# EDGAR Filing Document

**Accession Number:** 0000837274
**File Stem:** 0002071691-26-003999
**Filing Date:** 2026-2
**Character Count:** 278453
**Document Hash:** 6259d671ba4f7a9b47cb1254dcf53259
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-003999.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0002071691-26-003999

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260225

**DATE AS OF CHANGE**: 20260225

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FRANKLIN TEMPLETON VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000837274

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05583
- **FILM NUMBER:** 26675155

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906
- **BUSINESS PHONE:** 650-312-2000

**MAIL ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FRANKLIN VALUEMARK FUNDS
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FRANKLIN VALUEMARK ANNUITY FUNDS
- **DATE OF NAME CHANGE:** 19881129

## Series and Classes Contracts Data

### FRANKLIN U.S. GOVERNMENT SECURITIES VIP FUND (Series ID: S000007317)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000020102 | Class 1      |  |
| C000020103 | Class 2      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Franklin Templeton Variable Insurance Products Trust

- **b. Investment Company Act file number:** 811-05583

- **c. CIK number of Registrant:** 0000837274

- **d. LEI of Registrant:** 549300PIBKZH7YTTWU55

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

  - **Street Address 1:** One Franklin Parkway

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94403-1906

  - **Telephone number:** 650-312-2000

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

- **a. Name of Series:** Franklin U.S. Government Securities VIP Fund

- **b. EDGAR series identifier (if any):** S000007317

- **c. LEI of Series:** 549300L2E6KSPGTN7F91

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

- **a. Date of fiscal year-end:** 2025-12-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $498402283.14

**Total Liabilities:** $413855.93

**Net Assets:** $497988427.21

**Cash Not Reported:** $27905.87

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -0.01000000 | **1-Year:** -8844.90000000 | **5-Year:** -12528.60000000 | **10-Year:** -61981.67000000 | **30-Year:** -132862.07000000

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

- **3-Month:** -5.06000000 | **1-Year:** -31.35000000 | **5-Year:** -166.71000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000020102 | 0.66%                | 0.56%                | -0.00%               |
| Class ID C000020103 | 0.68%                | 0.48%                | 0.10%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $114321.22               | $1898683.83                                |
| Month 2  | $0.00                    | $1554609.53                                |
| Month 3  | $0.00                    | $-1093488.45                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31283H4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29328 | PA      | $30192.55     | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31283H6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3363 | PA      | $3463.04      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31283HJU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9118 | PA      | $9590.05      | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31283HN43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3534 | PA      | $3716.81      | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31283HR80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20757 | PA      | $21955.84     | 0.00%             | 2031-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31287SFS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5806 | PA      | $6080.46      | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31288CT76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10640 | PA      | $10929.82     | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31288JZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34262 | PA      | $35807.72     | 0.01%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31288JZB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34909 | PA      | $36580.43     | 0.01%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3128K7ND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39044 | PA      | $40449.74     | 0.01%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3128KSCM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42953 | PA      | $44202.94     | 0.01%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3128MJAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158828 | PA      | $165997.98    | 0.03%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3128MJJP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78383 | PA      | $81827.53     | 0.02%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 20 Year                                 | CUSIP: 3128P7SY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    585575 | PA      | $577888.94    | 0.12%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                    | CUSIP: 3128QTEQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    626997 | PA      | $647271.38    | 0.13%             | 2038-05-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                    | CUSIP: 3128S5LY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344460 | PA      | $354690.74    | 0.07%             | 2036-03-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                    | CUSIP: 3128S5VW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    661478 | PA      | $682193.67    | 0.14%             | 2037-06-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31292GV45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2222 | PA      | $2282.25      | 0.00%             | 2028-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12834 | PA      | $13323.22     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40321 | PA      | $41039.47     | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31292HZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37787 | PA      | $39334.65     | 0.01%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31292SBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18680 | PA      | $17835.83     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 312933T95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118019 | PA      | $121566.44    | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3129397F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1229485 | PA      | $1266472.43   | 0.25%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31293PLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       751 | PA      | $780.27       | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31293TF77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       350 | PA      | $364.71       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 312940M30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108587 | PA      | $109596.61    | 0.02%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 312942FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132625 | PA      | $130322.44    | 0.03%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 312942KX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343612 | PA      | $347175.57    | 0.07%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 312945RU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    684595 | PA      | $671546.48    | 0.13%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31296KQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3679 | PA      | $3735.98      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31296MQV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25900 | PA      | $26036.56     | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31296NT72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24351 | PA      | $25051.66     | 0.01%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31296NUK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3579 | PA      | $3646.24      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31296NXA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4808 | PA      | $4911.64      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31296WCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65612 | PA      | $66718.48     | 0.01%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31296WUR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2057 | PA      | $2110.83      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31297ATW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6702 | PA      | $6962.93      | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31297DT40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65616 | PA      | $68632.06     | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31297U6R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37942 | PA      | $39837.55     | 0.01%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31298EZN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5737 | PA      | $5959.45      | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31298MUU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7758 | PA      | $8059.97      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31298PVR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8169 | PA      | $8590.23      | 0.00%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                    | CUSIP: 31300MEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1207742 | PA      | $1256277.38   | 0.25%             | 2040-04-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3132A5EL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6208597 | PA      | $6010670.18   | 1.21%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3132AD3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1864121 | PA      | $1857254.70   | 0.37%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 15 Year                                      | CUSIP: 3132CWPH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 15 Year                                      | CUSIP: 3132D6AU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3132DWC84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12441949 | PA      | $12201281.38  | 2.45%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10944112 | PA      | $11146515.29  | 2.24%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11992917 | PA      | $12016693.77  | 2.41%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3132GFLR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46903 | PA      | $46895.60     | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3132GLJE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    902140 | PA      | $883822.05    | 0.18%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3132J9GM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112805 | PA      | $104508.96    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3133BBSW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3133KKY29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3854300 | PA      | $3166301.78   | 0.64%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                    | CUSIP: 31349URQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40691 | PA      | $41921.19     | 0.01%             | 2037-05-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31361ELT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        98 | PA      | $97.31        | 0.00%             | 2026-06-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 313625FB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        59 | PA      | $59.01        | 0.00%             | 2026-11-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31363EHV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        41 | PA      | $40.79        | 0.00%             | 2029-06-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31368HKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        47 | PA      | $48.72        | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31371KEW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        32 | PA      | $33.20        | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31371LLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1249 | PA      | $1277.72      | 0.00%             | 2033-12-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31371MDT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7996 | PA      | $8364.61      | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31373TVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       560 | PA      | $556.22       | 0.00%             | 2028-10-01      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31374TZQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       155 | PA      | $155.28       | 0.00%             | 2029-07-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31376HYP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       361 | PA      | $361.96       | 0.00%             | 2026-10-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31376J4B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17491 | PA      | $18119.56     | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31376KBG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9492 | PA      | $9629.22      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31376KLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52620 | PA      | $54005.43     | 0.01%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31376XXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       292 | PA      | $292.08       | 0.00%             | 2026-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31378EN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4957 | PA      | $5109.91      | 0.00%             | 2037-08-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31378QHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1322 | PA      | $1332.87      | 0.00%             | 2037-12-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31379MDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2170 | PA      | $2249.84      | 0.00%             | 2038-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384V6Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       103 | PA      | $103.90       | 0.00%             | 2040-04-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384V7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $67.77        | 0.00%             | 2030-03-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384V7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1273 | PA      | $1271.73      | 0.00%             | 2040-10-01      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384V7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1556 | PA      | $1562.22      | 0.00%             | 2040-10-01      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384VJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       246 | PA      | $247.36       | 0.00%             | 2028-07-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384VQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       749 | PA      | $759.64       | 0.00%             | 2030-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384VWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       294 | PA      | $299.09       | 0.00%             | 2039-09-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31384WM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1259 | PA      | $1307.06      | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384WMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       231 | PA      | $233.41       | 0.00%             | 2031-05-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385H5Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4516 | PA      | $4584.02      | 0.00%             | 2030-12-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385HJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       446 | PA      | $443.60       | 0.00%             | 2034-09-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385HN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1835 | PA      | $1812.85      | 0.00%             | 2036-05-01      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385HSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       441 | PA      | $449.29       | 0.00%             | 2040-12-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385HWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1086 | PA      | $1100.52      | 0.00%             | 2040-12-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385SBX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8806 | PA      | $8984.98      | 0.00%             | 2030-05-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385W6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       670 | PA      | $681.59       | 0.00%             | 2036-08-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385WVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       555 | PA      | $555.90       | 0.00%             | 2027-09-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385WZW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       235 | PA      | $239.18       | 0.00%             | 2032-12-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385XEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2663 | PA      | $2726.37      | 0.00%             | 2033-05-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385XG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26180 | PA      | $27072.25     | 0.01%             | 2033-06-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385XHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       130 | PA      | $131.15       | 0.00%             | 2033-05-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385XPP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       191 | PA      | $191.94       | 0.00%             | 2033-09-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385XPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1 | PA      | $1.11         | 0.00%             | 2027-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385XUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       662 | PA      | $660.66       | 0.00%             | 2033-11-01      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385Y2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       591 | PA      | $599.70       | 0.00%             | 2040-06-01      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385Y2E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8768 | PA      | $8822.01      | 0.00%             | 2040-06-01      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385YCE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2322 | PA      | $2327.01      | 0.00%             | 2040-06-01      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31386GGH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14959 | PA      | $15220.25     | 0.00%             | 2030-11-01      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31386TRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       984 | PA      | $980.68       | 0.00%             | 2041-02-01      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31386XY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1702 | PA      | $1707.69      | 0.00%             | 2041-02-01      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31387A3P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6938 | PA      | $7036.85      | 0.00%             | 2031-08-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31387UEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15 | PA      | $14.70        | 0.00%             | 2030-12-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31387URF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       967 | PA      | $987.03       | 0.00%             | 2030-12-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3630 | PA      | $3676.93      | 0.00%             | 2031-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31388KXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3881 | PA      | $3953.44      | 0.00%             | 2031-11-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31388XVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4528 | PA      | $4490.77      | 0.00%             | 2033-08-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31389AZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1581 | PA      | $1568.92      | 0.00%             | 2036-11-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31389AZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2152 | PA      | $2140.30      | 0.00%             | 2038-06-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31389GPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5205 | PA      | $5287.89      | 0.00%             | 2032-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31389L3H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1300 | PA      | $1326.30      | 0.00%             | 2032-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31389R4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8251 | PA      | $8465.98      | 0.00%             | 2032-03-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31389TR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12 | PA      | $12.43        | 0.00%             | 2032-06-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31389X2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30574 | PA      | $31731.12     | 0.01%             | 2029-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3138A3S65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47047 | PA      | $46096.13     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3138A8RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334316 | PA      | $327491.12    | 0.07%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3138ABEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    523166 | PA      | $520121.34    | 0.10%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3138AJKX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676216 | PA      | $661780.64    | 0.13%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3138APCG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    503315 | PA      | $493429.85    | 0.10%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138EGEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3048 | PA      | $3163.41      | 0.00%             | 2036-09-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138EGG57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       286 | PA      | $296.73       | 0.00%             | 2041-04-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3138EGTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180781 | PA      | $186007.05    | 0.04%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138EH6Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586372 | PA      | $603118.64    | 0.12%             | 2040-01-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138EJ4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    584435 | PA      | $602970.90    | 0.12%             | 2038-07-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138EJTV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931978 | PA      | $961159.90    | 0.19%             | 2036-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138ELMS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2427463 | PA      | $2507568.29   | 0.50%             | 2037-09-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138ELZT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391602 | PA      | $405753.78    | 0.08%             | 2038-07-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138LADF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3965754.24   | 0.80%             | 2027-07-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3138MRDW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39376 | PA      | $36661.75     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31390AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2268 | PA      | $2322.24      | 0.00%             | 2032-04-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31390MVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1374 | PA      | $1479.41      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31390S3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1029 | PA      | $1038.74      | 0.00%             | 2032-05-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31390UER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15486 | PA      | $15887.90     | 0.00%             | 2032-07-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31391BEP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        21 | PA      | $21.77        | 0.00%             | 2032-09-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31391DND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3594 | PA      | $3683.20      | 0.00%             | 2032-09-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31391FPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        87 | PA      | $87.64        | 0.00%             | 2029-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31391SSV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1008 | PA      | $1026.54      | 0.00%             | 2032-12-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31391TX94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5179 | PA      | $5262.46      | 0.00%             | 2032-12-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31391UVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15412 | PA      | $15712.45     | 0.00%             | 2033-01-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400AMD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1935 | PA      | $1981.47      | 0.00%             | 2033-01-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400ANW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4337 | PA      | $4421.38      | 0.00%             | 2033-02-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400DAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15115 | PA      | $15608.09     | 0.00%             | 2033-02-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400FDQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2446 | PA      | $2503.51      | 0.00%             | 2033-02-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400L6P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       217 | PA      | $223.18       | 0.00%             | 2037-08-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400QSS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2359 | PA      | $2407.36      | 0.00%             | 2033-03-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400QTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       932 | PA      | $948.86       | 0.00%             | 2033-03-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400QYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21154 | PA      | $21511.98     | 0.00%             | 2032-10-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31400RDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9585 | PA      | $9830.02      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31400TX85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21652 | PA      | $21968.51     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400VP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       650 | PA      | $650.71       | 0.00%             | 2028-03-01      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401B6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16402 | PA      | $16806.44     | 0.00%             | 2033-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401BG66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5989 | PA      | $6142.08      | 0.00%             | 2033-04-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401BX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       158 | PA      | $161.19       | 0.00%             | 2033-01-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401CTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1157 | PA      | $1181.32      | 0.00%             | 2033-05-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401DK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2813 | PA      | $2885.74      | 0.00%             | 2033-05-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401DVU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3214 | PA      | $3312.49      | 0.00%             | 2033-04-01      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31401EWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3984 | PA      | $4040.81      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401GYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2318 | PA      | $2362.19      | 0.00%             | 2033-04-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401PEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3408 | PA      | $3466.32      | 0.00%             | 2033-04-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402A4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1769 | PA      | $1812.67      | 0.00%             | 2033-06-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402C7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        62 | PA      | $63.33        | 0.00%             | 2034-02-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402CRN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8979 | PA      | $9247.35      | 0.00%             | 2034-01-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402CUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       605 | PA      | $615.94       | 0.00%             | 2033-07-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402CXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12 | PA      | $12.00        | 0.00%             | 2032-06-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402CYR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1228 | PA      | $1260.05      | 0.00%             | 2039-08-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402DG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1540 | PA      | $1586.61      | 0.00%             | 2034-06-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402DKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293401 | PA      | $302405.40    | 0.06%             | 2034-08-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402DLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6077 | PA      | $6192.64      | 0.00%             | 2037-02-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402DSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3078 | PA      | $3098.93      | 0.00%             | 2033-07-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402FRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        79 | PA      | $79.16        | 0.00%             | 2028-06-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31402GR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5203 | PA      | $5278.56      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402GVQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3939 | PA      | $4022.93      | 0.00%             | 2033-07-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402JVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4294 | PA      | $4407.17      | 0.00%             | 2033-08-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31402LHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6877 | PA      | $6977.43      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402MNK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9742 | PA      | $10035.11     | 0.00%             | 2033-09-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402Q4J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3229 | PA      | $3320.28      | 0.00%             | 2033-11-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402Q5Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       923 | PA      | $961.84       | 0.00%             | 2035-02-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402QUK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1946 | PA      | $2002.97      | 0.00%             | 2034-06-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402QX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5719 | PA      | $5865.49      | 0.00%             | 2035-01-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402QZ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1057 | PA      | $1095.71      | 0.00%             | 2035-01-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3020 | PA      | $3116.49      | 0.00%             | 2034-11-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5762 | PA      | $5769.87      | 0.00%             | 2044-10-01      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14061 | PA      | $14143.72     | 0.00%             | 2044-10-01      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10885 | PA      | $10897.64     | 0.00%             | 2042-08-01      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15616 | PA      | $15707.59     | 0.00%             | 2042-08-01      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55630 | PA      | $57252.12     | 0.01%             | 2035-06-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8142 | PA      | $8347.53      | 0.00%             | 2036-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20236 | PA      | $20825.81     | 0.00%             | 2035-09-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RTY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13456 | PA      | $13790.26     | 0.00%             | 2038-03-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402TH24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10564 | PA      | $10811.28     | 0.00%             | 2033-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402VRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9493 | PA      | $9736.83      | 0.00%             | 2033-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31402VUR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13408 | PA      | $13602.46     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402XT63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       176 | PA      | $180.61       | 0.00%             | 2033-12-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31402YJL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4943 | PA      | $5013.71      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403AMC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1414 | PA      | $1446.29      | 0.00%             | 2033-10-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403BM83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19970 | PA      | $20412.94     | 0.00%             | 2033-11-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403C7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1527 | PA      | $1562.02      | 0.00%             | 2035-10-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403CZ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       542 | PA      | $560.00       | 0.00%             | 2035-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403DK24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4725 | PA      | $4829.22      | 0.00%             | 2034-07-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403DRK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       313 | PA      | $321.50       | 0.00%             | 2036-08-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403GMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       542 | PA      | $556.54       | 0.00%             | 2033-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403GWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       926 | PA      | $945.92       | 0.00%             | 2033-09-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403HNX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18276 | PA      | $18886.48     | 0.00%             | 2033-10-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31403HPH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24579 | PA      | $24938.43     | 0.01%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31403JD78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8643 | PA      | $8766.84      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403JRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6118 | PA      | $6317.83      | 0.00%             | 2033-10-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403LQJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2693 | PA      | $2779.88      | 0.00%             | 2033-10-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5988 | PA      | $6149.15      | 0.00%             | 2033-12-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403NKS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5187 | PA      | $5259.38      | 0.00%             | 2033-09-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403YHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10403 | PA      | $10707.48     | 0.00%             | 2033-12-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404CH37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217713 | PA      | $223934.83    | 0.04%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404EQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31360 | PA      | $32160.76     | 0.01%             | 2034-03-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404GHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4088 | PA      | $4144.17      | 0.00%             | 2034-02-01      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31404JBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22878 | PA      | $23092.20     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404MN79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7337 | PA      | $7541.94      | 0.00%             | 2034-03-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404RPH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3309 | PA      | $3381.05      | 0.00%             | 2034-04-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404RUK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10071 | PA      | $10365.89     | 0.00%             | 2034-03-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404UDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29513 | PA      | $30664.71     | 0.01%             | 2034-04-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404VDY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6969 | PA      | $7152.36      | 0.00%             | 2034-06-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404WPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2086 | PA      | $2135.49      | 0.00%             | 2034-06-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31405KMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       650 | PA      | $667.57       | 0.00%             | 2034-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31405RXD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30188 | PA      | $30909.87     | 0.01%             | 2034-10-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31405SDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23438 | PA      | $24055.55     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31405UW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51788 | PA      | $53147.59     | 0.01%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406AGW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101684 | PA      | $104685.27    | 0.02%             | 2034-12-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406BJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2242 | PA      | $2292.36      | 0.00%             | 2034-12-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31406DEC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101051 | PA      | $103728.15    | 0.02%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406G2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3093 | PA      | $3165.73      | 0.00%             | 2035-03-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406LZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3374 | PA      | $3468.11      | 0.00%             | 2034-12-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406NYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22006 | PA      | $22679.41     | 0.00%             | 2035-02-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31406P3F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381186 | PA      | $388213.44    | 0.08%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31406PZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58405 | PA      | $60664.12     | 0.01%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406RA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14298 | PA      | $14490.86     | 0.00%             | 2035-07-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406RGS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2642 | PA      | $2701.06      | 0.00%             | 2035-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31406TTT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26456 | PA      | $26837.34     | 0.01%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406UUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       600 | PA      | $611.99       | 0.00%             | 2035-03-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406V5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178722 | PA      | $182453.28    | 0.04%             | 2035-06-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406VYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24231 | PA      | $24627.15     | 0.00%             | 2035-06-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406X7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2772 | PA      | $2843.07      | 0.00%             | 2035-04-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31407DUD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1942 | PA      | $1960.04      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31407DUE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       590 | PA      | $604.35       | 0.00%             | 2035-05-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31407F5W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6136 | PA      | $6257.62      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31407FUH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3465 | PA      | $3556.22      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31407GCW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       921 | PA      | $952.64       | 0.00%             | 2035-05-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31407JDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28632 | PA      | $30473.34     | 0.01%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31407JNQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       699 | PA      | $724.26       | 0.00%             | 2035-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31407JRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7873 | PA      | $8080.71      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31407XWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6435 | PA      | $6598.07      | 0.00%             | 2035-11-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31408B4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3838 | PA      | $3914.57      | 0.00%             | 2036-01-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31408GJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       523 | PA      | $539.23       | 0.00%             | 2035-12-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31408GX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3089 | PA      | $3193.13      | 0.00%             | 2035-09-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31409EW72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81867 | PA      | $86280.48     | 0.02%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31409GSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       737 | PA      | $759.64       | 0.00%             | 2037-01-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2105 | PA      | $2159.11      | 0.00%             | 2036-05-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31409T6V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90388 | PA      | $94165.64     | 0.02%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14313 | PA      | $14869.54     | 0.00%             | 2035-11-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31409WCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       835 | PA      | $867.89       | 0.00%             | 2036-02-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31409XQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24333 | PA      | $24983.59     | 0.01%             | 2036-03-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31409XZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3555 | PA      | $3631.56      | 0.00%             | 2036-01-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31409XZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6308 | PA      | $6531.34      | 0.00%             | 2036-02-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 15 Year                                            | CUSIP: 3140QE5Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1463813 | PA      | $1361999.53   | 0.27%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3140QEBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410F3M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       186 | PA      | $188.42       | 0.00%             | 2037-04-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410F7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       438 | PA      | $448.97       | 0.00%             | 2034-07-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410FGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       711 | PA      | $736.75       | 0.00%             | 2036-08-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410FWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20240 | PA      | $21039.87     | 0.00%             | 2034-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410GJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       234 | PA      | $236.30       | 0.00%             | 2032-01-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410GJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1511 | PA      | $1534.00      | 0.00%             | 2033-09-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410GMD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6615 | PA      | $6827.13      | 0.00%             | 2037-10-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410MHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       215 | PA      | $219.93       | 0.00%             | 2036-04-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410N6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1117 | PA      | $1149.62      | 0.00%             | 2036-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410QE23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       210 | PA      | $215.20       | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        23 | PA      | $23.32        | 0.00%             | 2036-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1476 | PA      | $1525.18      | 0.00%             | 2036-12-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2637 | PA      | $2722.23      | 0.00%             | 2037-01-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31411EP76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1343 | PA      | $1384.75      | 0.00%             | 2037-01-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31411HGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       555 | PA      | $570.77       | 0.00%             | 2037-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31411JZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30120 | PA      | $31696.68     | 0.01%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31411RTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2228 | PA      | $2304.81      | 0.00%             | 2037-03-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2103 | PA      | $2143.05      | 0.00%             | 2037-02-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31412SVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       267 | PA      | $274.56       | 0.00%             | 2038-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31413B3Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1856 | PA      | $1910.00      | 0.00%             | 2037-07-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31413DTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9074 | PA      | $9334.62      | 0.00%             | 2037-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31413FKS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2868 | PA      | $2928.18      | 0.00%             | 2037-07-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31413GN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13250 | PA      | $13756.02     | 0.00%             | 2037-08-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       692 | PA      | $713.80       | 0.00%             | 2037-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31413RZM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2326 | PA      | $2423.36      | 0.00%             | 2037-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31414BEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25442 | PA      | $26520.90     | 0.01%             | 2038-03-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31414CNT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408361 | PA      | $423311.58    | 0.09%             | 2035-09-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31414CPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11370 | PA      | $11703.09     | 0.00%             | 2035-06-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31414FXN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       330 | PA      | $336.28       | 0.00%             | 2038-09-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31415QMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116467 | PA      | $120557.01    | 0.02%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31415VYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    782897 | PA      | $807115.76    | 0.16%             | 2035-10-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31416BLR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1106 | PA      | $1141.57      | 0.00%             | 2038-09-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31416BTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166739 | PA      | $170815.76    | 0.03%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31416BWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3105 | PA      | $3156.76      | 0.00%             | 2038-09-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31416CAK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1893 | PA      | $1948.34      | 0.00%             | 2038-12-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31416WVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247493 | PA      | $254643.69    | 0.05%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31416YRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37859 | PA      | $38051.68     | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31417K2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       328 | PA      | $341.23       | 0.00%             | 2039-09-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418BSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7283953 | PA      | $6941104.18   | 1.39%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418D2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3239416 | PA      | $2885715.87   | 0.58%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418D3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7642009 | PA      | $6517459.59   | 1.31%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16870429 | PA      | $14385248.73  | 2.89%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2721097 | PA      | $2418922.98   | 0.49%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3912627 | PA      | $3340295.45   | 0.67%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5348052 | PA      | $4556896.95   | 0.92%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3089643 | PA      | $3137114.59   | 0.63%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7050394 | PA      | $6002998.17   | 1.21%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 15 Year                                            | CUSIP: 31418EHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8784987 | PA      | $8455903.91   | 1.70%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12697358 | PA      | $12104071.31  | 2.43%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418EVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8266114 | PA      | $8508163.87   | 1.71%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418FQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4494210 | PA      | $4670894.27   | 0.94%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418U4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291263 | PA      | $299681.61    | 0.06%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108682 | PA      | $109497.47    | 0.02%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31419AL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6944 | PA      | $7261.97      | 0.00%             | 2040-09-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    913207 | PA      | $919917.47    | 0.18%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31419JH84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56744 | PA      | $55212.44     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3142J6B36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2132904 | PA      | $2191904.63   | 0.44%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36176AFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4063 | PA      | $4001.66      | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36176WVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18807 | PA      | $18111.21     | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36177LW34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6794 | PA      | $6638.23      | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36177PER2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150985 | PA      | $139352.37    | 0.03%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1406531 | PA      | $1326785.27   | 0.27%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MG53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456359 | PA      | $431915.25    | 0.09%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1644312 | PA      | $1556573.85   | 0.31%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4915941 | PA      | $4654639.32   | 0.93%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1512877 | PA      | $1425298.95   | 0.29%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140663 | PA      | $144761.41    | 0.03%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MSX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2984696 | PA      | $2824886.79   | 0.57%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47950 | PA      | $44433.22     | 0.01%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2343497 | PA      | $2218019.21   | 0.45%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3996071 | PA      | $3782141.12   | 0.76%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179N2L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    578971 | PA      | $577934.88    | 0.12%             | 2044-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1725303 | PA      | $1628846.84   | 0.33%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.01         | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1492536 | PA      | $1407322.04   | 0.28%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.01         | 0.00%             | 2043-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179Q3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    395587 | PA      | $360790.60    | 0.07%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179QGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    674111 | PA      | $693978.58    | 0.14%             | 2044-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    679010 | PA      | $676956.79    | 0.14%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4551900 | PA      | $4145564.54   | 0.83%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179RNV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1964557 | PA      | $1794964.40   | 0.36%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7323414 | PA      | $6810067.36   | 1.37%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12247521 | PA      | $11336577.90  | 2.28%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1018241 | PA      | $945704.12    | 0.19%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3281610 | PA      | $3057517.22   | 0.61%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5730349 | PA      | $4753114.73   | 0.95%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8892970 | PA      | $7680547.69   | 1.54%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3752865 | PA      | $3241207.05   | 0.65%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12348247 | PA      | $11117421.00  | 2.23%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4046667 | PA      | $3355274.76   | 0.67%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25195542 | PA      | $21760410.39  | 4.37%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4802500 | PA      | $4323804.76   | 0.87%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8302944 | PA      | $7170894.09   | 1.44%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12883826 | PA      | $11599615.36  | 2.33%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9053402 | PA      | $7506585.70   | 1.51%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5774188 | PA      | $4787640.54   | 0.96%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179Y5L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9058178 | PA      | $9168419.62   | 1.84%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179YS62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4225135 | PA      | $4276553.56   | 0.86%             | 2054-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179YW75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2498225 | PA      | $2588721.50   | 0.52%             | 2054-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179YYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2409811 | PA      | $2496663.21   | 0.50%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3617AACV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33295 | PA      | $32103.99     | 0.01%             | 2045-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3617AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50982 | PA      | $49100.91     | 0.01%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36180AAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5298916 | PA      | $5296288.96   | 1.06%             | 2054-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36181CBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299693 | PA      | $285456.26    | 0.06%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36181CBJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    478570 | PA      | $455836.18    | 0.09%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36182Q2Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10148 | PA      | $9740.81      | 0.00%             | 2044-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36182R5E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6358 | PA      | $6156.75      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36182WC35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61384 | PA      | $58685.61     | 0.01%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36182WCW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    388288 | PA      | $376016.89    | 0.08%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36182XU74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23076 | PA      | $22275.80     | 0.00%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36182YTK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27442 | PA      | $26437.65     | 0.01%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183CA97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5968 | PA      | $5719.33      | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183CAK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6287 | PA      | $6029.20      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183CAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6201 | PA      | $5895.26      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183CBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18938 | PA      | $18328.19     | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183CNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38954 | PA      | $37496.75     | 0.01%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183HMP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14611 | PA      | $14058.67     | 0.00%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183J3M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15586 | PA      | $15003.69     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183JZU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16757 | PA      | $16186.24     | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183KED6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33185 | PA      | $31984.00     | 0.01%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183MUW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12004 | PA      | $11540.41     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183PL88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34160 | PA      | $33027.19     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183PM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16804 | PA      | $16256.17     | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183QD44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27412 | PA      | $26450.49     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183QFD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15424 | PA      | $14936.39     | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183QPK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12483 | PA      | $12088.80     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183QWR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22500 | PA      | $21775.58     | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183W5G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56131 | PA      | $54357.71     | 0.01%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183W5H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206127 | PA      | $199529.60    | 0.04%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183X2E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18015 | PA      | $17305.67     | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183X2F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9980 | PA      | $9751.68      | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184B2D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58436 | PA      | $56589.89     | 0.01%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184CSA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60155 | PA      | $57688.98     | 0.01%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184CSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138332 | PA      | $133847.68    | 0.03%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184FN87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4834 | PA      | $4598.76      | 0.00%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184HMS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146798 | PA      | $141857.55    | 0.03%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184KQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21335 | PA      | $20483.54     | 0.00%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184QAK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29648 | PA      | $28492.48     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184QSJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14447 | PA      | $13829.76     | 0.00%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184YG27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61458 | PA      | $59152.12     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184YG35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70608 | PA      | $67693.80     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36185B7E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73136 | PA      | $70312.39     | 0.01%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36185BPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46611 | PA      | $44830.49     | 0.01%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36185BQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3538 | PA      | $3408.39      | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36185CBJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24131 | PA      | $23296.04     | 0.00%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36185EHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       758 | PA      | $729.78       | 0.00%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36189EKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29069 | PA      | $28133.69     | 0.01%             | 2045-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 3618M25T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4840417 | PA      | $4998398.32   | 1.00%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 3618N5TQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4929795 | PA      | $5101984.38   | 1.02%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 3618N5VS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10818700 | PA      | $11048916.16  | 2.22%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 3618N5XQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9832680 | PA      | $9937957.17   | 2.00%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36192SU65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26035 | PA      | $24946.76     | 0.01%             | 2046-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36194GLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5293 | PA      | $5072.99      | 0.00%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36194GMJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27333 | PA      | $26191.32     | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36194GRA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60490 | PA      | $57980.28     | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198QTS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18226 | PA      | $17551.99     | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198QTT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35878 | PA      | $34579.05     | 0.01%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198RH41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66211 | PA      | $63981.56     | 0.01%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198RH58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57315 | PA      | $55503.59     | 0.01%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198RKT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105640 | PA      | $102300.69    | 0.02%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198RLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6218 | PA      | $5991.12      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198RNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12445 | PA      | $12054.67     | 0.00%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198RQC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26972 | PA      | $26016.91     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200CSL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13744 | PA      | $13985.54     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200DHY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8473 | PA      | $8517.42      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200DQA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10395 | PA      | $10449.71     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200EBE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31694 | PA      | $32090.96     | 0.01%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200HF74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19888 | PA      | $19971.69     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200JUK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4583 | PA      | $4618.54      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200K5S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11411 | PA      | $11852.90     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200KD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7073 | PA      | $7114.37      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200KMZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3807 | PA      | $3847.61      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200KNA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13834 | PA      | $14339.44     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200KNB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4076 | PA      | $4122.63      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200ME74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12579 | PA      | $12689.59     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200MFY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5432 | PA      | $5581.31      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200NZU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2193 | PA      | $2303.08      | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200SR28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5397 | PA      | $5605.14      | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200VLB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2415 | PA      | $2472.71      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200X4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5935 | PA      | $6072.33      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201A2R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       435 | PA      | $444.17       | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201AVJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2969 | PA      | $3017.70      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201BBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1231 | PA      | $1261.78      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201BL38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16820 | PA      | $17066.52     | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201DRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7383 | PA      | $7421.63      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201EJQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3378 | PA      | $3501.87      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201F5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1902 | PA      | $1918.39      | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201FTT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1310 | PA      | $1335.20      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201FX69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7470 | PA      | $7698.97      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201GBJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38533 | PA      | $39980.88     | 0.01%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201GSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6611 | PA      | $6775.48      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201J7L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4799 | PA      | $4853.08      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201MBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13904 | PA      | $14147.88     | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201MSC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50884 | PA      | $52109.66     | 0.01%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201MWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15563 | PA      | $15732.27     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201P3P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10193 | PA      | $10450.76     | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201QRF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10370 | PA      | $10420.56     | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201SU49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13313 | PA      | $13562.22     | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201TJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106546 | PA      | $109360.80    | 0.02%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201TNM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3469 | PA      | $3485.70      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201XBL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       600 | PA      | $601.37       | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202C2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       859 | PA      | $875.78       | 0.00%             | 2028-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202C3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        15 | PA      | $15.46        | 0.00%             | 2028-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202C6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4110 | PA      | $4223.98      | 0.00%             | 2028-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        84 | PA      | $84.11        | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202CSK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       311 | PA      | $312.00       | 0.00%             | 2026-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202CYS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       841 | PA      | $869.99       | 0.00%             | 2027-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202CZ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10341 | PA      | $10692.81     | 0.00%             | 2028-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202D2D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90091 | PA      | $91340.92     | 0.02%             | 2033-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202D2F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13625 | PA      | $14229.82     | 0.00%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202D5R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17960 | PA      | $18632.82     | 0.00%             | 2034-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202D6E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106683 | PA      | $110678.61    | 0.02%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202D6V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70689 | PA      | $73969.14     | 0.01%             | 2034-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DL90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       533 | PA      | $553.28       | 0.00%             | 2031-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1065 | PA      | $1101.14      | 0.00%             | 2031-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DM57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15320 | PA      | $15973.64     | 0.00%             | 2031-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3760 | PA      | $3927.85      | 0.00%             | 2031-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4601 | PA      | $4800.44      | 0.00%             | 2031-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DNX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6723 | PA      | $7030.05      | 0.00%             | 2031-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DPD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19145 | PA      | $19973.81     | 0.00%             | 2031-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DPR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1271 | PA      | $1315.41      | 0.00%             | 2031-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DQA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5831 | PA      | $6100.63      | 0.00%             | 2031-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DRH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6203 | PA      | $6438.01      | 0.00%             | 2032-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DS51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2044 | PA      | $2168.62      | 0.00%             | 2032-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8085 | PA      | $8429.34      | 0.00%             | 2032-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DSR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10803 | PA      | $11377.83     | 0.00%             | 2032-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DXU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       548 | PA      | $571.33       | 0.00%             | 2033-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221712 | PA      | $227603.44    | 0.05%             | 2033-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36875 | PA      | $37383.15     | 0.01%             | 2033-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407579 | PA      | $419583.65    | 0.08%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202E7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29881 | PA      | $31374.20     | 0.01%             | 2039-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161724 | PA      | $168849.88    | 0.03%             | 2034-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EBE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94789 | PA      | $99442.22     | 0.02%             | 2034-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EBF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59328 | PA      | $62732.64     | 0.01%             | 2034-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EBV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84703 | PA      | $88111.95     | 0.02%             | 2034-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202ECA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74771 | PA      | $78421.88     | 0.02%             | 2035-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202ECP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156001 | PA      | $161691.47    | 0.03%             | 2035-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202ED55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28117 | PA      | $29142.63     | 0.01%             | 2035-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EDQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36264 | PA      | $37587.15     | 0.01%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160245 | PA      | $163971.61    | 0.03%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EG45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    352082 | PA      | $364939.45    | 0.07%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EGR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170169 | PA      | $178675.59    | 0.04%             | 2036-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EH44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8833 | PA      | $9110.02      | 0.00%             | 2036-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EH51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25540 | PA      | $26816.93     | 0.01%             | 2036-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11326 | PA      | $11739.79     | 0.00%             | 2036-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EHS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55024 | PA      | $57033.82     | 0.01%             | 2036-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EHT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6175 | PA      | $6484.21      | 0.00%             | 2036-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30524 | PA      | $31638.70     | 0.01%             | 2036-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202ET25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39118 | PA      | $40549.07     | 0.01%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EUU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64109 | PA      | $68563.23     | 0.01%             | 2038-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EYM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90686 | PA      | $95506.59     | 0.02%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202F4S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    989484 | PA      | $996665.44    | 0.20%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FB39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114346 | PA      | $115233.92    | 0.02%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FCM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252309 | PA      | $244593.35    | 0.05%             | 2039-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161389 | PA      | $162641.90    | 0.03%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62197 | PA      | $64029.67     | 0.01%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55929 | PA      | $56363.55     | 0.01%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123356 | PA      | $126918.60    | 0.03%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118031 | PA      | $121799.55    | 0.02%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220921 | PA      | $222637.13    | 0.04%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.00         | 0.00%             | 2040-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273006 | PA      | $265735.31    | 0.05%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    553391 | PA      | $541340.87    | 0.11%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271811 | PA      | $264529.55    | 0.05%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    576214 | PA      | $560823.99    | 0.11%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212164 | PA      | $213769.08    | 0.04%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286554 | PA      | $278877.96    | 0.06%             | 2041-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253017 | PA      | $254917.56    | 0.05%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104360 | PA      | $105138.57    | 0.02%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    521790 | PA      | $525683.76    | 0.11%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    767671 | PA      | $769039.03    | 0.15%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312961 | PA      | $304454.96    | 0.06%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FVG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    820203 | PA      | $826155.88    | 0.17%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    698756 | PA      | $718282.22    | 0.14%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    287378 | PA      | $289433.92    | 0.06%             | 2041-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199922 | PA      | $194442.05    | 0.04%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1374368 | PA      | $1384271.72   | 0.28%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FXD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31348 | PA      | $32204.54     | 0.01%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1616485 | PA      | $1572172.95   | 0.32%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147260 | PA      | $143223.48    | 0.03%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36202SFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11758 | PA      | $11904.83     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36202T7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12231 | PA      | $12502.16     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36202TP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26373 | PA      | $27384.87     | 0.01%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36202XEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20311 | PA      | $20907.68     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36206GQZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19042 | PA      | $19654.12     | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36206HDB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        42 | PA      | $42.05        | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36206VM53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        29 | PA      | $29.12        | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36207VNV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       274 | PA      | $275.68       | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36208PTR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4898 | PA      | $5039.07      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36208WGW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       859 | PA      | $867.27       | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36208WGZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1726 | PA      | $1741.65      | 0.00%             | 2028-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36209GTV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1226 | PA      | $1256.29      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36209HMJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6800 | PA      | $7081.39      | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36209MCG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1377 | PA      | $1422.73      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36209SMV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11779 | PA      | $11795.65     | 0.00%             | 2029-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620A3VP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223512 | PA      | $223512.83    | 0.04%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620A3ZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    447849 | PA      | $446795.76    | 0.09%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620A56A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63592 | PA      | $63851.10     | 0.01%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620A9PN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23198 | PA      | $24042.33     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620A9TV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23414 | PA      | $24314.33     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620AAJ58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20311 | PA      | $21011.30     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620AAJ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10150 | PA      | $10469.28     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620AAMB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31008 | PA      | $30867.82     | 0.01%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ADMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201098 | PA      | $201792.89    | 0.04%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620AFYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46655 | PA      | $46425.03     | 0.01%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620AL3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188986 | PA      | $188279.79    | 0.04%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620AM2U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189242 | PA      | $188251.06    | 0.04%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620APKB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96873 | PA      | $96551.48     | 0.02%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ARE56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80532 | PA      | $80074.69     | 0.02%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ARFJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105071 | PA      | $104553.88    | 0.02%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8905 | PA      | $8586.28      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ASD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37900 | PA      | $37721.60     | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ASDT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81901 | PA      | $81957.14     | 0.02%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ASEH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87693 | PA      | $87689.98     | 0.02%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ASEX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50152 | PA      | $49774.81     | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620AVRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57298 | PA      | $57162.98     | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620C3S86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15264 | PA      | $15274.05     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36210ETV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1531 | PA      | $1584.65      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36210GEC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23862 | PA      | $24190.09     | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36210MQ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1704 | PA      | $1707.60      | 0.00%             | 2029-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36210VUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2829 | PA      | $2843.15      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36212J2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35441 | PA      | $35711.39     | 0.01%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36212J3A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16009 | PA      | $16079.61     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36212KXF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79118 | PA      | $81827.92     | 0.02%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36212NA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       912 | PA      | $945.16       | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213AC85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21689 | PA      | $22078.73     | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213ADK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8467 | PA      | $8509.44      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213CPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4029 | PA      | $4091.02      | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213D3C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       215 | PA      | $218.87       | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213EMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       743 | PA      | $754.98       | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213FUR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151477 | PA      | $154374.41    | 0.03%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213HL80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1923 | PA      | $1973.80      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213JJ89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3601 | PA      | $3703.95      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213JQJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44939 | PA      | $46567.90     | 0.01%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213JU60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3308 | PA      | $3484.96      | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213LJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3773 | PA      | $3861.87      | 0.00%             | 2031-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213QZ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2119 | PA      | $2194.46      | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213UY53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31379 | PA      | $31730.20     | 0.01%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213UYW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13828 | PA      | $14000.99     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1520 | PA      | $1554.09      | 0.00%             | 2028-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1606 | PA      | $1648.89      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BHJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       849 | PA      | $869.55       | 0.00%             | 2030-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BHZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10216 | PA      | $10432.72     | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BLF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9238 | PA      | $9479.41      | 0.00%             | 2030-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5615 | PA      | $5863.90      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BNQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7289 | PA      | $7532.88      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2500 | PA      | $2633.92      | 0.00%             | 2031-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BSB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4590 | PA      | $4677.56      | 0.00%             | 2032-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13547 | PA      | $14326.00     | 0.00%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BVS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11197 | PA      | $11653.59     | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9374 | PA      | $9784.23      | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 3622AATC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5337833 | PA      | $5440420.87   | 1.09%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36241KKY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9089 | PA      | $9598.23      | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36241KLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44665 | PA      | $46508.86     | 0.01%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36241KLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49655 | PA      | $52426.50     | 0.01%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36241KQZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21424 | PA      | $22520.88     | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36241KWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13272 | PA      | $13842.29     | 0.00%             | 2033-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36241KXC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52184 | PA      | $55045.15     | 0.01%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36241KYX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81501 | PA      | $84865.08     | 0.02%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36290RQP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3228 | PA      | $3302.05      | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36290UP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36043 | PA      | $35829.17     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36290URF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13917 | PA      | $13888.03     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36290V7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45550 | PA      | $46631.13     | 0.01%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36290YER5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27262 | PA      | $28657.14     | 0.01%             | 2037-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36291AVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13755 | PA      | $14065.09     | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36291GTF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13709 | PA      | $13780.13     | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36291JGP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5375 | PA      | $5443.12      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36292GHS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48934 | PA      | $50810.98     | 0.01%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36292LEW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29725 | PA      | $30424.42     | 0.01%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36292LGX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6882 | PA      | $7123.30      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36294SD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21800 | PA      | $22971.41     | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36294V7K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28862 | PA      | $29814.01     | 0.01%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36294VHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95642 | PA      | $99374.36     | 0.02%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36294WXU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97531 | PA      | $97819.93     | 0.02%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295CLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11974 | PA      | $11078.44     | 0.00%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295DLW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24329 | PA      | $25528.27     | 0.01%             | 2037-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295ERD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19844 | PA      | $20453.10     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295FGB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17105 | PA      | $17627.20     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295GVQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173790 | PA      | $182348.63    | 0.04%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295HF54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    306006 | PA      | $305366.82    | 0.06%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295QMW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32872 | PA      | $34271.43     | 0.01%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295R4C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    825429 | PA      | $838964.46    | 0.17%             | 2039-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295WJB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43304 | PA      | $43373.74     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295WJC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206103 | PA      | $206497.60    | 0.04%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36296NTU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19214 | PA      | $19981.04     | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36296Q3C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99027 | PA      | $99430.48     | 0.02%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36296QDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55765 | PA      | $58621.62     | 0.01%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36296RZY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6813 | PA      | $6894.82      | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36296YDQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4858 | PA      | $4699.81      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36296YDR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59546 | PA      | $57605.56     | 0.01%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36297FRG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71426 | PA      | $71716.69     | 0.01%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36297FTW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148110 | PA      | $148712.84    | 0.03%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Franklin Institutional U.S. Government Money Market Fund | Franklin Institutional U.S. Government Money Market Fund | CUSIP: 457756500<br>LEI: 549300M4TP89K77LG374 | Long             | STIV             | RF                | US        |  37139566 | NS      | $37139566.40  | 7.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Private Export Funding Corp.                             | Private Export Funding Corp., Series TT                  | CUSIP: 742651EC2<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |   9075000 | PA      | $8972320.10   | 1.80%             | 2030-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                                 | Reliance Industries Ltd.                                 | CUSIP: 759470AV9<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    368421 | PA      | $368052.89    | 0.07%             | 2026-01-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| U.S. International Development Finance Corp. (The)       | U.S. International Development Finance Corp. (The)       | CUSIP: 690353TK3<br>LEI: 254900QI8QTIK0FY6E92 | Long             | DBT              | UST               | US        |    860000 | PA      | $857969.63    | 0.17%             | 2030-05-15      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                                 | Reliance Industries Ltd.                                 | CUSIP: 759470AT4<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    656250 | PA      | $655740.56    | 0.13%             | 2026-01-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                                 | Reliance Industries Ltd.                                 | CUSIP: 759470AU1<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    312500 | PA      | $312202.21    | 0.06%             | 2026-01-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                      | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34040000 | PA      | $33383134.20  | 6.70%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                      | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8500000 | PA      | $7397656.25   | 1.49%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                      | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24000000 | PA      | $24314531.28  | 4.88%             | 2029-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

**Name of Applicant:** Franklin Templeton Variable Insurance Products Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer