | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4656683 | PA      | $4058441.20   | 0.08%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ERN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1424757 | PA      | $1426038.19   | 0.03%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36178GJ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63794 | PA      | $60227.04     | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7JP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483352 | PA      | $459784.42    | 0.01%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31412RMM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154030 | PA      | $148066.34    | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1258310 | PA      | $1229078.39   | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LUSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    112458 | PA      | $104151.41    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101097 | PA      | $92643.86     | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1137230 | PA      | $942737.96    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6GC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    584555 | PA      | $598058.70    | 0.01%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BPG51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1096389 | PA      | $1066968.03   | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MAX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405156 | PA      | $371730.23    | 0.01%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    196398 | PA      | $176750.67    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147631 | PA      | $133781.12    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BNP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74948 | PA      | $70883.46     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    363805 | PA      | $333493.41    | 0.01%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5GM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2485036 | PA      | $2345902.52   | 0.05%             | 2055-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1325424 | PA      | $1136639.75   | 0.02%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    734724 | PA      | $672502.49    | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84040 | PA      | $79767.64     | 0.00%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QCKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317849 | PA      | $274645.69    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4229423 | PA      | $4279986.91   | 0.08%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LVLT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113491 | PA      | $105111.04    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183744 | PA      | $168980.19    | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MR37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3462867 | PA      | $2737946.66   | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    960566 | PA      | $850028.57    | 0.02%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SA67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    346277 | PA      | $312063.28    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J6GR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267082 | PA      | $249004.55    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    271047 | PA      | $255221.28    | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ3N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550995 | PA      | $498655.95    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FG84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    536561 | PA      | $532092.39    | 0.01%             | 2045-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55068 | PA      | $48119.14     | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0NM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    756057 | PA      | $774644.78    | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A3C24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233302 | PA      | $234895.99    | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCST6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    802442 | PA      | $593831.91    | 0.01%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MRLE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320767 | PA      | $288677.68    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5773801 | PA      | $4642306.98   | 0.09%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1078788 | PA      | $976314.08    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KJMA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140441 | PA      | $111605.39    | 0.00%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QP2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56230 | PA      | $51826.05     | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EXT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115522 | PA      | $112118.07    | 0.00%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403DQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71408 | PA      | $72130.77     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X5NT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310684 | PA      | $290219.71    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196317 | PA      | $180499.05    | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KHS36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518079 | PA      | $424097.82    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8079643 | PA      | $5983399.95   | 0.12%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410LV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68236 | PA      | $61838.08     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8P68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226565 | PA      | $215826.91    | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7779173 | PA      | $6384911.77   | 0.13%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y5L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9493608 | PA      | $9437376.24   | 0.19%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MF4U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183429 | PA      | $168592.46    | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1568338 | PA      | $1510457.28   | 0.03%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236378 | PA      | $174908.53    | 0.00%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WRS43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316574 | PA      | $292985.73    | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    572252 | PA      | $539678.10    | 0.01%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YW42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1722615 | PA      | $1672205.61   | 0.03%             | 2054-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4V94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106639 | PA      | $101586.51    | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1238813 | PA      | $981774.44    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102065 | PA      | $104240.72    | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1169050 | PA      | $967179.20    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CHG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399495 | PA      | $373180.77    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    672574 | PA      | $684361.22    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMT52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156212 | PA      | $150501.64    | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71314 | PA      | $72187.89     | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWLV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    840868 | PA      | $863154.00    | 0.02%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12312522 | PA      | $9602303.98   | 0.19%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335ALZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    677592 | PA      | $638121.14    | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q7HV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59882 | PA      | $57463.98     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWK85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    688431 | PA      | $666834.67    | 0.01%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEJ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    766927 | PA      | $734389.12    | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    572110 | PA      | $563317.68    | 0.01%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335AGA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65517 | PA      | $60719.60     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV4E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2257209 | PA      | $1867597.12   | 0.04%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WLM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238744 | PA      | $181342.80    | 0.00%             | 2051-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E03P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2145688 | PA      | $2252971.97   | 0.04%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JAD21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1144044 | PA      | $1042388.79   | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371118 | PA      | $338142.17    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5031986 | PA      | $4820310.54   | 0.09%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YW75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    258754 | PA      | $264384.82    | 0.01%             | 2054-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1764867 | PA      | $1560940.88   | 0.03%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47128 | PA      | $48227.63     | 0.00%             | 2039-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4696790 | PA      | $3893167.51   | 0.08%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417FL22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209230 | PA      | $204656.53    | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6GS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201651 | PA      | $199190.57    | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1691711 | PA      | $1475212.28   | 0.03%             | 2052-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KY4H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380345 | PA      | $377177.76    | 0.01%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ADVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118429 | PA      | $110864.58    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2947714 | PA      | $2923667.30   | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12133562 | PA      | $12022070.57  | 0.24%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2773313 | PA      | $2877763.71   | 0.06%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7217140 | PA      | $5340909.93   | 0.11%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJWP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    706595 | PA      | $622311.58    | 0.01%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSZ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1111066 | PA      | $1124348.65   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EBK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92392 | PA      | $81109.14     | 0.00%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYTE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374454 | PA      | $343255.34    | 0.01%             | 2040-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790972 | PA      | $781560.58    | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2388467 | PA      | $1954302.55   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    368290 | PA      | $353924.90    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3129413E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61971 | PA      | $61311.45     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    924552 | PA      | $764505.57    | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EBPJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176576 | PA      | $158911.50    | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1505641 | PA      | $1528127.66   | 0.03%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9832780 | PA      | $8251957.11   | 0.16%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KL2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2068595 | PA      | $1689633.87   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0EQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2645146 | PA      | $2739838.99   | 0.05%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111771 | PA      | $101104.00    | 0.00%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242804 | PA      | $233478.42    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WET66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    338621 | PA      | $297840.55    | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJS43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1429708 | PA      | $1324543.18   | 0.03%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP4C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1235155 | PA      | $1228161.21   | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YHU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201781 | PA      | $177480.54    | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1809948 | PA      | $1806934.16   | 0.04%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQUE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486998 | PA      | $460197.60    | 0.01%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138896 | PA      | $128613.26    | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118825 | PA      | $94140.53     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1069753 | PA      | $997346.35    | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BZ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     69346 | PA      | $66423.65     | 0.00%             | 2036-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GSFQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2619244 | PA      | $2651873.54   | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50930 | PA      | $51310.08     | 0.00%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8537091 | PA      | $7169193.41   | 0.14%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132WPRL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1541969 | PA      | $1395497.52   | 0.03%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7140085 | PA      | $7102881.77   | 0.14%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EJEW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172032 | PA      | $165932.90    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830222 | PA      | $866436.40    | 0.02%             | 2053-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QS3Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1229656 | PA      | $1220123.79   | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146859 | PA      | $148537.22    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6968019 | PA      | $6675817.91   | 0.13%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2986576 | PA      | $2607534.70   | 0.05%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2257284 | PA      | $2007538.33   | 0.04%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4JH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369603 | PA      | $355264.58    | 0.01%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KHFY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567943 | PA      | $490745.98    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7YS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510901 | PA      | $473078.02    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9C29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1227992 | PA      | $1144874.60   | 0.02%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XX35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1650736 | PA      | $1524152.45   | 0.03%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4486117 | PA      | $4196097.78   | 0.08%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KL2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3066306 | PA      | $2413011.07   | 0.05%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5007317 | PA      | $4167658.62   | 0.08%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E0RA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329604 | PA      | $305204.26    | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418B2L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162403 | PA      | $147177.20    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YRF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1523333 | PA      | $1444895.71   | 0.03%             | 2054-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FKP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49281 | PA      | $49693.37     | 0.00%             | 2040-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1699973 | PA      | $1585535.06   | 0.03%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4627337 | PA      | $4507521.15   | 0.09%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CEP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    238519 | PA      | $218698.10    | 0.00%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1147836 | PA      | $1198852.04   | 0.02%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPF37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1874651 | PA      | $1877910.59   | 0.04%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQJ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137277 | PA      | $134608.86    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1798270 | PA      | $1634219.40   | 0.03%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GQGK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1323657 | PA      | $1366592.32   | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2324356 | PA      | $2078833.49   | 0.04%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7HL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4452049 | PA      | $4275399.57   | 0.08%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417DZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77734 | PA      | $67888.23     | 0.00%             | 2042-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPY36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97013 | PA      | $89834.24     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417YVG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98198 | PA      | $94395.84     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM3V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3506414 | PA      | $3027377.71   | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y5M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7776870 | PA      | $7871429.82   | 0.15%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MLVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60062 | PA      | $58804.03     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CZ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207162 | PA      | $200903.82    | 0.00%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6129877 | PA      | $5347647.04   | 0.11%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSAT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1776727 | PA      | $1728204.60   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ALT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89487 | PA      | $86055.38     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FHY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1083789 | PA      | $1073554.34   | 0.02%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8BC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    881534 | PA      | $761819.39    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3180970 | PA      | $3002155.75   | 0.06%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SAH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105849 | PA      | $95390.41     | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EPAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90664 | PA      | $89057.47     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419AG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213061 | PA      | $210525.64    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6665075 | PA      | $6492495.46   | 0.13%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    480920 | PA      | $445903.82    | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJNJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61085 | PA      | $60435.86     | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130884 | PA      | $116083.28    | 0.00%             | 2040-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EUJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192417 | PA      | $200625.77    | 0.00%             | 2053-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    117741 | PA      | $118382.29    | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5763774 | PA      | $4262338.79   | 0.08%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3617KJKR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110901 | PA      | $99991.55     | 0.00%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLEG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126815 | PA      | $125864.19    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9NY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    782840 | PA      | $688562.47    | 0.01%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ6V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1928717 | PA      | $1969826.65   | 0.04%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV5C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96247 | PA      | $79633.82     | 0.00%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417WKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54978 | PA      | $55250.21     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQGP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4440609 | PA      | $3888880.26   | 0.08%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6618079 | PA      | $6419378.64   | 0.13%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2939119 | PA      | $2912521.45   | 0.06%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EG5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77362 | PA      | $80744.08     | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUK30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1905313 | PA      | $1987061.60   | 0.04%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XJ4Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1713754 | PA      | $1587135.63   | 0.03%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKZR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383894 | PA      | $302707.00    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139412 | PA      | $135117.36    | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86555 | PA      | $88914.04     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVME2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2774437 | PA      | $2649002.32   | 0.05%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A8SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169252 | PA      | $159970.44    | 0.00%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQFY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    551647 | PA      | $553321.93    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1085586 | PA      | $912387.87    | 0.02%             | 2050-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLVK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196852 | PA      | $200557.08    | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCAY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2982344 | PA      | $2689838.19   | 0.05%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202F2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    757726 | PA      | $695090.73    | 0.01%             | 2042-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQNH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2541935 | PA      | $2405354.99   | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EV72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711541 | PA      | $690442.62    | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    891233 | PA      | $879092.18    | 0.02%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36230UDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105265 | PA      | $96644.62     | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NLUF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233086 | PA      | $226379.64    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BVK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243895 | PA      | $233997.42    | 0.00%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSD25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128162 | PA      | $133426.70    | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CWFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213530 | PA      | $204598.40    | 0.00%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KXQG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343496 | PA      | $285305.98    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15195931 | PA      | $11904030.71  | 0.23%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    848857 | PA      | $804733.63    | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDLQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67924 | PA      | $66254.71     | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1871226 | PA      | $1770683.83   | 0.03%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    381553 | PA      | $316465.31    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSZR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2217861 | PA      | $2199197.69   | 0.04%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4261451 | PA      | $4254163.84   | 0.08%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    402281 | PA      | $378319.34    | 0.01%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9YF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1625239 | PA      | $1347286.97   | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQD38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1733102 | PA      | $1766537.36   | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3131XWZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397854 | PA      | $373102.15    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    536707 | PA      | $446376.40    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EJ3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119588 | PA      | $117180.46    | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GKZQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1739401 | PA      | $1679906.14   | 0.03%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YU69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16215881 | PA      | $16141838.59  | 0.32%             | 2054-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJQX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93462 | PA      | $86653.94     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    502206 | PA      | $448565.67    | 0.01%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132GDCR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54482 | PA      | $52612.92     | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GQSX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1288812 | PA      | $1356347.78   | 0.03%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335BFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    658874 | PA      | $590539.40    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71036 | PA      | $64035.04     | 0.00%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJU81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    115437 | PA      | $109354.13    | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M8J87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219821 | PA      | $197830.37    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQEW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    493546 | PA      | $491238.17    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292JBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229133 | PA      | $235379.00    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    472639 | PA      | $416261.94    | 0.01%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M76A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239915 | PA      | $237360.52    | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417VQW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214197 | PA      | $211722.45    | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6DW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    726250 | PA      | $726902.63    | 0.01%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNEU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3486252 | PA      | $2722575.09   | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTBE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1457684 | PA      | $1423821.21   | 0.03%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FP83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62178 | PA      | $62698.05     | 0.00%             | 2041-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15742929 | PA      | $11644715.22  | 0.23%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPHU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102715 | PA      | $91938.14     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    754813 | PA      | $655101.31    | 0.01%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EDH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1386375 | PA      | $1279938.17   | 0.03%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDJE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60499 | PA      | $55440.32     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8ZE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112630 | PA      | $98636.02     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2372914 | PA      | $2077559.67   | 0.04%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5166570 | PA      | $4238964.68   | 0.08%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XL6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2180177 | PA      | $1720755.95   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179612 | PA      | $169532.40    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    821537 | PA      | $720384.16    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EPTZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92672 | PA      | $90413.85     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BMRA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1027666 | PA      | $999174.20    | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3439423 | PA      | $3407132.17   | 0.07%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2683223 | PA      | $2211139.36   | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4310979 | PA      | $4201629.38   | 0.08%             | 2053-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    590589 | PA      | $560566.74    | 0.01%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J6DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163963 | PA      | $155829.43    | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5758006 | PA      | $4866930.93   | 0.10%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416753 | PA      | $415032.00    | 0.01%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1331906 | PA      | $1207177.44   | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAFS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88764 | PA      | $87850.75     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135511 | PA      | $140292.01    | 0.00%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMU76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    246301 | PA      | $238923.52    | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6FA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262337 | PA      | $266220.40    | 0.01%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418B3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182258 | PA      | $165170.73    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFZ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1300191 | PA      | $1033527.62   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4165179 | PA      | $4129655.06   | 0.08%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NATX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253782 | PA      | $261507.37    | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XN6Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62876 | PA      | $54211.35     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631350 | PA      | $627603.00    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1932068 | PA      | $1527083.45   | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDT27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346451 | PA      | $327776.19    | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FH26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18149 | PA      | $18643.81     | 0.00%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMQ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58207 | PA      | $56462.56     | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6G46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1303741 | PA      | $1322355.95   | 0.03%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1750112 | PA      | $1674246.35   | 0.03%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X74Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3015979 | PA      | $2641254.63   | 0.05%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    235424 | PA      | $206437.17    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YRJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9946805 | PA      | $10103536.02  | 0.20%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148134 | PA      | $138563.74    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W9GP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118188 | PA      | $105797.96    | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299344 | PA      | $285157.12    | 0.01%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    686556 | PA      | $603990.62    | 0.01%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMMZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    695551 | PA      | $707373.52    | 0.01%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5921557 | PA      | $5991441.09   | 0.12%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61945 | PA      | $55748.23     | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q75Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338965 | PA      | $306335.13    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RBZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63401 | PA      | $61805.07     | 0.00%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1466225 | PA      | $1294221.10   | 0.03%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1579292 | PA      | $1421439.70   | 0.03%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140E2FY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303208 | PA      | $294843.10    | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KY4L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1445174 | PA      | $1398854.15   | 0.03%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5176580 | PA      | $4254419.03   | 0.08%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9T20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312603 | PA      | $254412.30    | 0.01%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XB4Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1405735 | PA      | $1210297.04   | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10040824 | PA      | $8559630.72   | 0.17%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31371LCE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129881 | PA      | $133184.87    | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59325 | PA      | $53581.29     | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5081686 | PA      | $4610343.61   | 0.09%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTAF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    469825 | PA      | $487431.54    | 0.01%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132QWMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148614 | PA      | $134866.48    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    491550 | PA      | $459122.87    | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416719 | PA      | $395535.28    | 0.01%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KSDC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    871323 | PA      | $894050.11    | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    450525 | PA      | $427347.30    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179ME30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    692769 | PA      | $635615.75    | 0.01%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2112162 | PA      | $1677827.60   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPX86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    714000 | PA      | $697885.29    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VSK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1092270 | PA      | $1016305.17   | 0.02%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ES35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    846718 | PA      | $800085.66    | 0.02%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4137867 | PA      | $4250982.18   | 0.08%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    511016 | PA      | $452438.53    | 0.01%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EFA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470899 | PA      | $423954.56    | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1821876 | PA      | $1606765.20   | 0.03%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7NS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    858246 | PA      | $801714.54    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP6X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1334576 | PA      | $1299577.34   | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6991285 | PA      | $6101828.70   | 0.12%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1959772 | PA      | $1609436.06   | 0.03%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUZ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2020800 | PA      | $1957466.20   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWNM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2358841 | PA      | $2384881.73   | 0.05%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5DK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    413544 | PA      | $363740.64    | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291173 | PA      | $287156.73    | 0.01%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDV65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    131820 | PA      | $120797.78    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28883251 | PA      | $22651048.05  | 0.45%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBF47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1088180 | PA      | $983428.62    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201994 | PA      | $175453.60    | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YYV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4976309 | PA      | $4830687.32   | 0.10%             | 2054-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8DJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    603714 | PA      | $565299.15    | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128LXAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72533 | PA      | $74512.84     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTLC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4180292 | PA      | $4325814.88   | 0.09%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1762543 | PA      | $1431169.68   | 0.03%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8L96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1048742 | PA      | $979985.60    | 0.02%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRH55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    903112 | PA      | $916115.38    | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    166644 | PA      | $173930.07    | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5EU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86542 | PA      | $78852.16     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQLB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1345697 | PA      | $1365208.11   | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9AL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197428 | PA      | $153558.31    | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179V4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    718556 | PA      | $647735.38    | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71556 | PA      | $70620.84     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XASU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    601360 | PA      | $594205.12    | 0.01%             | 2046-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1987787 | PA      | $1841532.59   | 0.04%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMWZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91704 | PA      | $88297.54     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV7J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6481742 | PA      | $5093715.28   | 0.10%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2448262 | PA      | $2283451.39   | 0.04%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M3SP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70634 | PA      | $65405.12     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQGK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2536859 | PA      | $2516163.98   | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427MUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1078722 | PA      | $1097391.15   | 0.02%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJUN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    145833 | PA      | $138148.78    | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6001803 | PA      | $5430115.71   | 0.11%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335AHP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1811577 | PA      | $1659086.38   | 0.03%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M8GX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86155 | PA      | $89879.12     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7FU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356861 | PA      | $296161.54    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316316 | PA      | $286126.41    | 0.01%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2882352 | PA      | $2134085.52   | 0.04%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2766414 | PA      | $2502673.13   | 0.05%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKYK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4226148 | PA      | $3341987.96   | 0.07%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EE48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4055063 | PA      | $3603860.60   | 0.07%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ENQ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310693 | PA      | $306122.75    | 0.01%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFY54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1827752 | PA      | $1443906.97   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138E6VF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103581 | PA      | $99908.86     | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140L4GT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300094 | PA      | $237100.35    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72544 | PA      | $67726.16     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140E9KR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101050 | PA      | $98061.71     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XM6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2265722 | PA      | $1806972.15   | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMWR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274083 | PA      | $264202.86    | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CKS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     56259 | PA      | $54773.20     | 0.00%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179ME48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160613 | PA      | $152476.21    | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5GP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8978929 | PA      | $8922070.13   | 0.18%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4760375 | PA      | $3744554.56   | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2925893 | PA      | $2585572.08   | 0.05%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1284025 | PA      | $1233077.01   | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ETS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826639 | PA      | $823594.08    | 0.02%             | 2043-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7091565 | PA      | $6887904.36   | 0.14%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M8J61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77028 | PA      | $69321.79     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111524 | PA      | $104672.91    | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MRKQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330496 | PA      | $305977.05    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108048 | PA      | $109141.95    | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJTA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     77816 | PA      | $69747.53     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XK2L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1335363 | PA      | $1326612.89   | 0.03%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EH3V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237370 | PA      | $233634.79    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EDJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57305 | PA      | $54045.89     | 0.00%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140GYG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126761 | PA      | $118565.93    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    541768 | PA      | $556786.74    | 0.01%             | 2054-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CJU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282530 | PA      | $271130.29    | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    201117 | PA      | $190163.94    | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AD3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1466228 | PA      | $1412503.40   | 0.03%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2837802 | PA      | $2661318.28   | 0.05%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    901763 | PA      | $841834.66    | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGGZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109784 | PA      | $103238.53    | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MTHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181816 | PA      | $164172.46    | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AUTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1671634 | PA      | $1321934.77   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QF4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540304 | PA      | $441443.43    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7765476 | PA      | $6951297.63   | 0.14%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWH48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1523880 | PA      | $1565538.36   | 0.03%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335BZX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295870 | PA      | $292670.65    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KHW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156775 | PA      | $140990.43    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DLL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205876 | PA      | $191849.97    | 0.00%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTTL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2909630 | PA      | $2900618.59   | 0.06%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292HX41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67044 | PA      | $68835.30     | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPYY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    963145 | PA      | $914663.70    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AA4M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    700167 | PA      | $616416.60    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3230538 | PA      | $2921874.35   | 0.06%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    740234 | PA      | $609744.67    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X5CK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1472269 | PA      | $1276935.79   | 0.03%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFKD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323489 | PA      | $255641.04    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRLM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1619960 | PA      | $1609204.51   | 0.03%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1050908 | PA      | $986824.68    | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4336866 | PA      | $3854307.31   | 0.08%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GSPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2100235 | PA      | $2177013.62   | 0.04%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9N34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1861722 | PA      | $1649465.34   | 0.03%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825718 | PA      | $799815.99    | 0.02%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241KYZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128687 | PA      | $130474.91    | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8HD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185145 | PA      | $178046.83    | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMRQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1152164 | PA      | $992939.43    | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1881440 | PA      | $1589580.49   | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPM62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1246633 | PA      | $1246934.04   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112477 | PA      | $108387.12    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2568212 | PA      | $2556478.93   | 0.05%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    797809 | PA      | $751228.26    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYW47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    886686 | PA      | $823208.24    | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140EUDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2214887 | PA      | $2029131.74   | 0.04%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1444700 | PA      | $1391382.18   | 0.03%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150921 | PA      | $145296.52    | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1081397 | PA      | $951213.24    | 0.02%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVKV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2494570 | PA      | $2257580.71   | 0.04%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHJE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3753369 | PA      | $3476205.35   | 0.07%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D54K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    663218 | PA      | $618286.01    | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2452637 | PA      | $2435126.75   | 0.05%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VTY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690114 | PA      | $622097.14    | 0.01%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1762066 | PA      | $1786819.16   | 0.04%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFFQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176869 | PA      | $144412.54    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XH4K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447785 | PA      | $355238.50    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175305 | PA      | $169924.48    | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1702136 | PA      | $1259237.83   | 0.02%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8UB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263499 | PA      | $230760.00    | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5MP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250000 | PA      | $242664.66    | 0.00%             | 2055-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VXY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2165474 | PA      | $1819317.84   | 0.04%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465090 | PA      | $479353.13    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    483443 | PA      | $370563.97    | 0.01%             | 2051-06-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W5E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1438192 | PA      | $1327335.26   | 0.03%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1834258 | PA      | $1544323.07   | 0.03%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2756121 | PA      | $2427514.13   | 0.05%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161043 | PA      | $158710.72    | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEJ72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1466472 | PA      | $1316562.44   | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TPU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95687 | PA      | $92132.68     | 0.00%             | 2033-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329PZK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84308 | PA      | $81076.48     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417ECJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    113053 | PA      | $101755.91    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1395287 | PA      | $1352903.95   | 0.03%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133CELZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1704814 | PA      | $1725970.29   | 0.03%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSQW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3618504 | PA      | $3003272.30   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2761693 | PA      | $2538312.98   | 0.05%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9VA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54279 | PA      | $52197.83     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XTG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168776 | PA      | $174731.28    | 0.00%             | 2053-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMW41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    499382 | PA      | $480681.50    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417WUE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53683 | PA      | $53062.31     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A2PU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78313 | PA      | $73727.35     | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJ38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4184554 | PA      | $4060269.77   | 0.08%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    428421 | PA      | $378894.02    | 0.01%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2445052 | PA      | $2113006.28   | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2228031 | PA      | $2167785.89   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5230086 | PA      | $4826947.74   | 0.09%             | 2052-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1209796 | PA      | $1241431.08   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BGC71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    470238 | PA      | $457234.86    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P74B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146715 | PA      | $140050.57    | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2281425 | PA      | $2067219.06   | 0.04%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BD3H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    675020 | PA      | $641737.32    | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNBC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112722 | PA      | $103646.92    | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    797280 | PA      | $648866.58    | 0.01%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MRML2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166920 | PA      | $163345.63    | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCTX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1192373 | PA      | $1067375.73   | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMJC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5060639 | PA      | $3962725.79   | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417CDJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    718424 | PA      | $665375.23    | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    459178 | PA      | $418934.15    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103742 | PA      | $99556.13     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66687 | PA      | $61004.44     | 0.00%             | 2044-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    535262 | PA      | $504794.18    | 0.01%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPUP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    710663 | PA      | $693462.53    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6ZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186743 | PA      | $171322.49    | 0.00%             | 2037-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    629075 | PA      | $601247.45    | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410KP65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50953 | PA      | $52278.94     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622AAQH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106092 | PA      | $99879.32     | 0.00%             | 2047-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XH4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1210542 | PA      | $1184069.93   | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    494490 | PA      | $448747.54    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Q6R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80096 | PA      | $78079.96     | 0.00%             | 2045-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2311394 | PA      | $2298634.15   | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73303 | PA      | $67205.37     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36180AAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120809 | PA      | $114134.68    | 0.00%             | 2054-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMRU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170002 | PA      | $147639.55    | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FE78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1861988 | PA      | $1835312.99   | 0.04%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335BM78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    828921 | PA      | $725673.75    | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5JN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114819 | PA      | $107047.02    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ADV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92252 | PA      | $83023.23     | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2836520 | PA      | $2339133.23   | 0.05%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88014 | PA      | $85303.13     | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M5NM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372163 | PA      | $381997.19    | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3732934 | PA      | $3831868.55   | 0.08%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6GK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2125312 | PA      | $1992181.10   | 0.04%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFSN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1893989 | PA      | $1613421.74   | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5675029 | PA      | $4657352.70   | 0.09%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2951253 | PA      | $2871626.24   | 0.06%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AFCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    134277 | PA      | $132166.85    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3536646 | PA      | $3098250.62   | 0.06%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284721 | PA      | $262021.87    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYTV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80572 | PA      | $68825.29     | 0.00%             | 2040-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5GE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    669963 | PA      | $587475.87    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XB7B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351376 | PA      | $318374.43    | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QML69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5167276 | PA      | $4046227.90   | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DS6X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    978015 | PA      | $999052.98    | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8TX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349885 | PA      | $317081.85    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5EU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10308958 | PA      | $10007286.73  | 0.20%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X42R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115605 | PA      | $110595.26    | 0.00%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBMR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3131139 | PA      | $2833673.69   | 0.06%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309430 | PA      | $245808.14    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JAAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60617 | PA      | $58396.11     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132585 | PA      | $125688.18    | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    759272 | PA      | $654931.87    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV4N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    756828 | PA      | $626193.59    | 0.01%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EEPX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59969 | PA      | $55529.06     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    427186 | PA      | $383233.23    | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140JXRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124453 | PA      | $107551.64    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4298109 | PA      | $3888217.57   | 0.08%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305762 | PA      | $276328.75    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164179 | PA      | $143964.20    | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2264756 | PA      | $2295364.80   | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140L0EX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5138268 | PA      | $3997837.81   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUNL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4693362 | PA      | $4752553.70   | 0.09%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179Y5N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    662691 | PA      | $676610.03    | 0.01%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620ASPU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63810 | PA      | $60341.51     | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAX31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2358172 | PA      | $1878875.34   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204915 | PA      | $206445.43    | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQ3C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3561830 | PA      | $3098934.66   | 0.06%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138YR6T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148534 | PA      | $143247.00    | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1118182 | PA      | $1093592.76   | 0.02%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473312 | PA      | $480069.70    | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6DZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    603175 | PA      | $612291.78    | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRFB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1482834 | PA      | $1480114.86   | 0.03%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KR5X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    662799 | PA      | $688613.33    | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ5Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    514161 | PA      | $479991.05    | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    588982 | PA      | $557426.44    | 0.01%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140GYNJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    587563 | PA      | $530810.40    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402CVN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197295 | PA      | $202314.51    | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMT87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9080743 | PA      | $7509873.56   | 0.15%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFWQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1757421 | PA      | $1465111.98   | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TJY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69056 | PA      | $64500.52     | 0.00%             | 2047-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8169767 | PA      | $6859463.17   | 0.13%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417ESX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757408 | PA      | $681636.99    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJTH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185949 | PA      | $176945.30    | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99804 | PA      | $105388.14    | 0.00%             | 2054-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YW67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405050 | PA      | $410142.69    | 0.01%             | 2054-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3246026 | PA      | $2856004.50   | 0.06%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AFB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82365 | PA      | $81068.41     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNRX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    923668 | PA      | $683686.27    | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    449607 | PA      | $477757.19    | 0.01%             | 2053-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132WJUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    173540 | PA      | $152172.39    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X75T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64595 | PA      | $61521.36     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1570043 | PA      | $1608224.50   | 0.03%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJVH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    426046 | PA      | $390943.89    | 0.01%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AA5F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394821 | PA      | $312489.22    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJVC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86002 | PA      | $81470.21     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1264676 | PA      | $1078408.58   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1362516 | PA      | $1314292.45   | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2739272 | PA      | $2415209.53   | 0.05%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419BBM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66096 | PA      | $66455.47     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312942NF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    643252 | PA      | $619167.96    | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14721091 | PA      | $12712950.84  | 0.25%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GQS45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1338683 | PA      | $1397542.72   | 0.03%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MSW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    619021 | PA      | $558714.77    | 0.01%             | 2042-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2453361 | PA      | $2120187.09   | 0.04%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EQJM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183109 | PA      | $174932.37    | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5520245 | PA      | $5468207.50   | 0.11%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMTX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160817 | PA      | $156570.03    | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9UQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2845137 | PA      | $2363641.52   | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73561 | PA      | $74308.68     | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACSU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2785690 | PA      | $2537528.18   | 0.05%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5JW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137809 | PA      | $124292.62    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPW21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559741 | PA      | $575618.61    | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1816209 | PA      | $1545563.67   | 0.03%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132FCJN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6704590 | PA      | $6041971.23   | 0.12%             | 2044-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D57A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3333198 | PA      | $3028874.74   | 0.06%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AZS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227607 | PA      | $220098.35    | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132ACSZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4629037 | PA      | $4202952.33   | 0.08%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X72F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1932046 | PA      | $1801094.78   | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XN2U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106588 | PA      | $105709.37    | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210579 | PA      | $207680.29    | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q7X51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50298 | PA      | $47131.28     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711833 | PA      | $723304.33    | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M96Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    439414 | PA      | $416268.64    | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142980 | PA      | $141831.24    | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3153530 | PA      | $2793011.07   | 0.05%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1491831 | PA      | $1344069.67   | 0.03%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YAR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8889854 | PA      | $8664359.94   | 0.17%             | 2053-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLP77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1496942 | PA      | $1463525.14   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHLA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266534 | PA      | $245408.23    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFJ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    806133 | PA      | $634822.44    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNT85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735703 | PA      | $676701.33    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6JZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371191 | PA      | $346741.60    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1547098 | PA      | $1266066.13   | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SNT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45759 | PA      | $39009.48     | 0.00%             | 2046-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9RL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1028138 | PA      | $931744.57    | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWMC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164006 | PA      | $168352.81    | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BLS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204732 | PA      | $187613.37    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D3J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1077849 | PA      | $924661.16    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJL57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183442 | PA      | $181559.34    | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3575025 | PA      | $3404847.71   | 0.07%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLW38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    845753 | PA      | $824624.53    | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M6NA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206913 | PA      | $212380.51    | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XTC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4977046 | PA      | $4853448.28   | 0.10%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8876525 | PA      | $6973260.76   | 0.14%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4510334 | PA      | $3771406.69   | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BUM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119277 | PA      | $108678.92    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GS4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54244 | PA      | $54142.51     | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406947 | PA      | $368793.93    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3682222 | PA      | $2960274.22   | 0.06%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308768 | PA      | $300351.47    | 0.01%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QEBC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1641264 | PA      | $1363828.63   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8JS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567214 | PA      | $558282.19    | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7GW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361094 | PA      | $334361.55    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJQ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228329 | PA      | $211695.78    | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33245 | PA      | $28510.50     | 0.00%             | 2036-08-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64065 | PA      | $62794.20     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5831949 | PA      | $5823313.45   | 0.11%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3623536 | PA      | $3125586.69   | 0.06%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    594505 | PA      | $540592.46    | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3617K7KJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66939 | PA      | $61573.47     | 0.00%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6BM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753476 | PA      | $725350.21    | 0.01%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620A9VX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118922 | PA      | $117178.96    | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362393 | PA      | $324402.29    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133WCXB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194423 | PA      | $197792.92    | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    198165 | PA      | $187722.79    | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1775923 | PA      | $1774058.06   | 0.03%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    387690 | PA      | $351384.11    | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SA91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    460659 | PA      | $427118.46    | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221757 | PA      | $208548.35    | 0.00%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506733 | PA      | $419544.74    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJQ45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57769 | PA      | $55786.83     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138407 | PA      | $117347.62    | 0.00%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5353218 | PA      | $4187153.49   | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YU36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    241732 | PA      | $222252.89    | 0.00%             | 2054-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AJK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1261922 | PA      | $1214325.13   | 0.02%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    268067 | PA      | $242603.40    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31427M7D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14748925 | PA      | $11574521.37  | 0.23%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1236763 | PA      | $982441.30    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQGC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624989 | PA      | $626548.88    | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3961159 | PA      | $3853510.28   | 0.08%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQLA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77416 | PA      | $73293.17     | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVJ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3043970 | PA      | $2485029.99   | 0.05%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J8CQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161928 | PA      | $158120.61    | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X0Y36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1394166 | PA      | $1248014.91   | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8854057 | PA      | $7119799.41   | 0.14%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138W9AS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     90751 | PA      | $81237.64     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3016425 | PA      | $2987989.99   | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240228 | PA      | $231185.21    | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGRH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6056156 | PA      | $4710446.60   | 0.09%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XDW36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1670606 | PA      | $1316039.69   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWAP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3232733 | PA      | $2658854.81   | 0.05%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X5D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295283 | PA      | $266180.46    | 0.01%             | 2053-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2277571 | PA      | $1975160.43   | 0.04%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    756280 | PA      | $736593.26    | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MLU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58721 | PA      | $57218.51     | 0.00%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133BJQ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1051604 | PA      | $999361.52    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CWMJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    536255 | PA      | $510831.92    | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7568165 | PA      | $6195304.88   | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6GR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3219916 | PA      | $3222735.27   | 0.06%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410LTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    354468 | PA      | $322970.93    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    633509 | PA      | $635660.67    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    705832 | PA      | $665654.51    | 0.01%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179N2L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165332 | PA      | $161170.02    | 0.00%             | 2044-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3848113 | PA      | $3409521.94   | 0.07%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    838474 | PA      | $783161.09    | 0.02%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FEJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200750 | PA      | $202249.53    | 0.00%             | 2040-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVK38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136879 | PA      | $123408.28    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133WKLB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220348 | PA      | $214147.23    | 0.00%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CNT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300475 | PA      | $288351.87    | 0.01%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XG3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4670238 | PA      | $4348699.17   | 0.09%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X6Y66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421230 | PA      | $400337.98    | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQMW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    974865 | PA      | $972957.26    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12943469 | PA      | $10579526.35  | 0.21%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8AC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1666031 | PA      | $1323888.39   | 0.03%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VV23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124636 | PA      | $112291.09    | 0.00%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4XF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    630883 | PA      | $611085.88    | 0.01%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    699519 | PA      | $648566.57    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1389110 | PA      | $1274508.44   | 0.03%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPHD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206783 | PA      | $207455.25    | 0.00%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133C7AF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8951902 | PA      | $8694341.70   | 0.17%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7FZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1187270 | PA      | $1105940.19   | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J5ER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54927 | PA      | $53072.71     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    869744 | PA      | $812368.39    | 0.02%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120718 | PA      | $95072.57     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    713011 | PA      | $645282.25    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4205629 | PA      | $3293211.79   | 0.06%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8SC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    710396 | PA      | $682172.22    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135716 | PA      | $133142.48    | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3EH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    926099 | PA      | $829015.21    | 0.02%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ2V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2193595 | PA      | $1728029.93   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUH41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3471915 | PA      | $3515969.90   | 0.07%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WAF77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90552 | PA      | $86060.49     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5JB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5082587 | PA      | $4797932.50   | 0.09%             | 2055-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416BRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80071 | PA      | $83430.04     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X3FX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79334 | PA      | $77353.44     | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUNS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2601839 | PA      | $2663728.80   | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140KELL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1003518 | PA      | $797975.22    | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYTK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    657703 | PA      | $583531.28    | 0.01%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86434 | PA      | $73632.75     | 0.00%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQBL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5035201 | PA      | $4992050.46   | 0.10%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EK2S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268641 | PA      | $264418.75    | 0.01%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QU2N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3123990 | PA      | $3268968.18   | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CHH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88624 | PA      | $85453.31     | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUHM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2481077 | PA      | $2482603.78   | 0.05%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204951 | PA      | $198869.36    | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    404325 | PA      | $378202.54    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    706362 | PA      | $661755.36    | 0.01%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2741364 | PA      | $2280517.18   | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EKFB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163486 | PA      | $151410.71    | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XWY88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333323 | PA      | $301660.71    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J6EV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433560 | PA      | $451750.24    | 0.01%             | 2041-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5152308 | PA      | $3813268.84   | 0.08%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNGE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7425140 | PA      | $6129444.31   | 0.12%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138NXKJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208374 | PA      | $187528.16    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SSR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160817 | PA      | $151237.56    | 0.00%             | 2046-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EHXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455093 | PA      | $421429.14    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    754138 | PA      | $700825.87    | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622116 | PA      | $581375.79    | 0.01%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUWX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125775 | PA      | $124917.81    | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3319488 | PA      | $3227331.21   | 0.06%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331566 | PA      | $309124.16    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418B5D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1523144 | PA      | $1430117.44   | 0.03%             | 2036-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144810 | PA      | $136993.79    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140M2GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1349328 | PA      | $1069022.54   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X86V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395713 | PA      | $378037.17    | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140Q75V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162193 | PA      | $146572.42    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2809003 | PA      | $2490367.76   | 0.05%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VZT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1387126 | PA      | $1250412.13   | 0.02%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159039 | PA      | $147910.44    | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M83X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161803 | PA      | $155744.76    | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348075 | PA      | $273396.00    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1065953 | PA      | $991580.32    | 0.02%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6EA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71332 | PA      | $70409.67     | 0.00%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31385XEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104905 | PA      | $107573.88    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6UC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376613 | PA      | $340359.52    | 0.01%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VBG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1316189 | PA      | $1185824.81   | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1103626 | PA      | $1002945.45   | 0.02%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82799 | PA      | $84954.15     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBME7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1839922 | PA      | $1649904.45   | 0.03%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36184BZ67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104432 | PA      | $95097.07     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486840 | PA      | $420725.41    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1902903 | PA      | $1554726.38   | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHLZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562638 | PA      | $513354.15    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110970 | PA      | $101769.53    | 0.00%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410FZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76362 | PA      | $79565.94     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5ET8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343625 | PA      | $302242.61    | 0.01%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAEL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133458 | PA      | $131270.31    | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132FCEB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1497346 | PA      | $1342345.47   | 0.03%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7389128 | PA      | $7369898.45   | 0.14%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11064614 | PA      | $8897590.61   | 0.18%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417GT55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180922 | PA      | $167378.73    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLVX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15188799 | PA      | $12536525.87  | 0.25%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6234099 | PA      | $4869951.21   | 0.10%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133WKMY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    939865 | PA      | $913415.20    | 0.02%             | 2038-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    942275 | PA      | $747529.63    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YU44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1648418 | PA      | $1559668.71   | 0.03%             | 2054-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YDL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4377118 | PA      | $4446087.85   | 0.09%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WK3G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626480 | PA      | $587504.91    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LQZS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65046 | PA      | $58538.43     | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2709051 | PA      | $2693628.42   | 0.05%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1925808 | PA      | $1649419.86   | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QYS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5145798 | PA      | $4707300.37   | 0.09%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LXCU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162834 | PA      | $150809.97    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113020 | PA      | $113957.35    | 0.00%             | 2046-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EU73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2590537 | PA      | $2447463.95   | 0.05%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKTH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2131482 | PA      | $1685006.85   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VDQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1207733 | PA      | $1123737.37   | 0.02%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTMY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3836499 | PA      | $3923669.18   | 0.08%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138X6PZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77347 | PA      | $71566.53     | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330820 | PA      | $308428.41    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2257896 | PA      | $1852513.60   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1721893 | PA      | $1507954.39   | 0.03%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M87E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66992 | PA      | $64694.12     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1966345 | PA      | $1803318.41   | 0.04%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EKW35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    131363 | PA      | $137105.81    | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJL24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52512 | PA      | $51973.39     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31385XJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80057 | PA      | $80917.33     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    953777 | PA      | $892156.53    | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRSW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    994521 | PA      | $1009373.64   | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X86H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374230 | PA      | $325474.54    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJRD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315266 | PA      | $285708.42    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A9MQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195653 | PA      | $191867.53    | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M86U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59673 | PA      | $60046.46     | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPYQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309845 | PA      | $285142.81    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X82Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3057999 | PA      | $2665138.80   | 0.05%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49132 | PA      | $49592.13     | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EQKT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152191 | PA      | $143134.50    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5534272 | PA      | $5382790.20   | 0.11%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNGS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1069659 | PA      | $1115292.91   | 0.02%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WDMP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268069 | PA      | $253600.19    | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBPH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1895822 | PA      | $1567642.67   | 0.03%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196316 | PA      | $184837.38    | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410GYD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36114 | PA      | $37692.86     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    875618 | PA      | $853231.91    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DMQE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2506223 | PA      | $2000757.02   | 0.04%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCRF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3220387 | PA      | $2898504.63   | 0.06%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GS6A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    907447 | PA      | $879007.13    | 0.02%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    373236 | PA      | $359461.23    | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP6V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    761928 | PA      | $601369.46    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   2537308 | PA      | $2222057.31   | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KQE28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1286789 | PA      | $1286428.60   | 0.03%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138LYR82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101873 | PA      | $97330.10     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CW5Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    507671 | PA      | $502581.86    | 0.01%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    683418 | PA      | $617434.39    | 0.01%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRBE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1295247 | PA      | $1266582.32   | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KH5M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366095 | PA      | $304819.50    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3331356 | PA      | $2864670.99   | 0.06%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DTBY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121081 | PA      | $125911.31    | 0.00%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WKZA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211409 | PA      | $204185.52    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8157334 | PA      | $7762529.39   | 0.15%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329MUT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152440 | PA      | $136482.04    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QTEN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1429414 | PA      | $1448292.47   | 0.03%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CQH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238250 | PA      | $229140.39    | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369841 | PA      | $334710.12    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615173 | PA      | $579264.84    | 0.01%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8BP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104034 | PA      | $98146.88     | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3451070 | PA      | $3323060.91   | 0.07%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMXF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    481428 | PA      | $462845.21    | 0.01%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWAG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1395227 | PA      | $1147977.74   | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132CXP97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4345530 | PA      | $3825409.90   | 0.08%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117937 | PA      | $119280.53    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D9BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1592196 | PA      | $1462227.13   | 0.03%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DPCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    842151 | PA      | $774351.90    | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36210B4E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79829 | PA      | $80663.45     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201660 | PA      | $183741.16    | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQD51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    573256 | PA      | $558410.09    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    331709 | PA      | $312342.13    | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPKU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1168896 | PA      | $1168624.61   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31416RRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     85656 | PA      | $84666.68     | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132J62G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    155446 | PA      | $140018.69    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CGV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370666 | PA      | $339376.65    | 0.01%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XHDK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6255020 | PA      | $5652892.42   | 0.11%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    786253 | PA      | $784159.15    | 0.02%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QPH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    902424 | PA      | $852544.59    | 0.02%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292HZM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119420 | PA      | $120857.48    | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSZV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1811093 | PA      | $1796822.64   | 0.04%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QAJL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243004 | PA      | $240058.93    | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8EH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229388 | PA      | $181492.12    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XNE91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1407739 | PA      | $1434324.47   | 0.03%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2015867 | PA      | $1641862.82   | 0.03%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KJR38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    418729 | PA      | $332755.26    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV3M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403864 | PA      | $349017.97    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    332555 | PA      | $301412.50    | 0.01%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243110 | PA      | $230305.13    | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418U4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    347878 | PA      | $349772.24    | 0.01%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348836 | PA      | $289042.27    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2202111 | PA      | $2225201.48   | 0.04%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJV56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290632 | PA      | $255964.77    | 0.01%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EHU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102555 | PA      | $98916.44     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKRU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1067480 | PA      | $1068984.82   | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132JNPC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    436152 | PA      | $404069.88    | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYUV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    817885 | PA      | $724131.54    | 0.01%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJRJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113142 | PA      | $104903.84    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269976 | PA      | $272455.43    | 0.01%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133ASYB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    762351 | PA      | $632620.83    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138M8HU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171114 | PA      | $167805.52    | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KKY86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1174874 | PA      | $932056.13    | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQFM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619186 | PA      | $601323.18    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140A1AN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600031 | PA      | $616433.87    | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    521577 | PA      | $487169.33    | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179SSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1492792 | PA      | $1352997.51   | 0.03%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    450677 | PA      | $454444.65    | 0.01%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5293844 | PA      | $5249295.91   | 0.10%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825391 | PA      | $702726.66    | 0.01%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ4M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    463811 | PA      | $445996.18    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QVKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3212631 | PA      | $3128992.93   | 0.06%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10972637 | PA      | $8824496.46   | 0.17%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417AVT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    154109 | PA      | $142700.73    | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV4G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2261901 | PA      | $1871480.01   | 0.04%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4560198 | PA      | $3961029.32   | 0.08%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CU85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    783364 | PA      | $731765.30    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129004 | PA      | $123798.82    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJWJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    395283 | PA      | $348133.09    | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292LGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57547 | PA      | $53359.48     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJMC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51104 | PA      | $51520.05     | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3622A2DX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136061 | PA      | $128665.01    | 0.00%             | 2042-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMQ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133238 | PA      | $130054.69    | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31410LR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    978597 | PA      | $940806.62    | 0.02%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XAGF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665571 | PA      | $529392.48    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418BZZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77253 | PA      | $67949.68     | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36178NF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166052 | PA      | $149390.57    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D56P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3421413 | PA      | $3030269.22   | 0.06%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248534 | PA      | $244714.26    | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9UR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    943656 | PA      | $782389.70    | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767994 | PA      | $739406.53    | 0.01%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QCBE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64935 | PA      | $56319.90     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WPGZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58818 | PA      | $52651.92     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETHC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211266 | PA      | $204912.62    | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XCYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2554775 | PA      | $2109754.36   | 0.04%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152240 | PA      | $135991.28    | 0.00%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417ARY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102653 | PA      | $95053.59     | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8GM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373680 | PA      | $362987.52    | 0.01%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DSZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1861687 | PA      | $1859078.48   | 0.04%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292SAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    751477 | PA      | $677228.22    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMDT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936984 | PA      | $956955.55    | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DNA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281600 | PA      | $262212.62    | 0.01%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5602013 | PA      | $4360428.19   | 0.09%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUEA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5591829 | PA      | $5548960.88   | 0.11%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290113 | PA      | $257306.44    | 0.01%             | 2040-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1682533 | PA      | $1476753.71   | 0.03%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QRBV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    718347 | PA      | $723464.62    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NCPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379037 | PA      | $374133.68    | 0.01%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    803843 | PA      | $743133.84    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YDK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4452008 | PA      | $4440421.37   | 0.09%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6C40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    751928 | PA      | $744386.23    | 0.01%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV5X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1514272 | PA      | $1306648.42   | 0.03%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5JD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4878744 | PA      | $4847849.20   | 0.10%             | 2055-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QBX52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364973 | PA      | $315409.00    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNBK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    718165 | PA      | $595064.71    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKDN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1092258 | PA      | $1062188.72   | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5KS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    798572 | PA      | $710542.74    | 0.01%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFY88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577622 | PA      | $455028.72    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31417CJQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446565 | PA      | $413434.39    | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    279818 | PA      | $253237.99    | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GRVN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2585009 | PA      | $2637345.52   | 0.05%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    501061 | PA      | $495734.97    | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WGRM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436573 | PA      | $409838.92    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QHKB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    989224 | PA      | $808077.73    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ETZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278950 | PA      | $261489.19    | 0.01%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4803136 | PA      | $4432907.15   | 0.09%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A5HY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274777 | PA      | $248325.98    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2300687 | PA      | $2113526.57   | 0.04%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102963 | PA      | $90662.85     | 0.00%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKGP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    947735 | PA      | $964387.11    | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVGP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3734662 | PA      | $3625179.31   | 0.07%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3293233 | PA      | $2842976.31   | 0.06%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XB4Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    787075 | PA      | $717138.35    | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9ZT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    503804 | PA      | $435385.98    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8957438 | PA      | $7516652.53   | 0.15%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    523478 | PA      | $508346.40    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJ2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160141 | PA      | $153894.84    | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XND4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2934623 | PA      | $2708420.12   | 0.05%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780661 | PA      | $707363.82    | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265305 | PA      | $209361.47    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5GN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11254566 | PA      | $10924342.04  | 0.21%             | 2055-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    431571 | PA      | $419407.16    | 0.01%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QMRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1732336 | PA      | $1364668.20   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J7UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183429 | PA      | $176022.26    | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81457 | PA      | $82205.50     | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7UG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705025 | PA      | $673532.96    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LXT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85434 | PA      | $80789.68     | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DS6T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    814228 | PA      | $828465.44    | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1156930 | PA      | $1132673.67   | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9628831 | PA      | $8886634.82   | 0.17%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    606815 | PA      | $536664.89    | 0.01%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MTBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317414 | PA      | $313307.96    | 0.01%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLKE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884339 | PA      | $776181.74    | 0.02%             | 2037-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XPMB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    762873 | PA      | $706357.35    | 0.01%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8QY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    529844 | PA      | $533877.46    | 0.01%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMU92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424414 | PA      | $406902.62    | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLTV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1263061 | PA      | $1264708.77   | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLRC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4574624 | PA      | $3788931.50   | 0.07%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76204 | PA      | $71434.20     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KPAL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    839370 | PA      | $772971.31    | 0.02%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1341826 | PA      | $1155975.36   | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E5R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446889 | PA      | $458733.15    | 0.01%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AEE36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92771 | PA      | $91433.93     | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XFGB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337776 | PA      | $279240.07    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CSD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    514499 | PA      | $489498.61    | 0.01%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31368HNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338260 | PA      | $346954.74    | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKSA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4191302 | PA      | $3659744.05   | 0.07%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226359 | PA      | $222794.99    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QAS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68922 | PA      | $68084.82     | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CDM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84602 | PA      | $76670.14     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMVM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    451938 | PA      | $432665.85    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3277850 | PA      | $2635185.09   | 0.05%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4351813 | PA      | $3629979.10   | 0.07%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329MVA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374584 | PA      | $335316.47    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179USW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    449235 | PA      | $443361.96    | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWLU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2209109 | PA      | $2233683.50   | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31346YXD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228443 | PA      | $189011.77    | 0.00%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228828 | PA      | $217177.54    | 0.00%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132D6AH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165929 | PA      | $153720.72    | 0.00%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2262010 | PA      | $2055654.45   | 0.04%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    701533 | PA      | $690751.27    | 0.01%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FX76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    277449 | PA      | $254514.54    | 0.01%             | 2041-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J9FX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151469 | PA      | $155392.75    | 0.00%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QPSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498164 | PA      | $457706.39    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2103900 | PA      | $1657046.92   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJHD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54922 | PA      | $57396.08     | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XBEU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185779 | PA      | $160180.16    | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 31329KXW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354631 | PA      | $330166.87    | 0.01%             | 2038-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1183573 | PA      | $1177297.13   | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 312946PK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     87550 | PA      | $88096.58     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1033990 | PA      | $933256.58    | 0.02%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1322436 | PA      | $1287014.38   | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620A9PT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60096 | PA      | $59173.03     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31371NP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117333 | PA      | $122462.70    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403318 | PA      | $400586.23    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6251427 | PA      | $5209700.22   | 0.10%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    426403 | PA      | $430719.03    | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    286167 | PA      | $279388.92    | 0.01%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQWN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449094 | PA      | $437486.83    | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132AC3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431486 | PA      | $415676.25    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418B6H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201060 | PA      | $182209.64    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150006 | PA      | $136858.89    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36178WDK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    340057 | PA      | $305935.35    | 0.01%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5152145 | PA      | $4490251.44   | 0.09%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7231844 | PA      | $5637033.67   | 0.11%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6GM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182093 | PA      | $165912.62    | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QSQQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2698804 | PA      | $2732183.84   | 0.05%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X62P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4703513 | PA      | $3926256.08   | 0.08%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDAV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303328 | PA      | $251937.97    | 0.00%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140EU6X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    558201 | PA      | $488846.22    | 0.01%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJW55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    687026 | PA      | $626811.93    | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335BDK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60862 | PA      | $57913.56     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133C66R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8738067 | PA      | $8486658.80   | 0.17%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P8AU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    132396 | PA      | $125253.08    | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7R92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419873 | PA      | $382564.45    | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AJK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55821 | PA      | $54942.17     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XR3K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5504099 | PA      | $5460324.52   | 0.11%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EK82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    930076 | PA      | $943141.19    | 0.02%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLX45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    979233 | PA      | $982565.31    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202EZ93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161857 | PA      | $158675.76    | 0.00%             | 2039-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DP4U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2011293 | PA      | $1733687.19   | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 3620A6DN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93341 | PA      | $91829.62     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128130 | PA      | $126256.96    | 0.00%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XGQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6338972 | PA      | $4692865.94   | 0.09%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100469 | PA      | $997589.08    | 0.02%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X73H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    928324 | PA      | $739391.43    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3129325J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62757 | PA      | $62111.29     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179V7C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120074 | PA      | $92371.16     | 0.00%             | 2051-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82473 | PA      | $81205.54     | 0.00%             | 2041-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1082682 | PA      | $985166.29    | 0.02%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    801592 | PA      | $803122.55    | 0.02%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31292LGN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266823 | PA      | $247402.80    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133AUTB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2334658 | PA      | $1849663.08   | 0.04%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJWW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1548678 | PA      | $1549060.50   | 0.03%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QGLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1517498 | PA      | $1203868.15   | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3279605 | PA      | $2576418.79   | 0.05%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128P7WS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156194 | PA      | $150408.24    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQ2U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1974383 | PA      | $1559177.02   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140MAYX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346055 | PA      | $282853.14    | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138ERUR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287949 | PA      | $278743.08    | 0.01%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQMB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2265364 | PA      | $2261839.21   | 0.04%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQWZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1397967 | PA      | $1420580.25   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265027 | PA      | $239852.41    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0EN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1334685 | PA      | $1388292.80   | 0.03%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1609503 | PA      | $1462673.63   | 0.03%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJLD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61272 | PA      | $61771.54     | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4637415 | PA      | $4630159.97   | 0.09%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GQGV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1775534 | PA      | $1858820.07   | 0.04%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4260921 | PA      | $3491954.66   | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9JM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1138757 | PA      | $1053647.27   | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77135 | PA      | $78016.66     | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    739923 | PA      | $678577.68    | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XEBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4004522 | PA      | $3411310.42   | 0.07%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349484 | PA      | $330167.26    | 0.01%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31374CNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85350 | PA      | $87571.51     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1437703 | PA      | $1242458.79   | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192681 | PA      | $189864.89    | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6XB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399466 | PA      | $387436.66    | 0.01%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQEP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3095987 | PA      | $2664222.43   | 0.05%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310351 | PA      | $293018.58    | 0.01%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A7FQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186854 | PA      | $179634.90    | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XLQT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628651 | PA      | $651826.02    | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMUC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110000 | PA      | $106930.29    | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9SD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258472 | PA      | $260839.71    | 0.01%             | 2045-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146822 | PA      | $148049.75    | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31371M3X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101796 | PA      | $106066.57    | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140J6C47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    609989 | PA      | $586322.26    | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138A8RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423654 | PA      | $408620.80    | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140N7T34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1826823 | PA      | $1728242.11   | 0.03%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X7M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372904 | PA      | $345832.59    | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XF6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2612546 | PA      | $2154471.24   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EGS96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71547 | PA      | $71901.32     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GTL79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1648682 | PA      | $1687072.28   | 0.03%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241LQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113388 | PA      | $111556.82    | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    160866 | PA      | $153745.23    | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70748 | PA      | $69633.82     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10301913 | PA      | $8033850.94   | 0.16%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X97J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240970 | PA      | $229592.78    | 0.00%             | 2038-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WXEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650176 | PA      | $601729.71    | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M4FW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83533 | PA      | $84408.85     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DV6G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239969 | PA      | $229555.29    | 0.00%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418FAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6358094 | PA      | $6526602.50   | 0.13%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9GP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2378471 | PA      | $2093970.87   | 0.04%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TXU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1364185 | PA      | $1236100.33   | 0.02%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31283H4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87773 | PA      | $90165.37     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DUKL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2414951 | PA      | $2413028.00   | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YKT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6828303 | PA      | $6935895.40   | 0.14%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CFV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298311 | PA      | $279624.54    | 0.01%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195377 | PA      | $155613.67    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WJFL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204571 | PA      | $172525.49    | 0.00%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KJ6L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1091852 | PA      | $864169.65    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M83R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1156572 | PA      | $1116979.28   | 0.02%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418D6E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    590378 | PA      | $527274.46    | 0.01%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQCH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2139762 | PA      | $2127644.13   | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418ETT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383418 | PA      | $389094.13    | 0.01%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4393167 | PA      | $3424663.43   | 0.07%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418C4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56224 | PA      | $55398.59     | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XTBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5200367 | PA      | $4117350.59   | 0.08%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XQBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1203928 | PA      | $1228302.97   | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DVGW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2147156 | PA      | $2090842.69   | 0.04%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203253 | PA      | $193619.65    | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179X2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10513057 | PA      | $10495377.87  | 0.21%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWCD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2331838 | PA      | $1999707.65   | 0.04%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MMT94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    499784 | PA      | $485988.35    | 0.01%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X8VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1375523 | PA      | $1273691.12   | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E07E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5166134 | PA      | $5276247.83   | 0.10%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X72B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1330458 | PA      | $1210215.69   | 0.02%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QLBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103535 | PA      | $93710.22     | 0.00%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196289 | PA      | $186117.09    | 0.00%             | 2043-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199136 | PA      | $196000.86    | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    723264 | PA      | $696571.86    | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    345236 | PA      | $335385.73    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MRLL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348132 | PA      | $322359.18    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140M5P90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3668636 | PA      | $3638480.82   | 0.07%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WNG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1006291 | PA      | $902363.04    | 0.02%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DVX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    715177 | PA      | $650101.33    | 0.01%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179QK83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57624 | PA      | $56272.31     | 0.00%             | 2029-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WR42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1033782 | PA      | $927014.42    | 0.02%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418EZ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47000 | PA      | $43106.31     | 0.00%             | 2054-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XJD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    546395 | PA      | $520500.54    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3142GS3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2235903 | PA      | $2217549.20   | 0.04%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0H96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1187360 | PA      | $1218329.99   | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418E2C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417846 | PA      | $405144.26    | 0.01%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3132XCR56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366139 | PA      | $332841.76    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DQHA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    820875 | PA      | $734154.82    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QREQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1014752 | PA      | $1009732.94   | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X6FL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5628279 | PA      | $4896828.84   | 0.10%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140NRM86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281882 | PA      | $273292.41    | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QUP91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    897537 | PA      | $925533.89    | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1474364 | PA      | $1300625.61   | 0.03%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A9SE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    834682 | PA      | $799316.62    | 0.02%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342657 | PA      | $329316.27    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99751 | PA      | $98535.66     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 31335A7L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53528 | PA      | $52976.59     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WFCM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60636 | PA      | $57020.69     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132E0FQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4680749 | PA      | $4641695.63   | 0.09%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XMRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2427727 | PA      | $1922029.23   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202E7G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116342 | PA      | $114055.31    | 0.00%             | 2039-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138NYWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    143672 | PA      | $129298.72    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476708 | PA      | $459114.55    | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KMK46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1473056 | PA      | $1151863.88   | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DLV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    859444 | PA      | $771587.86    | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KRUF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    451271 | PA      | $464300.09    | 0.01%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132A4GH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1446870 | PA      | $1338731.69   | 0.03%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    669427 | PA      | $563612.89    | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QS4B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2193093 | PA      | $2234510.48   | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    507788 | PA      | $474569.53    | 0.01%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QNFY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171963 | PA      | $148455.39    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179WDP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1791144 | PA      | $1376582.86   | 0.03%             | 2051-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138EGGS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69555 | PA      | $68459.95     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138Y3Z87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153984 | PA      | $141175.44    | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    465215 | PA      | $435159.06    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31419ANJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    103317 | PA      | $105972.83    | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202F3M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141675 | PA      | $129963.64    | 0.00%             | 2042-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36202FB39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107014 | PA      | $104910.98    | 0.00%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418DP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68616 | PA      | $65364.48     | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179YU77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2304579 | PA      | $2336924.83   | 0.05%             | 2054-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJTQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342628 | PA      | $326038.84    | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418AUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    333618 | PA      | $318426.50    | 0.01%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179TZ40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    469245 | PA      | $424168.96    | 0.01%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140FPC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206106 | PA      | $186265.80    | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140APBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91060 | PA      | $92180.03     | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179W5A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181067 | PA      | $145566.55    | 0.00%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XKE71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2451833 | PA      | $2452763.17   | 0.05%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16544424 | PA      | $16060283.48  | 0.32%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QASR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71278 | PA      | $68176.89     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WAEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136737 | PA      | $129945.07    | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWBS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000006 | PA      | $3699773.07   | 0.07%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140M7SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4231264 | PA      | $3500695.62   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140X9GM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    975839 | PA      | $859841.46    | 0.02%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121269 | PA      | $112294.87    | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140XC7K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1803315 | PA      | $1489192.70   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139228 | PA      | $143033.86    | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 3618N5MR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2023201.40   | 0.04%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3138WHBS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227293 | PA      | $213055.24    | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10882444 | PA      | $10043618.76  | 0.20%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QFZ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134156 | PA      | $111737.12    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae I Pool                                          | CUSIP: 36241K4M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131417 | PA      | $125580.08    | 0.00%             | 2039-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179R7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    550363 | PA      | $519035.77    | 0.01%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 31418CUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667728 | PA      | $623745.51    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9071160 | PA      | $7299378.83   | 0.14%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128MJVN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    329356 | PA      | $302219.82    | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QQPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544744 | PA      | $556335.65    | 0.01%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                            | CUSIP: 3140QDUL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3105037 | PA      | $2585326.36   | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                      | CUSIP: 3128M96X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395095 | PA      | $375981.75    | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437144 | PA      | $424508.57    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                           | CUSIP: 3132DWJX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1475081 | PA      | $1538010.90   | 0.03%             | 2053-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | Ginnie Mae II Pool                                         | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9293084 | PA      | $8843310.96   | 0.17%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-26

**Name of Applicant:** SCHWAB STRATEGIC TRUST

**Signature:** Dana Smith

**Name of Signer:** Dana Smith

**Title:** CFO