# EDGAR Filing Document

**Accession Number:** 0001491978
**File Stem:** 0002071691-26-006208
**Filing Date:** 2026-3
**Character Count:** 165532
**Document Hash:** 0b89e0b7085ce1382067efae331b280d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-006208.hdr.sgml**: 20260325

**ACCESSION NUMBER**: 0002071691-26-006208

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260325

**DATE AS OF CHANGE**: 20260325

**PERIOD START**: 20261031

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22555
- **FILM NUMBER:** 26788659

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Chicago

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60603

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2026-01-31

**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:** $92714734.48

**Total Liabilities:** $1073945.29

**Net Assets:** $91640789.19

**Cash Not Reported:** $3281206.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1846.00000000 | **1-Year:** 294.00000000 | **5-Year:** 1514.00000000 | **10-Year:** 16138.00000000 | **30-Year:** 16473.00000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000144481 | 0.55%                | 0.29%                | 0.29%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $243580.90                                 |
| Month 2  | $-3078.12                | $-26994.20                                 |
| Month 3  | $3406.25                 | $-43487.65                                 |

**Designated Index Information**

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

- **Index Identifier:** MLCDUSMBS

### Schedule of Portfolio Investments

| Name          | Title                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC         | FHLMC                        | CUSIP: 3128M9LU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27221 | PA      | $25237.10     | 0.03%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M4NK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33588 | PA      | $35484.09     | 0.04%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J54S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49821 | PA      | $49869.95     | 0.05%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95612 | PA      | $97409.35     | 0.11%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    974802 | PA      | $846819.81    | 0.92%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179Y2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286941 | PA      | $296842.15    | 0.32%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31416XJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8216 | PA      | $7871.22      | 0.01%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417BHU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19283 | PA      | $17857.19     | 0.02%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A5ER2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194191 | PA      | $194382.88    | 0.21%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474738 | PA      | $459566.35    | 0.50%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131X7HZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10701 | PA      | $10631.94     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WBEH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12043 | PA      | $12285.59     | 0.01%             | 2044-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M7QY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11995 | PA      | $12311.86     | 0.01%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ERJB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304429 | PA      | $302565.96    | 0.33%             | 2031-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132ADUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26663 | PA      | $25455.76     | 0.03%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DWMC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338624 | PA      | $350346.39    | 0.38%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WGAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    797543 | PA      | $783663.19    | 0.86%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X6KQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358240 | PA      | $358463.91    | 0.39%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138W4AY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7445 | PA      | $6644.41      | 0.01%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335ANN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9169 | PA      | $8938.23      | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132WHXB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17189 | PA      | $15773.63     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MQTK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181727 | PA      | $163023.18    | 0.18%             | 2042-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DM6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184091 | PA      | $180585.28    | 0.20%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ELWE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68087 | PA      | $66861.43     | 0.07%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WDBZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5925 | PA      | $5930.49      | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A5DA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10009 | PA      | $10019.11     | 0.01%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86643 | PA      | $81283.72     | 0.09%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138AWB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12970 | PA      | $12766.29     | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MMQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176918 | PA      | $174551.87    | 0.19%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40172 | PA      | $39449.26     | 0.04%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132L7F95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14421 | PA      | $14036.92     | 0.02%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ERDM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15560 | PA      | $15574.87     | 0.02%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A5GT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321268 | PA      | $320890.79    | 0.35%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417AXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9266 | PA      | $9206.31      | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131XCJX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8601 | PA      | $8228.30      | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1111890 | PA      | $925372.19    | 1.01%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417BSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35900 | PA      | $33244.71     | 0.04%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EPKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324219 | PA      | $321881.62    | 0.35%             | 2030-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132GLKV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45703 | PA      | $43809.99     | 0.05%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417EZB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24616 | PA      | $22764.47     | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179RVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186763 | PA      | $186493.95    | 0.20%             | 2045-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417NBY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30386 | PA      | $31153.73     | 0.03%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J8MA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40876 | PA      | $40409.22     | 0.04%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202EHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41996 | PA      | $43530.32     | 0.05%             | 2036-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36241L4P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33389 | PA      | $33978.15     | 0.04%             | 2041-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A5EF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29660 | PA      | $28881.64     | 0.03%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J7YE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24950 | PA      | $24974.83     | 0.03%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 31329LBH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18982 | PA      | $18825.37     | 0.02%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AAXZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32329 | PA      | $33145.58     | 0.04%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418ADR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M9LK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15683 | PA      | $14539.54     | 0.02%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A9Q67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    467471 | PA      | $454550.94    | 0.50%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138W0F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6368 | PA      | $5712.81      | 0.01%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90191 | PA      | $90089.00     | 0.10%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335AZ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39189 | PA      | $36296.78     | 0.04%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M6KB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32351 | PA      | $33206.86     | 0.04%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1078934 | PA      | $897939.97    | 0.98%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M8N26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22177 | PA      | $23428.86     | 0.03%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417AQE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13283 | PA      | $13041.27     | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418EZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    874880 | PA      | $894639.29    | 0.98%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417EMZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101958 | PA      | $94321.01     | 0.10%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J5RK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266746 | PA      | $260621.96    | 0.28%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EPLC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115482 | PA      | $115951.33    | 0.13%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140EVZB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29018 | PA      | $29749.12     | 0.03%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A3NC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32704 | PA      | $31326.09     | 0.03%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WEAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20476 | PA      | $19951.97     | 0.02%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36241LSS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12896 | PA      | $13288.61     | 0.01%             | 2040-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418EPN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    842615 | PA      | $873707.61    | 0.95%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179SCB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264317 | PA      | $270902.23    | 0.30%             | 2046-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131XLT98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19313 | PA      | $18339.79     | 0.02%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M7QZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23767 | PA      | $24349.94     | 0.03%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131WRNG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24520 | PA      | $24619.20     | 0.03%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418EUS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621453 | PA      | $622858.92    | 0.68%             | 2038-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417FZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17317 | PA      | $17079.63     | 0.02%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J74Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238207 | PA      | $235487.67    | 0.26%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XHSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1016556 | PA      | $870415.61    | 0.95%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31368HMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28177 | PA      | $29739.10     | 0.03%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131WM6M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54085 | PA      | $55452.14     | 0.06%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417ARL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13372 | PA      | $13295.37     | 0.01%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138W92S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16181 | PA      | $15815.02     | 0.02%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ARGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16037 | PA      | $15754.84     | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32554 | PA      | $31170.44     | 0.03%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A22K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34080 | PA      | $34940.34     | 0.04%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EKAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20962 | PA      | $20784.83     | 0.02%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128K8GL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11675 | PA      | $11976.14     | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418CDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249403 | PA      | $233575.17    | 0.25%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131X8T63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99763 | PA      | $98435.44     | 0.11%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DWJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263755 | PA      | $275897.70    | 0.30%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DWBT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    728632 | PA      | $595036.77    | 0.65%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36295DNC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750383 | PA      | $754851.36    | 0.82%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EPTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11677 | PA      | $11971.68     | 0.01%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179XTH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110183 | PA      | $114379.58    | 0.12%             | 2053-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10667 | PA      | $10400.33     | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ETWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64451 | PA      | $64514.74     | 0.07%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    618511 | PA      | $479434.92    | 0.52%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410LC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65988 | PA      | $66256.29     | 0.07%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ETDZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5638 | PA      | $5530.25      | 0.01%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138XDTR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23113 | PA      | $22597.07     | 0.02%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WQCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78280 | PA      | $76766.76     | 0.08%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MMWV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425122 | PA      | $415616.75    | 0.45%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56072 | PA      | $55144.97     | 0.06%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WJU22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20509 | PA      | $20499.90     | 0.02%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31402QVH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90948 | PA      | $94592.56     | 0.10%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31416BTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29643 | PA      | $30335.40     | 0.03%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11618 | PA      | $12067.51     | 0.01%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ETMS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8343 | PA      | $8135.26      | 0.01%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EQU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50986 | PA      | $50079.17     | 0.05%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26569 | PA      | $26645.01     | 0.03%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WAAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62528 | PA      | $62589.31     | 0.07%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31416YWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16946 | PA      | $17374.30     | 0.02%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36295WJR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170604 | PA      | $165537.55    | 0.18%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31368HNG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17935 | PA      | $18931.12     | 0.02%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140W0ZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1248974 | PA      | $1294878.50   | 1.41%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128LXCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202DY21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16420 | PA      | $16834.35     | 0.02%             | 2033-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218920 | PA      | $225045.61    | 0.25%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131X62L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3960 | PA      | $3938.20      | 0.00%             | 2026-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592311 | PA      | $554971.73    | 0.61%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WQAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9520 | PA      | $8504.95      | 0.01%             | 2043-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417FMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36533 | PA      | $32469.15     | 0.04%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AAVR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31538 | PA      | $28940.98     | 0.03%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EPTS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81475 | PA      | $82871.96     | 0.09%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133L7X51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    766225 | PA      | $709765.41    | 0.77%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MDYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56990 | PA      | $52775.18     | 0.06%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WAYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13364 | PA      | $13377.18     | 0.01%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 3622AAXB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1352226 | PA      | $1271118.06   | 1.39%             | 2046-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131WN3Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26495 | PA      | $27164.52     | 0.03%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MAEB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11096 | PA      | $10287.64     | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J7MF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385873 | PA      | $381815.51    | 0.42%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    589710 | PA      | $611012.21    | 0.67%             | 2053-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36296Q6W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    785367 | PA      | $802274.54    | 0.88%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7205 | PA      | $7323.31      | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EL5N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10133 | PA      | $9904.72      | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36225B5Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12250 | PA      | $12597.74     | 0.01%             | 2034-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132FCBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5152 | PA      | $5287.97      | 0.01%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31416YXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7493 | PA      | $7529.93      | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36241LM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225481 | PA      | $218989.79    | 0.24%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179RGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109471 | PA      | $112198.85    | 0.12%             | 2045-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ETHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29188 | PA      | $29216.46     | 0.03%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WVFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11893 | PA      | $11904.88     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A7H20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22630 | PA      | $22468.90     | 0.02%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WHWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13605 | PA      | $13035.09     | 0.01%             | 2031-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418BFU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10836 | PA      | $11085.24     | 0.01%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MQVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46645 | PA      | $46057.63     | 0.05%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418ACN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884107 | PA      | $871393.69    | 0.95%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1221871 | PA      | $994014.90    | 1.08%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417DJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22110 | PA      | $21920.37     | 0.02%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410LHR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46358 | PA      | $46345.37     | 0.05%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418FEV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    835688 | PA      | $873898.61    | 0.95%             | 2054-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131X8YD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137492 | PA      | $135520.24    | 0.15%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138X3EZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10121 | PA      | $9904.49      | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ASSD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52776 | PA      | $52990.53     | 0.06%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132L7F79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94470 | PA      | $92102.23     | 0.10%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MACV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61108 | PA      | $64512.30     | 0.07%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417YUG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418ENM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162662 | PA      | $168293.92    | 0.18%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132J6Z98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15211 | PA      | $14149.91     | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MDZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40455 | PA      | $37463.66     | 0.04%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XHBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291320 | PA      | $289116.78    | 0.32%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132QVMX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14848 | PA      | $14475.34     | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418FL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    812202 | PA      | $842053.22    | 0.92%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EKA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96440 | PA      | $98878.89     | 0.11%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJSK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15283 | PA      | $14159.61     | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MMSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    280907 | PA      | $277408.24    | 0.30%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WJB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22165 | PA      | $22123.27     | 0.02%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179YHV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100049 | PA      | $103468.07    | 0.11%             | 2053-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179X5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    421659 | PA      | $437352.40    | 0.48%             | 2053-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132ACQ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.02         | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MMQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201397 | PA      | $198607.10    | 0.22%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8780 | PA      | $9216.92      | 0.01%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJYW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18142 | PA      | $15872.28     | 0.02%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31405ML62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21001 | PA      | $21650.30     | 0.02%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31415P4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4324 | PA      | $4477.52      | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EKGF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29563 | PA      | $28064.56     | 0.03%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36180AAJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    583469 | PA      | $601519.65    | 0.66%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XJCA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    522507 | PA      | $511742.20    | 0.56%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EJHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56425 | PA      | $56689.02     | 0.06%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662444 | PA      | $598318.89    | 0.65%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418E3G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411230 | PA      | $429910.14    | 0.47%             | 2054-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132CWZJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138LTKF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17608 | PA      | $16675.79     | 0.02%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 3618N5MT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    714074 | PA      | $735377.00    | 0.80%             | 2055-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MSC49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194542 | PA      | $174157.20    | 0.19%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A4Q84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11214 | PA      | $11016.18     | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XNC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655663 | PA      | $674760.29    | 0.74%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418FKQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540116 | PA      | $558814.79    | 0.61%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EKVL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61746 | PA      | $59019.98     | 0.06%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138NYQR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23826 | PA      | $22665.97     | 0.02%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 312938Z97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9783 | PA      | $10042.10     | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179Y2P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600858 | PA      | $620235.66    | 0.68%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYR84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22032 | PA      | $20809.18     | 0.02%             | 2039-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202FPJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13558 | PA      | $14053.86     | 0.02%             | 2041-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A9S57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57300 | PA      | $54565.98     | 0.06%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31416XJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16750 | PA      | $16085.75     | 0.02%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138NYGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22908 | PA      | $21213.11     | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJXF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22372 | PA      | $21808.59     | 0.02%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418D4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1189981 | PA      | $922142.95    | 1.01%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A44X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13211 | PA      | $13264.50     | 0.01%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138NYES0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138743 | PA      | $136882.23    | 0.15%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36241K3U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34240 | PA      | $35449.53     | 0.04%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417CKM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88034 | PA      | $83897.73     | 0.09%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410LL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8273 | PA      | $8306.93      | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138X6P58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66476 | PA      | $64970.97     | 0.07%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335BEE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45261 | PA      | $46456.88     | 0.05%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EMLK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16514 | PA      | $17430.91     | 0.02%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138LUSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12311 | PA      | $11753.70     | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AAUN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48283 | PA      | $48330.45     | 0.05%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140HJJT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    946160 | PA      | $964269.71    | 1.05%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132GD6Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36945 | PA      | $37923.70     | 0.04%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3142GSRB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    881791 | PA      | $904521.92    | 0.99%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31296YNP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25290 | PA      | $25454.07     | 0.03%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36209FDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253877 | PA      | $245753.05    | 0.27%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335BQT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22145 | PA      | $22729.31     | 0.02%             | 2044-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WCPE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    862243 | PA      | $850327.89    | 0.93%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WBRB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111477 | PA      | $111586.67    | 0.12%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XCBQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    663909 | PA      | $613918.40    | 0.67%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138XEJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14334 | PA      | $14258.03     | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A9SG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16521 | PA      | $15831.75     | 0.02%             | 2031-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J87F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20229 | PA      | $20739.05     | 0.02%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M9D25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3272 | PA      | $3358.97      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ENMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61035 | PA      | $59798.47     | 0.07%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XLTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1253853 | PA      | $1113246.52   | 1.21%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    580620 | PA      | $494938.25    | 0.54%             | 2041-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31414LB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34628 | PA      | $35502.64     | 0.04%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ELKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408387 | PA      | $405503.73    | 0.44%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140EA3X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51479 | PA      | $50225.34     | 0.05%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131WNLY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16753 | PA      | $17176.44     | 0.02%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335A3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37494 | PA      | $38420.84     | 0.04%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132CWGG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    549516 | PA      | $543461.99    | 0.59%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ANNB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211565 | PA      | $216913.92    | 0.24%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179XNJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    817837 | PA      | $849615.76    | 0.93%             | 2052-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 31329LEW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5818 | PA      | $5756.22      | 0.01%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYSC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78627 | PA      | $73808.47     | 0.08%             | 2039-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 3620A2UF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    740922 | PA      | $742324.11    | 0.81%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132D6CX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    655029 | PA      | $656510.06    | 0.72%             | 2037-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    514508 | PA      | $532880.45    | 0.58%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509634 | PA      | $461598.24    | 0.50%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138Y64A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13337 | PA      | $13390.85     | 0.01%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138AYV30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21021 | PA      | $20900.90     | 0.02%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418AAW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2031-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC | UMBS, 30 Year, Single Family | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $572958.37    | 0.63%             | 2056-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 3622A22C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    677424 | PA      | $652431.94    | 0.71%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYUU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135006 | PA      | $119464.42    | 0.13%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3129325Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35744 | PA      | $36689.20     | 0.04%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    638701 | PA      | $544967.34    | 0.59%             | 2041-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417ACQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95666 | PA      | $91516.62     | 0.10%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131XH4A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40248 | PA      | $39548.53     | 0.04%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DYG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348180 | PA      | $296364.77    | 0.32%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36297F3D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.01         | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WTRL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5070 | PA      | $4578.96      | 0.00%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133GCVZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226704 | PA      | $205263.25    | 0.22%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202F4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9251 | PA      | $9589.43      | 0.01%             | 2042-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417CBP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56809 | PA      | $56377.31     | 0.06%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJWW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64267 | PA      | $62663.22     | 0.07%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A4E95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    305205 | PA      | $273225.25    | 0.30%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J9W64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57640 | PA      | $51551.09     | 0.06%             | 2046-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418AAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297742 | PA      | $293517.47    | 0.32%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140QRFX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    769258 | PA      | $772385.88    | 0.84%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418CE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15786 | PA      | $13774.64     | 0.02%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    705875 | PA      | $680157.28    | 0.74%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WFKD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264805 | PA      | $257583.41    | 0.28%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335AQL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25963 | PA      | $27430.46     | 0.03%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XHKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1158941 | PA      | $1210933.26   | 1.32%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417ARG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8215 | PA      | $8165.49      | 0.01%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WAWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19923 | PA      | $19461.69     | 0.02%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EKG74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30690 | PA      | $29195.91     | 0.03%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36241LLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220288 | PA      | $213963.26    | 0.23%             | 2040-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347034 | PA      | $344448.15    | 0.38%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DPWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66215 | PA      | $69079.87     | 0.08%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138AFEH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10642 | PA      | $10911.48     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414581 | PA      | $362305.29    | 0.40%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYUG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445231 | PA      | $379492.78    | 0.41%             | 2040-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MMVV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    642716 | PA      | $628780.26    | 0.69%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EGE75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80153 | PA      | $84356.16     | 0.09%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138AG3P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8974 | PA      | $9010.33      | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J5NB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46509 | PA      | $46554.71     | 0.05%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X4GD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55124 | PA      | $58218.49     | 0.06%             | 2049-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M9TQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    508979 | PA      | $483352.10    | 0.53%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XAXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285984 | PA      | $267895.10    | 0.29%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132ABA44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147167 | PA      | $147312.41    | 0.16%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJFQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38671 | PA      | $40864.15     | 0.04%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EMWZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639917 | PA      | $623133.81    | 0.68%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418FBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242800 | PA      | $251204.87    | 0.27%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XMGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229426 | PA      | $207787.12    | 0.23%             | 2037-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MMUB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510809 | PA      | $496213.85    | 0.54%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MDTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    454742 | PA      | $449751.43    | 0.49%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AA4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25064 | PA      | $24422.91     | 0.03%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138X6UF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8244 | PA      | $8047.83      | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138W9HL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3853 | PA      | $3760.61      | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MMVZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    800533 | PA      | $774102.49    | 0.84%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31368HMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13438 | PA      | $13743.84     | 0.01%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A3GX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37480 | PA      | $38427.12     | 0.04%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31416YLR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13295 | PA      | $13630.70     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138Y63W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91310 | PA      | $88653.01     | 0.10%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132CWZ31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    579036 | PA      | $547764.11    | 0.60%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MC3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18576 | PA      | $17672.06     | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EKSG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13402 | PA      | $12749.24     | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AAKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179N5Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36229 | PA      | $37552.82     | 0.04%             | 2044-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31402DM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32934 | PA      | $34261.22     | 0.04%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A5CQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9335 | PA      | $9087.99      | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140QQWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63562 | PA      | $66899.52     | 0.07%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459826 | PA      | $417914.97    | 0.46%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J56Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10342 | PA      | $10117.73     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410F4V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13077 | PA      | $13382.29     | 0.01%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A5B38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13262 | PA      | $13274.74     | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AEGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231660 | PA      | $221152.80    | 0.24%             | 2032-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A5CF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3077 | PA      | $2992.65      | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A9AD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13181 | PA      | $12941.12     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417YTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302825 | PA      | $283863.48    | 0.31%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DTL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114306 | PA      | $103535.92    | 0.11%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138W9HB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14803 | PA      | $14467.83     | 0.02%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138AFFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16793 | PA      | $16861.38     | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XKME7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    954069 | PA      | $950297.42    | 1.04%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WEGT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17631 | PA      | $17210.27     | 0.02%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335AYK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14275 | PA      | $13926.07     | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138XBBW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163024 | PA      | $160157.88    | 0.17%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31292SAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    454359 | PA      | $432750.61    | 0.47%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138XBAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11008 | PA      | $10746.54     | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410GZ48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12352 | PA      | $13037.46     | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132ACEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15001 | PA      | $14649.96     | 0.02%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418DKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27595 | PA      | $25868.94     | 0.03%             | 2040-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    478561 | PA      | $406948.33    | 0.44%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    422227 | PA      | $372509.75    | 0.41%             | 2041-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XPUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1338669 | PA      | $1315034.75   | 1.43%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179XVX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163997 | PA      | $170154.59    | 0.19%             | 2053-03-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M4E90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32829 | PA      | $33648.36     | 0.04%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131X7KE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6722 | PA      | $6678.44      | 0.01%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417C5E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48032 | PA      | $47098.47     | 0.05%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8639 | PA      | $8420.25      | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DWJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300138 | PA      | $307949.12    | 0.34%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131XKV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60749 | PA      | $57659.04     | 0.06%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138M6JS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61688 | PA      | $61139.35     | 0.07%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31403DWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28403 | PA      | $29975.16     | 0.03%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179YDN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    364169 | PA      | $376646.17    | 0.41%             | 2053-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ASW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38366 | PA      | $37557.30     | 0.04%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DWLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155336 | PA      | $160713.69    | 0.18%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EHBB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45679 | PA      | $46834.48     | 0.05%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    930670 | PA      | $912382.92    | 1.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X4TN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13331 | PA      | $13164.57     | 0.01%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 312944K59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8976 | PA      | $8850.81      | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179Y5N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243780 | PA      | $252255.59    | 0.28%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418D2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455802 | PA      | $410316.82    | 0.45%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ENU64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35178 | PA      | $35222.12     | 0.04%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410GE90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7252 | PA      | $7529.69      | 0.01%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ETDN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19645 | PA      | $19664.75     | 0.02%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J56K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70862 | PA      | $69893.82     | 0.08%             | 2029-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138E2NC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5985 | PA      | $5950.85      | 0.01%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XA7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332439 | PA      | $327221.75    | 0.36%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140EUKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51320 | PA      | $51467.63     | 0.06%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179QWC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29595 | PA      | $26479.12     | 0.03%             | 2044-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 31329M4J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8755 | PA      | $8554.30      | 0.01%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J87H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18295 | PA      | $19283.62     | 0.02%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335ABB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    305509 | PA      | $303436.88    | 0.33%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179WT32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    311522 | PA      | $297447.26    | 0.32%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MEYU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261793 | PA      | $260116.25    | 0.28%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202E2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11224 | PA      | $11635.00     | 0.01%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XKJA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826662 | PA      | $782874.69    | 0.85%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417ECJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30149 | PA      | $27918.96     | 0.03%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179M5K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30424 | PA      | $27189.33     | 0.03%             | 2043-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36176XUX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349562 | PA      | $330935.86    | 0.36%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M7MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19513 | PA      | $19997.23     | 0.02%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC | UMBS, 15 Year, Single Family | CUSIP: 01F022428<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $283257.17    | 0.31%             | 2041-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X43D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143045 | PA      | $140558.50    | 0.15%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J5FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12124 | PA      | $11804.41     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M9CN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56551 | PA      | $52429.37     | 0.06%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418FLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    920235 | PA      | $933433.22    | 1.02%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WAWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24733 | PA      | $24165.18     | 0.03%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133GCJU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    288252 | PA      | $267494.36    | 0.29%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138AFCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12853 | PA      | $12905.18     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 3620AY6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431268 | PA      | $414837.26    | 0.45%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418AM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6802 | PA      | $6719.17      | 0.01%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36176XJ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    783390 | PA      | $725249.84    | 0.79%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418FH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    811334 | PA      | $848190.74    | 0.93%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133D3L94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85689 | PA      | $75893.74     | 0.08%             | 2040-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131WRR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18483 | PA      | $18558.10     | 0.02%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X7M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586261 | PA      | $566067.19    | 0.62%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J8JK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107521 | PA      | $105298.27    | 0.11%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EQAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8847 | PA      | $8617.27      | 0.01%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M7HB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10471 | PA      | $10730.23     | 0.01%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138W9TL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9555 | PA      | $9581.98      | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DUD87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.02         | 0.00%             | 2054-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138NXLD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142711 | PA      | $140377.11    | 0.15%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DNWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    612909 | PA      | $651174.64    | 0.71%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132HQ3K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13962 | PA      | $12940.04     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179Y5Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157138 | PA      | $162419.19    | 0.18%             | 2054-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138E7TW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12633 | PA      | $12547.99     | 0.01%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138AYV22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64383 | PA      | $63978.82     | 0.07%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WHMS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12899 | PA      | $12897.91     | 0.01%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9849 | PA      | $10395.80     | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X5FF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402375 | PA      | $392714.67    | 0.43%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYVG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    375067 | PA      | $339242.12    | 0.37%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    489683 | PA      | $433693.16    | 0.47%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132DNDW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132558 | PA      | $128196.73    | 0.14%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15858 | PA      | $15922.77     | 0.02%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M74Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24788 | PA      | $26084.38     | 0.03%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410KFX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23547 | PA      | $24770.94     | 0.03%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M6VZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28545 | PA      | $29300.32     | 0.03%             | 2038-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179UWC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5820 | PA      | $6004.31      | 0.01%             | 2049-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418CKW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328223 | PA      | $324820.64    | 0.35%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179R7L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216949 | PA      | $216636.90    | 0.24%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131WNX25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16127 | PA      | $16591.45     | 0.02%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418CCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47987 | PA      | $41931.24     | 0.05%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EPSH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25061 | PA      | $25085.80     | 0.03%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179XNH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295867 | PA      | $304921.29    | 0.33%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31371LVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20597 | PA      | $21666.85     | 0.02%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MB5T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10360 | PA      | $9879.59      | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ENVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25756 | PA      | $25220.94     | 0.03%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418MG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4123 | PA      | $4278.76      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EHFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83863 | PA      | $87250.61     | 0.10%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9222 | PA      | $9455.30      | 0.01%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 31427QN99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    583451 | PA      | $606542.59    | 0.66%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X5VB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22936 | PA      | $22666.47     | 0.02%             | 2029-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138NY4Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14688 | PA      | $14014.87     | 0.02%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31419A4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16872 | PA      | $16178.49     | 0.02%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A9NH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    797827 | PA      | $785606.68    | 0.86%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X4H58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64936 | PA      | $64049.11     | 0.07%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    770429 | PA      | $727694.51    | 0.79%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 31329LFE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9167 | PA      | $9044.70      | 0.01%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    660328 | PA      | $579228.10    | 0.63%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XGHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418MZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26266 | PA      | $27170.33     | 0.03%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202EAK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5609 | PA      | $5814.26      | 0.01%             | 2034-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418MKZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25710 | PA      | $26294.13     | 0.03%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179YRM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234394 | PA      | $242942.97    | 0.27%             | 2054-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A9SR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17576 | PA      | $16821.22     | 0.02%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138ERT91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9816 | PA      | $9825.53      | 0.01%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138LTN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18551 | PA      | $17636.96     | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179NDP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43685 | PA      | $39006.21     | 0.04%             | 2043-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138MALJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51399 | PA      | $47597.43     | 0.05%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132ADZX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14639 | PA      | $14430.94     | 0.02%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132ACHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23515 | PA      | $23538.07     | 0.03%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26531 | PA      | $25880.34     | 0.03%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    973145 | PA      | $843419.42    | 0.92%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36241KU30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27595 | PA      | $28570.00     | 0.03%             | 2038-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138APRG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105560 | PA      | $103725.76    | 0.11%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5484 | PA      | $5676.64      | 0.01%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138E3AV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19973 | PA      | $19568.58     | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A8SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53084 | PA      | $50747.94     | 0.06%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202D2E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15543 | PA      | $15940.84     | 0.02%             | 2033-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AAEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417EHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68378 | PA      | $63320.34     | 0.07%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M4RD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21728 | PA      | $22958.21     | 0.03%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131XTF54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8074 | PA      | $8076.45      | 0.01%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 312934HF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34418 | PA      | $35330.04     | 0.04%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132AAB52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EQAM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103340 | PA      | $100703.84    | 0.11%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EBP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59019 | PA      | $58216.51     | 0.06%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36179XNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    451015 | PA      | $459668.98    | 0.50%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138M0U24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9361 | PA      | $9190.42      | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140J5PN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44532 | PA      | $47005.42     | 0.05%             | 2042-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A4SQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14610 | PA      | $14552.04     | 0.02%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJRE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7476 | PA      | $6930.85      | 0.01%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJRT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48875 | PA      | $45313.15     | 0.05%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31410LNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27343 | PA      | $28033.82     | 0.03%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138WBQU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30199 | PA      | $30285.78     | 0.03%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XNKZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333862 | PA      | $349027.92    | 0.38%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1232003 | PA      | $1094179.78   | 1.19%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31418FPT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465353 | PA      | $469959.47    | 0.51%             | 2045-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128M8H98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17380 | PA      | $17795.00     | 0.02%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3133G6PA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    949606 | PA      | $907339.71    | 0.99%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA          | GNMA                         | CUSIP: 36202D4P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18996 | PA      | $19654.37     | 0.02%             | 2034-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132A4M70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27312 | PA      | $27395.50     | 0.03%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3131XGLC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10931 | PA      | $10980.91     | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 31417EWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89064 | PA      | $82448.74     | 0.09%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31335AUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64035 | PA      | $67651.06     | 0.07%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 31292SAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15128 | PA      | $14016.28     | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3128MJSS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19783 | PA      | $18310.22     | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3138EPAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82155 | PA      | $82236.13     | 0.09%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC         | FHLMC                        | CUSIP: 3132HLM34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26782 | PA      | $24830.42     | 0.03%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XALK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325162 | PA      | $304586.15    | 0.33%             | 2040-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool    | UMBS                         | CUSIP: 3132D6HH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1634577 | PA      | $1613168.01   | 1.76%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA          | UMBS                         | CUSIP: 3140XRJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    854591 | PA      | $857843.00    | 0.94%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-02

**Name of Applicant:** FlexShares Trust

**Signature:** Randal Rein

**Name of Signer:** Randal Rein

**Title:** Treasurer and PFO