# EDGAR Filing Document

**Accession Number:** 0000822977
**File Stem:** 0001410368-26-051336
**Filing Date:** 2026-5
**Character Count:** 413934
**Document Hash:** 0afcf09fddbe799c2a4e91748c2b8115
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-051336.hdr.sgml**: 20260526

**ACCESSION NUMBER**: 0001410368-26-051336

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260526

**DATE AS OF CHANGE**: 20260526

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GOLDMAN SACHS TRUST
- **CENTRAL INDEX KEY:** 0000822977

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05349
- **FILM NUMBER:** 261017895

**BUSINESS ADDRESS:**
- **STREET 1:** 71  SOUTH WACKER DRIVE
- **STREET 2:** C/O GOLDMAN SACHS & CO
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60606
- **BUSINESS PHONE:** 3126554400

**MAIL ADDRESS:**
- **STREET 1:** 200 WEST STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10282

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GOLDMAN SACHS SHORT INTERMEDIATE GOVERNMENT FUND
- **DATE OF NAME CHANGE:** 19910711

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SHORT INTERMEDIATE GOVERNMENT FUND
- **DATE OF NAME CHANGE:** 19900104

## Series and Classes Contracts Data

### Goldman Sachs U.S. Mortgages Fund (Series ID: S000009305)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000025400 | Institutional                  | GSUIX           |
| C000025401 | Separate Account Institutional | GSUPX           |
| C000025402 | Class A                        | GSUAX           |
| C000090760 | Investor Shares                | GGIRX           |
| C000161288 | Class R6 Shares                | GGIUX           |
| C000202036 | Class P Shares                 | GSBPX           |
| C000272148 | Class R Shares                 | GGURX           |
| C000272149 | Service Shares                 | GGUSX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** GOLDMAN SACHS TRUST

- **b. Investment Company Act file number:** 811-05349

- **c. CIK number of Registrant:** 0000822977

- **d. LEI of Registrant:** S2FHCT8U6D2VORP0J605

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

  - **Street Address 1:** 71  SOUTH WACKER DRIVE

  - **City:** CHICAGO

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60606

  - **Telephone number:** 312-655-4600

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

- **a. Name of Series:** Goldman Sachs U.S. Mortgages Fund

- **b. EDGAR series identifier (if any):** S000009305

- **c. LEI of Series:** MBFL9SSC0VUDGK1TUI40

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

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

- **b. Date as of which information is reported:** 2026-03-31

**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:** $519755790.43

**Total Liabilities:** $226225345.38

**Net Assets:** $293530445.05

**Delayed Delivery Securities:** $20341250.01

**Cash Not Reported:** $5172614.35

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -51.79000000 | **1-Year:** -1545.72000000 | **5-Year:** -4412.62000000 | **10-Year:** -1505.70000000 | **30-Year:** -53.22000000

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

- **3-Month:** -7.95000000 | **1-Year:** -593.64000000 | **5-Year:** -1406.94000000 | **10-Year:** -476.68000000 | **30-Year:** -110.87000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000025400 | 0.55%                | 1.54%                | -1.83%               |
| Class ID C000025401 | 0.55%                | 1.54%                | -1.73%               |
| Class ID C000025402 | 0.52%                | 1.52%                | -1.87%               |
| Class ID C000090760 | 0.54%                | 1.53%                | -1.73%               |
| Class ID C000161288 | 0.55%                | 1.54%                | -1.73%               |
| Class ID C000202036 | 0.55%                | 1.54%                | -1.83%               |
| Class ID C000272148 |  | 0.50%                | -1.78%               |
| Class ID C000272149 |  | 0.53%                | -1.86%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $253076.74               | $55575.45                                  |
| Month 2  | $190778.53               | $2215257.08                                |
| Month 3  | $-520565.81              | $-6351008.97                               |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays U.S. Securitized Bond Index

- **Index Identifier:** LMUSSEC6VB

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AGL CLO Ltd.                                     | AGL CLO 23 Ltd                                                                                 | CUSIP: 00119EAN7<br>LEI: 54930001FYWQPYWEPQ30 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $995543.00    | 0.34%             | 2038-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F012445<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2000000 | PA      | $-1797021.20  | -0.61%            | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F020448<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4593359.50   | 1.56%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F020646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1607421.80   | 0.55%             | 2056-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F022634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $840742.20    | 0.29%             | 2056-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F022634<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1000000 | PA      | $-840742.20   | -0.29%            | 2056-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F022642<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1000000 | PA      | $-840625.00   | -0.29%            | 2056-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F030637<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7044374.40   | 2.40%             | 2056-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F030637<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -8000000 | PA      | $-7044374.40  | -2.40%            | 2056-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F030645<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -8000000 | PA      | $-7030624.80  | -2.40%            | 2056-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F032633<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5506406.40   | 1.88%             | 2056-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F032633<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6000000 | PA      | $-5506406.40  | -1.88%            | 2056-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F032641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $916171.90    | 0.31%             | 2056-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F032641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6000000 | PA      | $-5497031.40  | -1.87%            | 2056-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2827148.40   | 0.96%             | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F042442<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18000000 | PA      | $17857969.20  | 6.08%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F042632<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3859687.20   | 1.31%             | 2056-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F042632<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -4000000 | PA      | $-3859687.20  | -1.31%            | 2056-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2892656.40   | 0.99%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F042640<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3000000 | PA      | $-2892656.40  | -0.99%            | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F042657<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3000000 | PA      | $-2889960.90  | -0.98%            | 2056-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F050635<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5919843.60   | 2.02%             | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F050635<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6000000 | PA      | $-5919843.60  | -2.02%            | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6899648.70   | 2.35%             | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F050643<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -8000000 | PA      | $-7885312.80  | -2.69%            | 2056-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24000000 | PA      | $24100312.80  | 8.21%             | 2056-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F060642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3056953.20   | 1.04%             | 2056-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F062630<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11000000 | PA      | $11371248.90  | 3.87%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F062630<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -11000000 | PA      | $-11371248.90 | -3.87%            | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F062648<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -11000000 | PA      | $-11376406.80 | -3.88%            | 2056-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F070641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $8411249.60   | 2.87%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                         | Angel Oak Mortgage Trust 2021-7                                                                | CUSIP: 03464JAA9<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |    345120 | PA      | $301096.45    | 0.10%             | 2066-10-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                         | Angel Oak Mortgage Trust 2020-3                                                                | CUSIP: 03465LAD7<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $143879.10    | 0.05%             | 2065-04-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                         | Angel Oak Mortgage Trust 2025-7                                                                | CUSIP: 03466TAA5<br>LEI: 254900QTRHHMG5RQ9X60 | Long             | ABS-MBS          | CORP              | US        |    319116 | PA      | $320176.34    | 0.11%             | 2070-06-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Trust 2025-EWEST                                                                          | CUSIP: 05494JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $349126.17    | 0.12%             | 2042-06-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS 2018-TALL Mortgage Trust                                                                 | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $426680.36    | 0.15%             | 2037-03-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS 2018-TALL Mortgage Trust                                                                 | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $115624.99    | 0.04%             | 2037-03-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Commercial Mortgage Trust 2025-660F                                                       | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $397899.14    | 0.14%             | 2042-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Commercial Mortgage Trust 2025-660F                                                       | CUSIP: 05556QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $398676.77    | 0.14%             | 2042-11-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2024-PMDW                                                                            | CUSIP: 05592VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $151819.60    | 0.05%             | 2041-11-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                               | BMO 2023-C7 Mortgage Trust                                                                     | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $320416.68    | 0.11%             | 2056-12-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2024-BIO                                                                              | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $448335.95    | 0.15%             | 2041-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-XL5                                                          | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137539 | PA      | $137546.61    | 0.05%             | 2041-03-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2024-VLT5                                                         | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $198303.80    | 0.07%             | 2046-11-13      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                   | BSTN Commercial Mortgage Trust 2025-1C                                                         | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $534003.91    | 0.18%             | 2044-06-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Trust 2025-ARIA                                                                             | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $452478.97    | 0.15%             | 2042-12-13      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| BLP Commercial Mortgage Trust                    | BLP Commercial Mortgage Trust 2024-IND2                                                        | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192748 | PA      | $192270.77    | 0.07%             | 2041-03-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                 | Bain Capital Credit CLO 2019-1                                                                 | CUSIP: 05683VBQ6<br>LEI: 549300B0VI605XM3L529 | Long             | ABS-CBDO         | CORP              | KY        |    565000 | PA      | $542302.26    | 0.18%             | 2034-04-19      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2025-5YR17                                                                               | CUSIP: 06211GAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $299133.42    | 0.10%             | 2058-11-15      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2021-BNK37                                                                                | CUSIP: 06540LBF3<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $178051.54    | 0.06%             | 2064-11-15      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2021-BNK31                                                                                | CUSIP: 06541ABP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $214193.02    | 0.07%             | 2054-02-15      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2025-BNK51                                                                                | CUSIP: 06541HAJ4<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $403459.24    | 0.14%             | 2067-12-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2020-BNK29                                                                                | CUSIP: 06541TBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $528172.56    | 0.18%             | 2053-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                         | Bear Stearns ALT-A Trust 2005-5                                                                | CUSIP: 07386HUG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23191 | PA      | $22989.88     | 0.01%             | 2035-07-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                         | Benchmark 2022-B32 Mortgage Trust                                                              | CUSIP: 08163NBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $445927.28    | 0.15%             | 2055-01-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                       | BFLD Commercial Mortgage Trust 2024-UNIV                                                       | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $450055.76    | 0.15%             | 2041-11-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                             | BlueMountain CLO XXXIII Ltd                                                                    | CUSIP: 09630MAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $498658.50    | 0.17%             | 2038-10-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2026-CSMO                                                         | CUSIP: 12433LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $349639.18    | 0.12%             | 2043-02-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CBAMR Ltd                                        | CBAMR 2021-14 LTD                                                                              | CUSIP: 12516KAC1<br>LEI: 254900Q3N8LV0KJICN72 | Long             | ABS-CBDO         | CORP              | KY        |    290000 | PA      | $289844.27    | 0.10%             | 2038-10-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                 | CIFC Funding 2022-IV Ltd                                                                       | CUSIP: 12567WAS8<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $956487.00    | 0.33%             | 2035-07-16      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2024-277P Mortgage Trust                                                                  | CUSIP: 12654FAA8<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $390996.56    | 0.13%             | 2044-08-10      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust              | Citigroup Commercial Mortgage Trust 2017-P8                                                    | CUSIP: 17326DAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $284865.45    | 0.10%             | 2050-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2024-4 Mortgage Loan Trust                                                                | CUSIP: 19688WAA6<br>LEI: 213800KKXAZ8LJ3W5A65 | Long             | ABS-MBS          | CORP              | US        |    362387 | PA      | $364407.00    | 0.12%             | 2069-07-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20753UAB6<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    125000 | PA      | $125539.90    | 0.04%             | 2044-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20754DAA5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      6821 | PA      | $6827.61      | 0.00%             | 2042-04-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20754DAB3<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     94000 | PA      | $95172.12     | 0.03%             | 2042-04-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 20754RAB2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |     69833 | PA      | $70017.21     | 0.02%             | 2041-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                       | CUSIP: 207941AB1<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $150852.02    | 0.05%             | 2044-03-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                     | CUSIP: 21H020642<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7000000 | PA      | $5766851.30   | 1.96%             | 2056-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                     | CUSIP: 21H022648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $4292489.00   | 1.46%             | 2056-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                     | CUSIP: 21H032647<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $916406.30    | 0.31%             | 2056-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                     | CUSIP: 21H032654<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3648750.00   | 1.24%             | 2056-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                     | CUSIP: 21H040640<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3742343.60   | 1.27%             | 2056-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                     | CUSIP: 21H042638<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3862082.00   | 1.32%             | 2056-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                     | CUSIP: 21H042638<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -4000000 | PA      | $-3862082.00  | -1.32%            | 2056-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                     | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3000000 | PA      | $-2893397.40  | -0.99%            | 2056-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                     | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11000000 | PA      | $10862372.40  | 3.70%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                     | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14000000 | PA      | $14077421.40  | 4.80%             | 2056-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                     | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $3049453.20   | 1.04%             | 2056-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                     | CUSIP: 21H062651<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1036015.60   | 0.35%             | 2054-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                       | DOLP Trust 2021-NYC                                                                            | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $359147.20    | 0.12%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                  | Durst Commercial Mortgage Trust 2025-151                                                       | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $705812.16    | 0.24%             | 2042-08-10      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                  | Durst Commercial Mortgage Trust 2025-151                                                       | CUSIP: 266895AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $604950.61    | 0.21%             | 2042-08-10      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31283Y5M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5591 | PA      | $5610.33      | 0.00%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128K7MY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       404 | PA      | $405.92       | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128K7UX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1114 | PA      | $1119.32      | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128K8AJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       274 | PA      | $275.69       | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128KLSB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9637 | PA      | $9813.16      | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       321 | PA      | $327.28       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2935 | PA      | $2988.41      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128LXC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       250 | PA      | $251.03       | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128LXFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28465 | PA      | $28923.25     | 0.01%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128M4EM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       924 | PA      | $940.44       | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128M6NW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       344 | PA      | $346.09       | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128M6T65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13777 | PA      | $13801.28     | 0.00%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128M6T73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7659 | PA      | $7697.57      | 0.00%             | 2038-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128M7EX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       688 | PA      | $700.87       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128M7L46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4734 | PA      | $4732.50      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128M7LA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1 | PA      | $1.43         | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128M7P91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114780 | PA      | $116708.36    | 0.04%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128M8BM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       333 | PA      | $333.09       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128M9BZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5169 | PA      | $5151.45      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128M9C91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26045 | PA      | $26025.49     | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128M9DF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1688 | PA      | $1682.54      | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128M9NX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26743 | PA      | $24530.89     | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128M9UC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42577 | PA      | $41641.21     | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128MJL24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8648 | PA      | $8645.63      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128MJL32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11545 | PA      | $11756.11     | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128MJL57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       950 | PA      | $949.75       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       592 | PA      | $592.02       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128MJQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       850 | PA      | $846.60       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3128P7LU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31126 | PA      | $31243.69     | 0.01%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                                                      | CUSIP: 3128QLPD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7376 | PA      | $7585.99      | 0.00%             | 2035-06-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31292L6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74602 | PA      | $68651.63     | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31292LHC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18577 | PA      | $18512.96     | 0.01%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31292LHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2861 | PA      | $2851.17      | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31292LHH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2009 | PA      | $2001.93      | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31292MA78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6358 | PA      | $6190.50      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312930WL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        79 | PA      | $79.34        | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312930XX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3278 | PA      | $3275.92      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3129316G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2714 | PA      | $2713.30      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312931D70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       790 | PA      | $788.98       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312931EM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2759 | PA      | $2758.49      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312931GB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       181 | PA      | $180.50       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312932MW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       619 | PA      | $619.25       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312932Z66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1291 | PA      | $1290.90      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312933AL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       445 | PA      | $444.38       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312933AN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16631 | PA      | $16936.01     | 0.01%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312933AQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       653 | PA      | $652.81       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312933CV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21486 | PA      | $21814.35     | 0.01%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312933DC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1433 | PA      | $1432.55      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312933G57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5672 | PA      | $5669.71      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312933G65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1539 | PA      | $1538.98      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312933G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       616 | PA      | $615.68       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312933QN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19882 | PA      | $19875.61     | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312933R63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       438 | PA      | $437.82       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312933WQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32615 | PA      | $32604.62     | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312934BJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2132 | PA      | $2131.41      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312934SC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1421 | PA      | $1420.09      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3129356C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2841 | PA      | $2840.00      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3129366F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       498 | PA      | $497.43       | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312936NA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       729 | PA      | $729.22       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312938EM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       797 | PA      | $796.31       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312938S38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1058 | PA      | $1057.20      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312938S46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1189 | PA      | $1189.01      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312940A41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1375 | PA      | $1373.87      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312940M30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       749 | PA      | $748.18       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312940RF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1534 | PA      | $1532.41      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312940XF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3027 | PA      | $3025.14      | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3129413L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       200 | PA      | $200.29       | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312941GA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       708 | PA      | $707.62       | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312941WE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1378 | PA      | $1402.57      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312941Z42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1541 | PA      | $1566.63      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312943UP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       504 | PA      | $503.50       | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312945SX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1483 | PA      | $1477.85      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312945ZK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2759 | PA      | $2749.36      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312945ZL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7698 | PA      | $7671.09      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312946EV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1400 | PA      | $1395.40      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1279 | PA      | $1274.79      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31296LKE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       210 | PA      | $213.58       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31296LVE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3586 | PA      | $3652.62      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31296NDL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       627 | PA      | $638.55       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31296NV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21157 | PA      | $21547.63     | 0.01%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31297KC91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12031 | PA      | $12251.37     | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31297KFM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25502 | PA      | $25969.75     | 0.01%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3131XW4R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249872 | PA      | $232498.45    | 0.08%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3131Y7PC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28653 | PA      | $27963.19     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3131Y9TA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2716 | PA      | $2664.69      | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 31329PFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178564 | PA      | $174376.05    | 0.06%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 31329QCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192268 | PA      | $187637.88    | 0.06%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132A5KC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266961 | PA      | $260699.96    | 0.09%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132AC3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5136 | PA      | $5048.00      | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132AD6P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210335 | PA      | $204820.93    | 0.07%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132AEAV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431358 | PA      | $423148.94    | 0.14%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132D56B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115573 | PA      | $105247.82    | 0.04%             | 2035-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132D56D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1189628 | PA      | $1082523.66   | 0.37%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    548034 | PA      | $498503.40    | 0.17%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DMKF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4452639 | PA      | $4372832.07   | 1.49%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DNF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2976147 | PA      | $2431220.57   | 0.83%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DPHR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144266 | PA      | $149660.86    | 0.05%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DS6E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2648677 | PA      | $2240379.54   | 0.76%             | 2054-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DSP55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1102338 | PA      | $900501.82    | 0.31%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DV5U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336755 | PA      | $328435.65    | 0.11%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1834637 | PA      | $1495069.78   | 0.51%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5167557 | PA      | $4436464.16   | 1.51%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DVML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1530986 | PA      | $1496991.90   | 0.51%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1531074 | PA      | $1611322.01   | 0.55%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3954720 | PA      | $3215845.45   | 1.10%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1587351 | PA      | $1349831.80   | 0.46%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWB51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2530025 | PA      | $2052022.82   | 0.70%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2435551 | PA      | $1978801.17   | 0.67%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    708632 | PA      | $575491.14    | 0.20%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2416020 | PA      | $2341078.66   | 0.80%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWEP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1413996 | PA      | $1246519.73   | 0.42%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2395838 | PA      | $2321299.30   | 0.79%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWH22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    858294 | PA      | $865207.24    | 0.29%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2158803 | PA      | $2178635.81   | 0.74%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWJD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2338138 | PA      | $2263044.75   | 0.77%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1660386 | PA      | $1698178.41   | 0.58%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    953563 | PA      | $974139.86    | 0.33%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    647080 | PA      | $659870.16    | 0.22%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2020978 | PA      | $2033673.37   | 0.69%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWN82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2326449 | PA      | $2340354.75   | 0.80%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132DWNH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2668678 | PA      | $2634764.42   | 0.90%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3132E0U67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    516139 | PA      | $537102.29    | 0.18%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GD5K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1691 | PA      | $1685.11      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GDEC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1791 | PA      | $1784.70      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GDQH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1795 | PA      | $1788.88      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GDS86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3118 | PA      | $3107.59      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GEJ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2635 | PA      | $2626.07      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GEK58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       210 | PA      | $209.10       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GES84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4220 | PA      | $4204.96      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GESE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       666 | PA      | $663.48       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GEV56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2625 | PA      | $2668.70      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GFKT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60174 | PA      | $61271.38     | 0.02%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GGEW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       668 | PA      | $665.60       | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GGHW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20514 | PA      | $20443.03     | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GJ4Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20566 | PA      | $20068.84     | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GSDF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192104 | PA      | $187126.83    | 0.06%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GT6G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80551 | PA      | $76508.87     | 0.03%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GTYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11774 | PA      | $10859.74     | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132GVL67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16280 | PA      | $15015.85     | 0.01%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132H3JX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17784 | PA      | $16769.62     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132H3K44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49518 | PA      | $46725.67     | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132H3LK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30852 | PA      | $29143.79     | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132H5A73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29964 | PA      | $28309.97     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132H5AH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61278 | PA      | $58083.68     | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132H7BD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53130 | PA      | $50191.77     | 0.02%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132H7DU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210444 | PA      | $199538.74    | 0.07%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HLGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10286 | PA      | $9533.52      | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HLMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10807 | PA      | $9988.91      | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HLR70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5225 | PA      | $4842.06      | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HMWN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8082 | PA      | $7451.37      | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HNBY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10931 | PA      | $10075.37     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HNTL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22365 | PA      | $20697.67     | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HP2U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13611 | PA      | $12569.61     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HP4P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64213 | PA      | $59204.23     | 0.02%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HP7F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16340 | PA      | $15096.68     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HPY65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55199 | PA      | $50972.46     | 0.02%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HPZ49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14669 | PA      | $13492.60     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HPZH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10341 | PA      | $9526.99      | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HQBC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155449 | PA      | $144088.71    | 0.05%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HQCZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74061 | PA      | $68351.97     | 0.02%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HQFN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3044 | PA      | $2841.57      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HQJB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10427 | PA      | $9577.57      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HQKU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7408 | PA      | $6823.95      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HQMQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17773 | PA      | $16446.69     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HQN65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8823 | PA      | $8195.77      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HQPN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208792 | PA      | $193692.42    | 0.07%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HQQ39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4030 | PA      | $3746.95      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HQV33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7342 | PA      | $6762.81      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HQXJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157480 | PA      | $145731.85    | 0.05%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HREL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16740 | PA      | $15550.47     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HRMV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    568228 | PA      | $527736.28    | 0.18%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132HRPU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22399 | PA      | $20620.17     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132L5TH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22622 | PA      | $22124.59     | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132L5TJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9921 | PA      | $9698.30      | 0.00%             | 2040-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132L7YL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209999 | PA      | $195906.69    | 0.07%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211726 | PA      | $200317.84    | 0.07%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132MAUA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3126 | PA      | $3028.50      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132QMS36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9325 | PA      | $8781.41      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132QMXE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14956 | PA      | $14061.02     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132QNRH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46044 | PA      | $43268.65     | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132QSGY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5734 | PA      | $5365.18      | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132QTF76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7922 | PA      | $7428.16      | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132QUC50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13627 | PA      | $12741.99     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132QWWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115087 | PA      | $107714.51    | 0.04%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132WDYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141478 | PA      | $132337.66    | 0.05%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132WE6P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47203 | PA      | $44035.52     | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132WHNX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17057 | PA      | $15907.41     | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132WJJJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14678 | PA      | $13688.68     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 3132XCR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150137 | PA      | $140437.73    | 0.05%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 31334XD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37916 | PA      | $35293.35     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31335AJ33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236954 | PA      | $236190.91    | 0.08%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31335ARL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353299 | PA      | $344898.78    | 0.12%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31335ATT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162223 | PA      | $158118.63    | 0.05%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31335AZH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98896 | PA      | $92259.37     | 0.03%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                          | CUSIP: 31335BCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5170166 | PA      | $4668961.81   | 1.59%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3133KGR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2264262 | PA      | $2033872.12   | 0.69%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3133KKH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272271 | PA      | $243376.04    | 0.08%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3653364 | PA      | $3115380.15   | 1.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3133KMGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2518531 | PA      | $2059754.39   | 0.70%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3133KMM77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1397534 | PA      | $1198504.47   | 0.41%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3133KNGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3900629 | PA      | $3158823.71   | 1.08%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3133KQDS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    763311 | PA      | $790421.65    | 0.27%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                             | CUSIP: 3133TCZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1622 | PA      | $1648.37      | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                             | CUSIP: 3133TTRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42641 | PA      | $43576.96     | 0.01%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                                                      | CUSIP: 31342A6D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54533 | PA      | $56014.75     | 0.02%             | 2033-09-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                                                      | CUSIP: 31342A6F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2540 | PA      | $2610.85      | 0.00%             | 2033-09-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                                                      | CUSIP: 31342AP86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3187 | PA      | $3266.14      | 0.00%             | 2033-04-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                                                      | CUSIP: 31349UCW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1950 | PA      | $2007.25      | 0.00%             | 2034-10-01      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                                                      | CUSIP: 31349UEJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2963 | PA      | $3053.78      | 0.00%             | 2034-11-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                                                      | CUSIP: 31349ULB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2393 | PA      | $2466.97      | 0.00%             | 2035-02-01      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                              | CUSIP: 31359X3X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26314 | PA      | $27729.05     | 0.01%             | 2030-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                              | CUSIP: 3136A1MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252547 | PA      | $253664.03    | 0.09%             | 2041-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                              | CUSIP: 3136A9EA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40164 | PA      | $42774.50     | 0.01%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                              | CUSIP: 3136ABDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168259 | PA      | $180732.14    | 0.06%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                              | CUSIP: 3136AYU84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1357910 | PA      | $1241016.18   | 0.42%             | 2044-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                              | CUSIP: 3136B0AM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    844912 | PA      | $823364.87    | 0.28%             | 2057-12-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                              | CUSIP: 3136B0LQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241385 | PA      | $27536.57     | 0.01%             | 2048-01-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                              | CUSIP: 3136B0WA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191171 | PA      | $20350.22     | 0.01%             | 2048-02-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                              | CUSIP: 3136BUZ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    634813 | PA      | $638376.30    | 0.22%             | 2055-03-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31371HDV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       564 | PA      | $567.29       | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31371KA50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15212 | PA      | $16149.93     | 0.01%             | 2031-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31371KCK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       422 | PA      | $448.48       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31378C4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       549 | PA      | $545.38       | 0.00%             | 2027-07-01      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                             | CUSIP: 3137B4PT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25887 | PA      | $27009.17     | 0.01%             | 2036-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                             | CUSIP: 3137B9HA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80193 | PA      | $7590.83      | 0.00%             | 2044-03-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                             | CUSIP: 3137BJMU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77143 | PA      | $8193.11      | 0.00%             | 2045-05-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                             | CUSIP: 3137BNHN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246304 | PA      | $234031.21    | 0.08%             | 2050-12-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                             | CUSIP: 3137BPDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367271 | PA      | $38731.31     | 0.01%             | 2046-05-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FJY60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1166000 | PA      | $1149112.47   | 0.39%             | 2030-12-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137FQKJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185028 | PA      | $185027.91    | 0.06%             | 2029-11-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                             | CUSIP: 3137FW6P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124806 | PA      | $25245.04     | 0.01%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H8U90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $759915.28    | 0.26%             | 2032-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                                   | CUSIP: 3137H9PB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $771742.48    | 0.26%             | 2032-12-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                             | CUSIP: 3137HJSY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336289 | PA      | $335923.00    | 0.11%             | 2055-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31385XK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       416 | PA      | $426.07       | 0.00%             | 2033-07-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31386G7J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1927 | PA      | $1924.64      | 0.00%             | 2040-11-01      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31388XVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14330 | PA      | $14078.34     | 0.00%             | 2033-08-01      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31389AY80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2760 | PA      | $2706.10      | 0.00%             | 2033-05-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31389AZ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       571 | PA      | $565.06       | 0.00%             | 2027-11-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31389AZ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1329 | PA      | $1318.79      | 0.00%             | 2037-12-01      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31389AZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       582 | PA      | $580.87       | 0.00%             | 2038-01-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31389AZQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3555 | PA      | $3484.79      | 0.00%             | 2032-08-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138A2JK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27316 | PA      | $27262.20     | 0.01%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138A46M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5797 | PA      | $5785.49      | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ABMY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5420 | PA      | $5394.44      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ABYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3337 | PA      | $3320.95      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138AFC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5650 | PA      | $5623.90      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138AGL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12688 | PA      | $12628.61     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138AK6U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12390 | PA      | $12331.29     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ALXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32494 | PA      | $32290.42     | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ANNR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72298 | PA      | $71957.72     | 0.02%             | 2036-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ANZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40638 | PA      | $40436.96     | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138APHA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9871 | PA      | $9824.17      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ARZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45587 | PA      | $45372.53     | 0.02%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ASU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5788 | PA      | $5760.44      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138AUP76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29970 | PA      | $29829.46     | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138AWBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10090 | PA      | $9555.05      | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138AWRQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36269 | PA      | $36098.50     | 0.01%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138AXT92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3056 | PA      | $3041.36      | 0.00%             | 2036-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138E22U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11656 | PA      | $11600.75     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138E23U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33689 | PA      | $33530.57     | 0.01%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138E6UM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3923 | PA      | $3697.81      | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138EBP58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162912 | PA      | $158496.44    | 0.05%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ECUR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2194 | PA      | $2184.33      | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138EDDT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37650 | PA      | $36630.03     | 0.01%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138EJ6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80351 | PA      | $75879.41     | 0.03%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138EJZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10301 | PA      | $9745.71      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138EKF83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179102 | PA      | $164734.48    | 0.06%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138EKFB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33185 | PA      | $31393.23     | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138EKUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98187 | PA      | $92683.01     | 0.03%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138EKVA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133791 | PA      | $126327.14    | 0.04%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ELJT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178613 | PA      | $168341.80    | 0.06%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178803 | PA      | $168406.81    | 0.06%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138EP2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40993 | PA      | $40582.10     | 0.01%             | 2045-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138EPK94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350309 | PA      | $347892.70    | 0.12%             | 2045-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138EPMV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17519 | PA      | $17763.23     | 0.01%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ER5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426876 | PA      | $422867.29    | 0.14%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ERH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51176 | PA      | $49086.69     | 0.02%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ERRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117003 | PA      | $109275.37    | 0.04%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ET6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    832803 | PA      | $824981.66    | 0.28%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138ETEF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294333 | PA      | $276588.01    | 0.09%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138LQ4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5340 | PA      | $5064.56      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138LSR85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7174 | PA      | $6714.26      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138LUSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16791 | PA      | $15903.58     | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138LYCW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22747 | PA      | $21403.23     | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138M1FV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18286 | PA      | $17246.54     | 0.01%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138M6AB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9897 | PA      | $9418.47      | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138M6P76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5547 | PA      | $5138.27      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138M8GU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37335 | PA      | $35227.19     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138MA4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3207 | PA      | $3025.42      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138MFW52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4571 | PA      | $4219.90      | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138MHKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4172 | PA      | $3870.69      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138MJGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18083 | PA      | $16772.30     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138MKQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39250 | PA      | $36374.66     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138MN5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30558 | PA      | $28419.53     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138MNJQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5751 | PA      | $5354.71      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138MQHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11607 | PA      | $10884.86     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138MRK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61500 | PA      | $57126.52     | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138MRXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12745 | PA      | $11789.08     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138NXP35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3473 | PA      | $3271.58      | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138NY2R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18157 | PA      | $17216.53     | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138NYAR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10361 | PA      | $9521.72      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138W02A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1430 | PA      | $1378.91      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138W0FU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21011 | PA      | $19373.13     | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138W1JV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79242 | PA      | $74676.83     | 0.03%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138W1LY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5899 | PA      | $5448.25      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138W3FS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34758 | PA      | $32289.11     | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138W4AP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14941 | PA      | $13750.86     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138W4VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10896 | PA      | $10317.09     | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138W5J74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17906 | PA      | $16957.26     | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138W6RN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174907 | PA      | $165621.77    | 0.06%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WDSQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5140 | PA      | $4792.04      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WEDP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47770 | PA      | $46093.54     | 0.02%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WEKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27055 | PA      | $25296.02     | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WERR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366741 | PA      | $344870.29    | 0.12%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WF3A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6484 | PA      | $6046.17      | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WGSQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10288 | PA      | $9590.65      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WHBX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3696 | PA      | $3637.46      | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WHGK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79487 | PA      | $76241.48     | 0.03%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WHGY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121460 | PA      | $119522.00    | 0.04%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WHM66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61786 | PA      | $55746.09     | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WHNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167494 | PA      | $160654.34    | 0.05%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WHT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41587 | PA      | $40923.51     | 0.01%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WHU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85427 | PA      | $77076.36     | 0.03%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WHWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37661 | PA      | $33979.14     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WJFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100328 | PA      | $90521.16     | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WJG44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285416 | PA      | $257486.29    | 0.09%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WJGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84919 | PA      | $76602.84     | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WJK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9565 | PA      | $8628.52      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WJQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68178 | PA      | $61513.11     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WJTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189426 | PA      | $170909.32    | 0.06%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WKET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11667 | PA      | $11063.57     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WKP74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9079 | PA      | $8228.29      | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WKP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81033 | PA      | $73028.78     | 0.02%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WMKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49169 | PA      | $45904.70     | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WMP47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4761 | PA      | $4391.52      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WMWQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86505 | PA      | $79790.10     | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WPFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181333 | PA      | $162237.18    | 0.06%             | 2043-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WPGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69706 | PA      | $64313.35     | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WRJW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6147 | PA      | $5797.51      | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WRNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71200 | PA      | $65609.02     | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WSQP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4049 | PA      | $3834.84      | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WTT97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110388 | PA      | $101684.64    | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WU3E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27062 | PA      | $25514.27     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WVH46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15584 | PA      | $14317.47     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WVN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39341 | PA      | $36202.49     | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138WZTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22564 | PA      | $21211.64     | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138X3XM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16814 | PA      | $15845.56     | 0.01%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138XDTL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30856 | PA      | $29127.89     | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138XXG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25092 | PA      | $23781.98     | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138XXZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16468 | PA      | $15488.13     | 0.01%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138XYCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8936 | PA      | $8360.84      | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138Y7XZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45047 | PA      | $42490.86     | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138YDZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11270 | PA      | $10535.04     | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138YF7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121390 | PA      | $117040.80    | 0.04%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138YFQY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11001 | PA      | $10301.24     | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138YKCT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9261 | PA      | $8666.77      | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138YLFS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39318 | PA      | $36938.70     | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3138YR3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40121 | PA      | $37468.90     | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31390NJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3770 | PA      | $3763.96      | 0.00%             | 2032-06-01      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31391NCY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10364 | PA      | $10651.66     | 0.00%             | 2032-11-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                              | CUSIP: 31394EUH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228210 | PA      | $234800.70    | 0.08%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                              | CUSIP: 31396VQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109011 | PA      | $9689.06      | 0.00%             | 2037-04-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                              | CUSIP: 31396YQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133690 | PA      | $9188.62      | 0.00%             | 2038-03-25      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                              | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268859 | PA      | $269955.77    | 0.09%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31401DNK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152836 | PA      | $156087.66    | 0.05%             | 2033-05-01      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31401KL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18998 | PA      | $19526.51     | 0.01%             | 2033-06-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31402N2R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133949 | PA      | $137539.99    | 0.05%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31402RE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2162 | PA      | $2260.51      | 0.00%             | 2035-05-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31403BAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61560 | PA      | $63474.22     | 0.02%             | 2033-10-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31406DG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2679 | PA      | $2762.65      | 0.00%             | 2034-11-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31406TLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3247 | PA      | $3357.51      | 0.00%             | 2035-04-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31407KRF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61790 | PA      | $63421.67     | 0.02%             | 2035-09-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140EU5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47838 | PA      | $44887.36     | 0.02%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140EU7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256645 | PA      | $239772.76    | 0.08%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140F5CV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63815 | PA      | $57577.24     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140F9WG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16061 | PA      | $14490.91     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140FDAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13756 | PA      | $12411.48     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140FFEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326989 | PA      | $295025.00    | 0.10%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140FRH57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41002 | PA      | $36994.43     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140FTJF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113517 | PA      | $102420.47    | 0.03%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140FXD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    861494 | PA      | $813695.29    | 0.28%             | 2056-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140FXEE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1268445 | PA      | $1198445.70   | 0.41%             | 2056-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140FXF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1392573 | PA      | $1313149.55   | 0.45%             | 2057-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140FXHZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    869547 | PA      | $857669.23    | 0.29%             | 2051-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140GULV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120181 | PA      | $117812.60    | 0.04%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140GYKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112528 | PA      | $107891.64    | 0.04%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140HBFN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204742 | PA      | $201219.21    | 0.07%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140HBH76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216702 | PA      | $207638.78    | 0.07%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140HLJY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1906 | PA      | $1863.21      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140HNEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3223775 | PA      | $2624844.16   | 0.89%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140J7R98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147221 | PA      | $141247.72    | 0.05%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140J7UE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416816 | PA      | $408863.90    | 0.14%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140JAEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1492238 | PA      | $1503714.72   | 0.51%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140JANT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343191 | PA      | $319329.83    | 0.11%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140JHAV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205573 | PA      | $200392.11    | 0.07%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140JLY81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2373 | PA      | $2313.33      | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140K0E38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4247 | PA      | $4152.37      | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140KMJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3204089 | PA      | $2609935.53   | 0.89%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140Q7W52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21148 | PA      | $19080.72     | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140Q83V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3664 | PA      | $3580.19      | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140Q8DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140044 | PA      | $134274.56    | 0.05%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140Q8G58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318882 | PA      | $305246.38    | 0.10%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140Q8KG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105566 | PA      | $101282.62    | 0.03%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140Q8QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    367023 | PA      | $351329.17    | 0.12%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140Q9CT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211981 | PA      | $203115.68    | 0.07%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140Q9ME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130956 | PA      | $125274.24    | 0.04%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140Q9MT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7852 | PA      | $7672.88      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140Q9NY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297455 | PA      | $290478.75    | 0.10%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QDMT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6610 | PA      | $6462.97      | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QEXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4981567 | PA      | $4290798.14   | 1.46%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QFFS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570034 | PA      | $510964.22    | 0.17%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QFFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554260 | PA      | $495438.82    | 0.17%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QFLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445295 | PA      | $399151.16    | 0.14%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QLC95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1589862 | PA      | $1364536.51   | 0.46%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QLD78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2028931 | PA      | $1736204.85   | 0.59%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QLDL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1593111 | PA      | $1365757.61   | 0.47%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QLDP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1619398 | PA      | $1385757.39   | 0.47%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QNCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2437766 | PA      | $1973310.61   | 0.67%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QNEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25450 | PA      | $20819.79     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QQGB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716669 | PA      | $730723.76    | 0.25%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QQUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555703 | PA      | $576655.41    | 0.20%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QTEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2365632 | PA      | $2422116.76   | 0.83%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QUHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1548460 | PA      | $1601038.57   | 0.55%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QUHY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2275483 | PA      | $2352036.48   | 0.80%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140QVWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1772426 | PA      | $1767779.07   | 0.60%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140W0C94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    952251 | PA      | $977963.62    | 0.33%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140W2VU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1972270 | PA      | $2022813.18   | 0.69%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140W4CQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2342114 | PA      | $2367247.25   | 0.81%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140X6S77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508522 | PA      | $454682.76    | 0.15%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140X7AV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277104 | PA      | $270431.31    | 0.09%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140X7HL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37571 | PA      | $36666.69     | 0.01%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140X8UE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605389 | PA      | $550464.48    | 0.19%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140X9D77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    833689 | PA      | $706716.45    | 0.24%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140X9XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317665 | PA      | $288821.70    | 0.10%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140XBR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318711 | PA      | $311625.83    | 0.11%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2075042 | PA      | $1778228.03   | 0.61%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140XDZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2163296 | PA      | $1847097.89   | 0.63%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140XFL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1183518 | PA      | $966818.00    | 0.33%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140XGV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1266488 | PA      | $1123769.56   | 0.38%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140XHCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5141269 | PA      | $4774351.59   | 1.63%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140XK6T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1597466 | PA      | $1370961.34   | 0.47%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140XKW89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    872147 | PA      | $713276.66    | 0.24%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140XLG77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7956086 | PA      | $6837938.71   | 2.33%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140XM3R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610567 | PA      | $552790.22    | 0.19%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140XMF35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    865676 | PA      | $901648.20    | 0.31%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140XPXJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25169 | PA      | $21290.87     | 0.01%             | 2054-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140XQPV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2375232 | PA      | $2455141.15   | 0.84%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140Y6DZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1284719 | PA      | $1327137.88   | 0.45%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140Y6TX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    871350 | PA      | $884122.52    | 0.30%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140Y7LE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1466625 | PA      | $1484273.54   | 0.51%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 3140Y7S41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    990824 | PA      | $1001465.97   | 0.34%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31410GD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       225 | PA      | $232.28       | 0.00%             | 2034-04-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31410GDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1080 | PA      | $1101.84      | 0.00%             | 2033-06-01      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31410GDL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57517 | PA      | $59352.07     | 0.02%             | 2035-02-01      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31410GDN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2034 | PA      | $2086.71      | 0.00%             | 2033-06-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31410GDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8306 | PA      | $8529.88      | 0.00%             | 2033-12-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31410GDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6200 | PA      | $6374.41      | 0.00%             | 2035-03-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31412N3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59980 | PA      | $59887.13     | 0.02%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31412P5Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1243 | PA      | $1238.28      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31412PSQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2784 | PA      | $2774.64      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31412Q7C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11164 | PA      | $11123.39     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31412UHQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1976 | PA      | $1968.94      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31416CCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       576 | PA      | $574.63       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31416WTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2023 | PA      | $2015.47      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417ACS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48196 | PA      | $45699.16     | 0.02%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417AVT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13786 | PA      | $13072.61     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417C3Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36168 | PA      | $33300.90     | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417CXC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12636 | PA      | $11925.45     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417ET50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106942 | PA      | $100823.80    | 0.03%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417FU63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441076 | PA      | $407034.40    | 0.14%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417FY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139139 | PA      | $128489.23    | 0.04%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417G4E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506397 | PA      | $466404.87    | 0.16%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417G6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56089 | PA      | $52909.79     | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417GAX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    543753 | PA      | $501744.78    | 0.17%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417GFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276432 | PA      | $255060.82    | 0.09%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417GJE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12075 | PA      | $11435.81     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417GL20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306651 | PA      | $282943.95    | 0.10%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417GMA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24749 | PA      | $22808.50     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417GMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33637 | PA      | $31853.06     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417GW77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171962 | PA      | $162030.47    | 0.06%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417HBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17689 | PA      | $16750.76     | 0.01%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417KUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2288 | PA      | $2233.73      | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417L5D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4552 | PA      | $4544.63      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31417NTY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2815 | PA      | $2810.67      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418ACX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14602 | PA      | $14533.39     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418AER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3877 | PA      | $3859.97      | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11573 | PA      | $10923.49     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418AL97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6198 | PA      | $5846.75      | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418AVA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364014 | PA      | $342251.08    | 0.12%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418B6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93550 | PA      | $84405.76     | 0.03%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418BP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69187 | PA      | $66755.88     | 0.02%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418BPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115905 | PA      | $111827.11    | 0.04%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418BZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64516 | PA      | $62099.44     | 0.02%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418C6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746678 | PA      | $728698.44    | 0.25%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418C7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61126 | PA      | $59654.61     | 0.02%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418CAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24304 | PA      | $23311.95     | 0.01%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418CCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99785 | PA      | $90031.24     | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418CCW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26364 | PA      | $25287.54     | 0.01%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78052 | PA      | $70422.46     | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    514317 | PA      | $464041.40    | 0.16%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418CUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4027 | PA      | $3938.86      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418CZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322058 | PA      | $314504.53    | 0.11%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2542124 | PA      | $2060059.12   | 0.70%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1575570 | PA      | $1276243.17   | 0.43%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418DCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2798 | PA      | $2735.62      | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418DR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493751 | PA      | $449640.28    | 0.15%             | 2035-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418DSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    795210 | PA      | $723891.27    | 0.25%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2474476 | PA      | $2015619.02   | 0.69%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2473305 | PA      | $2013801.25   | 0.69%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9951382 | PA      | $8089860.40   | 2.76%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    932002 | PA      | $938578.58    | 0.32%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418EEQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114988 | PA      | $111485.10    | 0.04%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723623 | PA      | $717575.21    | 0.24%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2417652 | PA      | $2470876.89   | 0.84%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418FDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376903 | PA      | $379270.65    | 0.13%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418MUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92107 | PA      | $91858.48     | 0.03%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418QJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1286 | PA      | $1282.99      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418RGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25287 | PA      | $25236.94     | 0.01%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31418UV84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11583 | PA      | $11536.84     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31419AK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55482 | PA      | $55372.83     | 0.02%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31419CQT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2163 | PA      | $2159.56      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                | CUSIP: 31419LZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2651 | PA      | $2645.98      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3142GQGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    658989 | PA      | $692035.82    | 0.24%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3142GQK68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1337778 | PA      | $1404864.30   | 0.48%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3142GR7A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    738507 | PA      | $775541.38    | 0.26%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3142GR7J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    684574 | PA      | $712699.34    | 0.24%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3142GSPC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1478054 | PA      | $1552173.93   | 0.53%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3142GSSD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    778768 | PA      | $818550.86    | 0.28%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3142GTK70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2681413 | PA      | $2645893.38   | 0.90%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3142GW3D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2497263 | PA      | $2539995.85   | 0.87%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                               | CUSIP: 3142J6AN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2687956 | PA      | $2651174.86   | 0.90%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2021-DNA5                                                        | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |     23023 | PA      | $23083.39     | 0.01%             | 2034-01-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36178SD21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108557 | PA      | $102726.52    | 0.03%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1745 | PA      | $1685.31      | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179MQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1090 | PA      | $1052.23      | 0.00%             | 2042-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179N5W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1548 | PA      | $1489.51      | 0.00%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119039 | PA      | $114678.46    | 0.04%             | 2043-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179QDZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1897 | PA      | $1825.58      | 0.00%             | 2044-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132247 | PA      | $127024.22    | 0.04%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179R4G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    343350 | PA      | $340317.97    | 0.12%             | 2046-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179RD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21643 | PA      | $20771.98     | 0.01%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    594380 | PA      | $570373.51    | 0.19%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15744 | PA      | $15099.52     | 0.01%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27676 | PA      | $26526.13     | 0.01%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217385 | PA      | $208295.08    | 0.07%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179S5N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    790711 | PA      | $779947.62    | 0.27%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179SWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    707333 | PA      | $700148.55    | 0.24%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179SYU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142904 | PA      | $141047.84    | 0.05%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46548 | PA      | $47010.89     | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179TAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136744 | PA      | $134882.86    | 0.05%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40058 | PA      | $39512.50     | 0.01%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    384927 | PA      | $379446.41    | 0.13%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87964 | PA      | $86711.79     | 0.03%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    251624 | PA      | $247570.15    | 0.08%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179U6U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1576700 | PA      | $1413780.91   | 0.48%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    428436 | PA      | $421532.44    | 0.14%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1216075 | PA      | $1227401.87   | 0.42%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    510053 | PA      | $501675.75    | 0.17%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    754667 | PA      | $761224.38    | 0.26%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75080 | PA      | $73846.49     | 0.03%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    469422 | PA      | $473207.15    | 0.16%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    598134 | PA      | $569542.87    | 0.19%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242057 | PA      | $238005.69    | 0.08%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357363 | PA      | $351493.52    | 0.12%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    291613 | PA      | $294146.46    | 0.10%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179V4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105747 | PA      | $98630.59     | 0.03%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1477543 | PA      | $1219186.76   | 0.42%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1010041 | PA      | $905017.68    | 0.31%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331776 | PA      | $296885.34    | 0.10%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179VZT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    509992 | PA      | $475670.12    | 0.16%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2808512 | PA      | $2415850.79   | 0.82%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    672084 | PA      | $599969.31    | 0.20%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1473977 | PA      | $1216205.11   | 0.41%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2898253 | PA      | $2587560.70   | 0.88%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2175976 | PA      | $2119952.79   | 0.72%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179XFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1203998 | PA      | $1221930.19   | 0.42%             | 2052-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2630879 | PA      | $2562329.61   | 0.87%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1373196 | PA      | $1369487.63   | 0.47%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36179XS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    764554 | PA      | $713100.93    | 0.24%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36184DP80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122127 | PA      | $113644.20    | 0.04%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 3618N5TM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    617060 | PA      | $611702.21    | 0.21%             | 2055-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36200C5K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       297 | PA      | $313.33       | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36200GF43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       503 | PA      | $530.81       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36200GFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       272 | PA      | $286.60       | 0.00%             | 2036-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36200KFF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5799 | PA      | $5895.84      | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36200N3F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50645 | PA      | $52163.68     | 0.02%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36200NTT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80209 | PA      | $82490.25     | 0.03%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36200NXX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59511 | PA      | $61191.41     | 0.02%             | 2034-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36201CL51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       109 | PA      | $110.63       | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36201EMY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       201 | PA      | $206.72       | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36201SQC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13926 | PA      | $14273.12     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36201SSM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7906 | PA      | $8082.63      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36201SSU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4676 | PA      | $4784.60      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36201U5P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9152 | PA      | $9356.59      | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36201UT53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2402 | PA      | $2438.00      | 0.00%             | 2033-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36201XRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       156 | PA      | $162.95       | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       541 | PA      | $523.24       | 0.00%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36202FDX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96391 | PA      | $97447.56     | 0.03%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1996 | PA      | $1931.91      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3208 | PA      | $3101.39      | 0.00%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36202K3W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        15 | PA      | $15.37        | 0.00%             | 2026-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36202S4V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       715 | PA      | $758.55       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36202SBG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2947 | PA      | $2987.85      | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36202TQH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1045 | PA      | $1108.66      | 0.00%             | 2036-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36206JCT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       789 | PA      | $789.24       | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36208CFB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1816 | PA      | $1825.98      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36209GR58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        87 | PA      | $88.58        | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36209Q3H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23878 | PA      | $24289.65     | 0.01%             | 2029-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 3620A7LX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83707 | PA      | $85278.30     | 0.03%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 3620AQNX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97588 | PA      | $97170.86     | 0.03%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 3620C06T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       470 | PA      | $496.70       | 0.00%             | 2039-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36210AT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48297 | PA      | $49767.29     | 0.02%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36210KDR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10905 | PA      | $11026.54     | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36213FHY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179291 | PA      | $184272.02    | 0.06%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36213X3S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6853 | PA      | $7002.21      | 0.00%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36225B7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       228 | PA      | $237.41       | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36225BXT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84592 | PA      | $86771.73     | 0.03%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CA97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1670 | PA      | $1668.68      | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CB54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4921 | PA      | $4927.70      | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CB62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5614 | PA      | $5622.60      | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1184 | PA      | $1183.12      | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CBN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       829 | PA      | $828.26       | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CCG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       967 | PA      | $968.75       | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CCU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2099 | PA      | $2103.12      | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6623 | PA      | $6634.14      | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CEF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       852 | PA      | $853.31       | 0.00%             | 2027-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CEL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         6 | PA      | $5.52         | 0.00%             | 2027-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CEP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2589 | PA      | $2595.26      | 0.00%             | 2027-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2568 | PA      | $2573.04      | 0.00%             | 2028-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2466 | PA      | $2471.30      | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CK70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1950 | PA      | $1964.89      | 0.00%             | 2029-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CKJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20489 | PA      | $20640.87     | 0.01%             | 2029-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CKX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5685 | PA      | $5729.15      | 0.00%             | 2029-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CL20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5641 | PA      | $5680.63      | 0.00%             | 2029-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8959 | PA      | $9022.34      | 0.00%             | 2029-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CLK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5572 | PA      | $5610.47      | 0.00%             | 2029-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3656 | PA      | $3681.15      | 0.00%             | 2029-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1293 | PA      | $1301.85      | 0.00%             | 2030-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2005 | PA      | $2019.39      | 0.00%             | 2029-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CME3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       131 | PA      | $131.69       | 0.00%             | 2029-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4197 | PA      | $4223.20      | 0.00%             | 2030-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17837 | PA      | $17999.95     | 0.01%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CN36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15145 | PA      | $15282.77     | 0.01%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CN77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2848 | PA      | $2874.79      | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7455 | PA      | $7504.17      | 0.00%             | 2030-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2491 | PA      | $2513.17      | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CNM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9259 | PA      | $9341.47      | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CNY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1152 | PA      | $1162.69      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CPN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31591 | PA      | $31895.99     | 0.01%             | 2030-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CQH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5757 | PA      | $5814.85      | 0.00%             | 2030-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CQN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9832 | PA      | $9921.51      | 0.00%             | 2030-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 36225CUK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16262 | PA      | $16425.76     | 0.01%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABB76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    784420 | PA      | $698780.87    | 0.24%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABD33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245688 | PA      | $211140.59    | 0.07%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABFH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391970 | PA      | $336607.70    | 0.11%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    789681 | PA      | $702233.73    | 0.24%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABJ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    521536 | PA      | $449014.83    | 0.15%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABJH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    913481 | PA      | $786458.88    | 0.27%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 3622ABKB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    333905 | PA      | $286744.03    | 0.10%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                             | CUSIP: 3622AEHP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1675861 | PA      | $1672093.02   | 0.57%             | 2056-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                 | GWT 2024-WLF2                                                                                  | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $599866.55    | 0.20%             | 2041-05-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290NBS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2617 | PA      | $2660.08      | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290QX75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5651 | PA      | $5787.53      | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290TNV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       422 | PA      | $447.87       | 0.00%             | 2036-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290TPS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       211 | PA      | $224.07       | 0.00%             | 2036-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290TQQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       237 | PA      | $245.48       | 0.00%             | 2036-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290TRL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       875 | PA      | $926.66       | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290TTJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1782 | PA      | $1894.01      | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290TTL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2270 | PA      | $2390.59      | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290TUC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       391 | PA      | $404.18       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290TUN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       866 | PA      | $912.57       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290TWR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       497 | PA      | $523.12       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290TWX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       396 | PA      | $412.91       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290TX79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       875 | PA      | $922.53       | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290TXK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       586 | PA      | $619.26       | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290TY45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1660 | PA      | $1763.92      | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290TY52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1130 | PA      | $1192.97      | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290UKK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1180 | PA      | $1246.99      | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290VKU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2047 | PA      | $2169.94      | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290VKV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       251 | PA      | $264.43       | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290VMA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1580 | PA      | $1667.42      | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290VNF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1005 | PA      | $1067.76      | 0.00%             | 2037-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36290XLG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6905 | PA      | $7041.40      | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36291GXG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7253 | PA      | $7384.74      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36291NPZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9540 | PA      | $9789.00      | 0.00%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36291Q6N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       434 | PA      | $457.31       | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36291YK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       809 | PA      | $854.36       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36291YKJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       338 | PA      | $357.82       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36291YL88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       632 | PA      | $654.80       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36291YLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       513 | PA      | $544.09       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36292DTP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       198 | PA      | $206.65       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36292KSV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       410 | PA      | $433.74       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36292L5H3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       544 | PA      | $577.31       | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36292L5P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       367 | PA      | $388.01       | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36292L6P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       509 | PA      | $537.23       | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36292L7E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       532 | PA      | $559.91       | 0.00%             | 2036-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36292LBM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       699 | PA      | $738.40       | 0.00%             | 2036-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36292LC77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       454 | PA      | $482.66       | 0.00%             | 2036-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36292M3H3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       583 | PA      | $620.22       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36292MDS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1245 | PA      | $1323.72      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36292N6W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4275 | PA      | $4544.28      | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36292N7M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1090 | PA      | $1159.76      | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294N4W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3438 | PA      | $3625.47      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294N6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5381 | PA      | $5730.24      | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294N7E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1396 | PA      | $1473.29      | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294N7H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2765 | PA      | $2917.61      | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294NA99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4417 | PA      | $4711.80      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294NMW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1056 | PA      | $1117.18      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294P5Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2056 | PA      | $2159.93      | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294P7G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1248 | PA      | $1316.31      | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294PA60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       818 | PA      | $860.22       | 0.00%             | 2036-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294PBX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       650 | PA      | $685.49       | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294Q6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       539 | PA      | $573.75       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294Q6Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       736 | PA      | $777.13       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294QAB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       579 | PA      | $615.85       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294QAV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       212 | PA      | $217.68       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294QAX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       546 | PA      | $576.94       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294QDK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       418 | PA      | $440.96       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294RBT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       657 | PA      | $688.80       | 0.00%             | 2037-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294RFC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1015 | PA      | $1076.15      | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294RUN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1143 | PA      | $1214.34      | 0.00%             | 2037-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294SAU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       414 | PA      | $434.02       | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294SC96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6264 | PA      | $6645.08      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294SDJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       249 | PA      | $263.44       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294ST49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2182 | PA      | $2318.15      | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294T2L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       706 | PA      | $751.24       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294T2N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       652 | PA      | $692.85       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294T2R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       762 | PA      | $806.31       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294T3G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       804 | PA      | $847.89       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294T3P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1488 | PA      | $1572.59      | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294T4B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1702 | PA      | $1791.65      | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294T4N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1737 | PA      | $1840.29      | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294T4V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       370 | PA      | $387.21       | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294TAS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        49 | PA      | $51.11        | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294TMK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       620 | PA      | $654.29       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294TYH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       835 | PA      | $881.22       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294TYS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1761 | PA      | $1850.04      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294TYU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1372 | PA      | $1445.95      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294TYW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       313 | PA      | $329.89       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294TZ24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       119 | PA      | $126.17       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294TZ81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       891 | PA      | $939.76       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294TZN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       617 | PA      | $643.64       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294TZP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       451 | PA      | $475.15       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294V3W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       467 | PA      | $482.61       | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294V4Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       670 | PA      | $700.68       | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294XCV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2759 | PA      | $2915.74      | 0.00%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294YMZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1090 | PA      | $1150.04      | 0.00%             | 2037-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36294YNL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       151 | PA      | $156.95       | 0.00%             | 2037-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36295ERY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1697 | PA      | $1790.75      | 0.00%             | 2037-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36295HRG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2176 | PA      | $2318.40      | 0.00%             | 2037-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36295PUN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       511 | PA      | $537.49       | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36295PZ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18055 | PA      | $18376.90     | 0.01%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                                                              | CUSIP: 36296GNX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1199 | PA      | $1262.00      | 0.00%             | 2038-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Government Fund   | Goldman Sachs Financial Square Government Fund                                                 | CUSIP: 38141W273<br>LEI: 549300BRJMXN4GUWZ402 | Long             | EC               | RF                | US        |   5263655 | NS      | $5263654.61   | 1.79%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38376MCC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57015 | PA      | $11038.65     | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38376VHU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128541 | PA      | $13304.03     | 0.00%             | 2040-02-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38378WUZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    441724 | PA      | $44562.07     | 0.02%             | 2043-08-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38379EW73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88310 | PA      | $4058.87      | 0.00%             | 2043-10-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38379M4U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164829 | PA      | $30611.27     | 0.01%             | 2045-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38379MNK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    229315 | PA      | $36706.09     | 0.01%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38379MVJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183719 | PA      | $21423.91     | 0.01%             | 2045-08-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38379NJV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6944 | PA      | $540.86       | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38379NLP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15481 | PA      | $2098.89      | 0.00%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38379PRR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6658 | PA      | $718.41       | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38379TYF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85418 | PA      | $9749.25      | 0.00%             | 2046-01-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38379VUJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121358 | PA      | $15780.29     | 0.01%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38380TZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405836 | PA      | $37922.57     | 0.01%             | 2047-07-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38380UBH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    889132 | PA      | $875571.84    | 0.30%             | 2047-12-16      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38380UM67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    863552 | PA      | $83582.00     | 0.03%             | 2048-01-20      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38380W4A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    351583 | PA      | $40479.49     | 0.01%             | 2048-05-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38380Y2Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    483647 | PA      | $56305.89     | 0.02%             | 2048-09-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38381BG65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131081 | PA      | $14184.34     | 0.00%             | 2049-01-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38381BZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196315 | PA      | $21347.39     | 0.01%             | 2049-01-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38381WVB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127757 | PA      | $14256.32     | 0.00%             | 2049-06-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38381YXM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    340911 | PA      | $33950.31     | 0.01%             | 2049-09-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38381YXT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    355812 | PA      | $40340.35     | 0.01%             | 2049-09-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38382BDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    989102 | PA      | $170620.74    | 0.06%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38382BUQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    851827 | PA      | $181017.07    | 0.06%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38382DJV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    507185 | PA      | $57904.51     | 0.02%             | 2050-02-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38382FV84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    501782 | PA      | $107420.40    | 0.04%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38382KWP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    940299 | PA      | $138223.75    | 0.05%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38382TD35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    810334 | PA      | $691247.50    | 0.24%             | 2051-06-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38382WCY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2131279 | PA      | $1868221.81   | 0.64%             | 2051-07-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38382XAA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2889576 | PA      | $2379807.52   | 0.81%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38384AEN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307541 | PA      | $18925.22     | 0.01%             | 2053-05-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                       | CUSIP: 38384CCB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2056224 | PA      | $2067074.70   | 0.70%             | 2053-07-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                          | Halseypoint CLO 7 LTD                                                                          | CUSIP: 40638LAL3<br>LEI: 5493000LI3XMVBCJEF82 | Long             | ABS-CBDO         | CORP              | JE        |    750000 | PA      | $750662.25    | 0.26%             | 2038-07-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                   | HarborView Mortgage Loan Trust 2005-16                                                         | CUSIP: 41161PYW7<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |      6651 | PA      | $7563.50      | 0.00%             | 2036-01-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                        | IRV Trust 2025-200P                                                                            | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $605053.99    | 0.21%             | 2047-03-14      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                        | IRV Trust 2025-200P                                                                            | CUSIP: 45006HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $247871.93    | 0.08%             | 2047-03-14      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                  | Impac CMB Trust Series 2004-8                                                                  | CUSIP: 45254NKQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1650 | PA      | $1624.75      | 0.00%             | 2034-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Invesco CLO LTD                                  | Invesco US CLO 2023-3 Ltd                                                                      | CUSIP: 46091RAN3<br>LEI: 213800YAVR2FVYDIRM63 | Long             | ABS-CBDO         | CORP              | JE        |    800000 | PA      | $801992.00    | 0.27%             | 2038-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                               | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $126144.83    | 0.04%             | 2039-10-05      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust Series 2024-VIS1                                                      | CUSIP: 465970AA9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    182486 | PA      | $183380.51    | 0.06%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2022-LTV1                                                             | CUSIP: 465976AB4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    628699 | PA      | $560877.02    | 0.19%             | 2052-07-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                                | CUSIP: 466317AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305264 | PA      | $299943.97    | 0.10%             | 2037-04-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust 2021-6                                                                | CUSIP: 46653PAC1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    354492 | PA      | $293896.19    | 0.10%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | J.P. Morgan Mortgage Trust 2021-LTV2                                                           | CUSIP: 46654VAA1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    435990 | PA      | $369585.26    | 0.13%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust Series 2024-3                                                         | CUSIP: 46657QAH4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    316243 | PA      | $288688.08    | 0.10%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | JP Morgan Mortgage Trust Series 2025-NQM5                                                      | CUSIP: 46664DAC5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    340693 | PA      | $339222.47    | 0.12%             | 2066-05-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                             | MAD Commercial Mortgage Trust 2025-11MD                                                        | CUSIP: 55616AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $150162.71    | 0.05%             | 2042-10-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                      | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E                                      | CUSIP: 59020UJR7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     14328 | PA      | $13763.17     | 0.00%             | 2029-11-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust   | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM9                                       | CUSIP: 61779VAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329748 | PA      | $328225.13    | 0.11%             | 2070-09-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust   | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC1                                       | CUSIP: 61790VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540964 | PA      | $543197.29    | 0.19%             | 2070-03-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust              | New Residential Mortgage Loan Trust 2015-1                                                     | CUSIP: 64829CAA6<br>LEI: 549300RCJSGOC0A85G53 | Long             | ABS-MBS          | CORP              | US        |     51589 | PA      | $49681.00     | 0.02%             | 2052-05-28      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2021-NQM4 Trust                                                                            | CUSIP: 67115DAA0<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    373809 | PA      | $319602.55    | 0.11%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2022-J2 Trust                                                                              | CUSIP: 67115QAA1<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |    186416 | PA      | $167956.20    | 0.06%             | 2052-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909           | NYC Commercial Mortgage Trust 2025-3BP                                                         | CUSIP: 67120UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $298469.49    | 0.10%             | 2042-02-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2025-NQM15 Trust                                                                           | CUSIP: 67122CAA3<br>LEI: 254900Y3YIZHUWMEGC78 | Long             | ABS-MBS          | CORP              | US        |    338169 | PA      | $337766.54    | 0.12%             | 2065-07-27      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909           | NYC Commercial Mortgage Trust 2025-11X                                                         | CUSIP: 67122NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $750064.44    | 0.26%             | 2040-10-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2025-NQM21 Trust                                                                           | CUSIP: 67448BAD6<br>LEI: 254900E5OS34AOMYSY84 | Long             | ABS-MBS          | CORP              | US        |    340375 | PA      | $338960.16    | 0.12%             | 2065-10-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                       | ROCK Trust 2024-CNTR                                                                           | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $457590.81    | 0.16%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                       | ROCK Trust 2024-CNTR                                                                           | CUSIP: 74970WAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $256814.33    | 0.09%             | 2041-11-13      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                             | SCG Trust 2025-SNIP                                                                            | CUSIP: 78398JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $374206.32    | 0.13%             | 2042-09-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                     | Sunnova Hestia I Issuer LLC                                                                    | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85866 | PA      | $84214.83     | 0.03%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2016-4                                                               | CUSIP: 89172UAC2<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |     20107 | PA      | $19997.29     | 0.01%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2017-4                                                               | CUSIP: 89173UAB3<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   1030153 | PA      | $981855.41    | 0.33%             | 2057-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                 | Trinitas Clo XX Ltd                                                                            | CUSIP: 89640EAN8<br>LEI: 5493007IXHTJ7TQMIW41 | Long             | ABS-CBDO         | CORP              | BM        |    550000 | PA      | $548288.95    | 0.19%             | 2035-07-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Inflation-Indexed Bonds                                                          | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2222036 | PA      | $1702461.39   | 0.58%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  1 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                                            | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    530000 | PA      | $516004.69    | 0.18%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  1 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bonds                                                                            | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    540000 | PA      | $526078.13    | 0.18%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  1 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                                            | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    556200 | PA      | $563934.66    | 0.19%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  1 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                                            | CUSIP: 91282CQF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1690000 | PA      | $1701618.75   | 0.58%             | 2033-03-31      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                                                            | CUSIP: 91282CQG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1370000 | PA      | $1365611.73   | 0.47%             | 2031-03-31      | Fixed         | 3.88%                 | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2021-8                                                              | CUSIP: 92538GAA0<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |    163431 | PA      | $148863.72    | 0.05%             | 2066-11-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                  | WHARF Commercial Mortgage Trust 2025-DC                                                        | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $203454.52    | 0.07%             | 2040-07-15      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust     | Wells Fargo Mortgage Backed Securities 2019-3 Trust                                            | CUSIP: 949831AA9<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |     21552 | PA      | $19494.55     | 0.01%             | 2049-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2025-5C4                                                 | CUSIP: 949931AC3<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $309980.75    | 0.11%             | 2058-05-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2026-1250B                                               | CUSIP: 949939AA0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $346232.85    | 0.12%             | 2041-03-10      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2021-C59                                                 | CUSIP: 95003CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $450512.56    | 0.15%             | 2054-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                | CUSIP: 95003PAC5<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $275717.84    | 0.09%             | 2035-07-15      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BR247832  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247832  IRS USD P F  3.06188 2 CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2140000 | OU      | $12409.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BR247831  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247831  IRS USD P F  3.80536 2 CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1690000 | OU      | $12280.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: SR247830  IRS USD R F  3.37935 2 CCPOIS / Short: SR247830  IRS USD P V 00MSOFR 1 CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3080000 | OU      | $-34977.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: SR253557  IRS USD R F  3.46917 2 CCPOIS / Short: SR253557  IRS USD P V 00MSOFR 1 CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1470000 | OU      | $-10770.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BR253555  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR253555  IRS USD P F  3.17379 2 CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    990000 | OU      | $4674.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BR253556  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR253556  IRS USD P F  3.82858 2 CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    840000 | OU      | $4508.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BR255477  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255477  IRS USD P F  3.40711 2 CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3700000 | OU      | $64787.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BR255481  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR255481  IRS USD P F  3.17503 2 CCPOIS  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4850000 | OU      | $33529.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                         | Long: BR255098  IRS CAD R V 00MCORRA 1 CCPOIS / Short: BR255098  IRS CAD P F  2.50000 2 CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    480000 | OU      | $2054.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US LONG BOND(CBT) JUN26                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -3 | NC      | $6539.15      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA BOND CBT JUN26                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -34 | NC      | $123382.67    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE (CBT)JUN26                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -60 | NC      | $7761.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE (CBT) JUN26                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -155 | NC      | $49532.67     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) JUN26                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -19 | NC      | $31795.44     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR ULTRA FUT JUN26                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        23 | NC      | $-32616.82    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-04

**Name of Applicant:** GOLDMAN SACHS TRUST

**Signature:** Allison Fracchiolla

**Name of Signer:** Allison Fracchiolla

**Title:** Vice President