# EDGAR Filing Document

**Accession Number:** 0001100663
**File Stem:** 0001410368-26-006918
**Filing Date:** 2026-1
**Character Count:** 4844345
**Document Hash:** add93156cdbbc35c674adcd9d67ec08a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-006918.hdr.sgml**: 20260123

**ACCESSION NUMBER**: 0001410368-26-006918

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260123

**DATE AS OF CHANGE**: 20260123

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** iSHARES TRUST
- **CENTRAL INDEX KEY:** 0001100663

**ORGANIZATION NAME:**
- **EIN:** 943351276
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-09729
- **FILM NUMBER:** 26557023

**BUSINESS ADDRESS:**
- **STREET 1:** 400 HOWARD STREET
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94105
- **BUSINESS PHONE:** (415) 670-2000

**MAIL ADDRESS:**
- **STREET 1:** 400 HOWARD STREET
- **CITY:** SAN FRANCISCO
- **STATE:** CA
- **ZIP:** 94105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ISHARES TRUST
- **DATE OF NAME CHANGE:** 19991213

## Series and Classes Contracts Data

### iShares MBS ETF (Series ID: S000013702)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000037544 | iShares MBS ETF | MBB             |

## Nport-Ex

Schedule of Investments (unaudited)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

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

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **U.S. Government Agency Obligations** | **U.S. Government Agency Obligations** | **U.S. Government Agency Obligations** |
| **Mortgage-Backed Securities — 102.9%** | **Mortgage-Backed Securities — 102.9%** | **Mortgage-Backed Securities — 102.9%** |
| Federal Home Loan Mortgage Corp. |  |  |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/28 | &nbsp;&nbsp;&nbsp; $15 | &nbsp;&nbsp; $14758 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/28 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3165 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/28 | &nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp; 52243 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/01/28 | &nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp; 29353 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/01/28 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12404 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/30 | &nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp; 42736 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/36 | &nbsp;&nbsp;&nbsp; 6942 | &nbsp;&nbsp; 6437087 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; 23872 | &nbsp;&nbsp; 22101585 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/01/36 | &nbsp;&nbsp;&nbsp; 11678 | &nbsp;&nbsp; 10809038 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 41328 | &nbsp;&nbsp; 38268631 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 17455 | &nbsp;&nbsp; 16160529 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 3488 | &nbsp;&nbsp; 3233878 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/37 | &nbsp;&nbsp;&nbsp; 11674 | &nbsp;&nbsp; 10813540 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/38 | &nbsp;&nbsp;&nbsp; 12134 | &nbsp;&nbsp; 11234184 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/51 | &nbsp;&nbsp;&nbsp; 22442 | &nbsp;&nbsp; 18284368 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/01/51 | &nbsp;&nbsp;&nbsp; 1347 | &nbsp;&nbsp; 1107327 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/51 | &nbsp;&nbsp;&nbsp; 33882 | &nbsp;&nbsp; 27798113 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/51 | &nbsp;&nbsp;&nbsp; 6640 | &nbsp;&nbsp; 5492885 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/01/51 | &nbsp;&nbsp;&nbsp; 20298 | &nbsp;&nbsp; 16799384 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/51 | &nbsp;&nbsp;&nbsp; 18012 | &nbsp;&nbsp; 14876607 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/01/51 | &nbsp;&nbsp;&nbsp; 14525 | &nbsp;&nbsp; 11921927 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/52 | &nbsp;&nbsp;&nbsp; 12755 | &nbsp;&nbsp; 10495270 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/01/52 | &nbsp;&nbsp;&nbsp; 1138 | &nbsp;&nbsp; 946229 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/52 | &nbsp;&nbsp;&nbsp; 42311 | &nbsp;&nbsp; 34627575 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/53 | &nbsp;&nbsp;&nbsp; 13374 | &nbsp;&nbsp; 10981917 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 392 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/27 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4615 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/27 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6749 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/27 | &nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp; 62626 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/27 | &nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp; 113962 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/27 | &nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp; 117684 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/27 | &nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp; 63344 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/27 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1068 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/28 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2134 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/28 | &nbsp;&nbsp;&nbsp; 945 | &nbsp;&nbsp; 931305 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/28 | &nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp; 126689 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/28 | &nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp; 97186 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/28 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 22421 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/28 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp; 33314 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/28 | &nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp; 83198 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/28 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 26444 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 487 | &nbsp;&nbsp; 478416 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/29 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16636 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/29 | &nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp; 72256 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/29 | &nbsp;&nbsp;&nbsp; 388 | &nbsp;&nbsp; 379240 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/30 | &nbsp;&nbsp;&nbsp; 1776 | &nbsp;&nbsp; 1748428 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/30 | &nbsp;&nbsp;&nbsp; 241 | &nbsp;&nbsp; 236485 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/30 | &nbsp;&nbsp;&nbsp; 1387 | &nbsp;&nbsp; 1354324 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/30 | &nbsp;&nbsp;&nbsp; 1888 | &nbsp;&nbsp; 1841151 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/30 | &nbsp;&nbsp;&nbsp; 1719 | &nbsp;&nbsp; 1675160 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/30 | &nbsp;&nbsp;&nbsp; 4951 | &nbsp;&nbsp; 4828290 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/30 | &nbsp;&nbsp;&nbsp; 354 | &nbsp;&nbsp; 345297 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/30 | &nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp; 150996 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/30 | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp; 145801 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/30 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3420 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/30 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6126 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/31 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 19387 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/31 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1835 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/31 | &nbsp;&nbsp;&nbsp; $456 | &nbsp;&nbsp; $443284 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; 555 | &nbsp;&nbsp; 539525 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/31 | &nbsp;&nbsp;&nbsp; 478 | &nbsp;&nbsp; 464058 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/31 | &nbsp;&nbsp;&nbsp; 2519 | &nbsp;&nbsp; 2442341 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/31 | &nbsp;&nbsp;&nbsp; 2960 | &nbsp;&nbsp; 2869792 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 7429 | &nbsp;&nbsp; 7200572 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 10354 | &nbsp;&nbsp; 10028386 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 5791 | &nbsp;&nbsp; 5610837 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 735 | &nbsp;&nbsp; 709696 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/32 | &nbsp;&nbsp;&nbsp; 843 | &nbsp;&nbsp; 812742 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 3313 | &nbsp;&nbsp; 3206201 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/32 | &nbsp;&nbsp;&nbsp; 669 | &nbsp;&nbsp; 645209 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/32 | &nbsp;&nbsp;&nbsp; 6682 | &nbsp;&nbsp; 6438053 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/32 | &nbsp;&nbsp;&nbsp; 376 | &nbsp;&nbsp; 362779 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/33 | &nbsp;&nbsp;&nbsp; 3480 | &nbsp;&nbsp; 3356067 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/33 | &nbsp;&nbsp;&nbsp; 558 | &nbsp;&nbsp; 537836 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 672 | &nbsp;&nbsp; 645825 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/33 | &nbsp;&nbsp;&nbsp; 243 | &nbsp;&nbsp; 232273 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/34 | &nbsp;&nbsp;&nbsp; 262 | &nbsp;&nbsp; 250852 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 4032 | &nbsp;&nbsp; 3825611 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/43 | &nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp; 42523 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/43 | &nbsp;&nbsp;&nbsp; 528 | &nbsp;&nbsp; 476647 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/43 | &nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp; 63916 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/43 | &nbsp;&nbsp;&nbsp; 284 | &nbsp;&nbsp; 255628 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/43 | &nbsp;&nbsp;&nbsp; 220 | &nbsp;&nbsp; 198724 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/43 | &nbsp;&nbsp;&nbsp; 912 | &nbsp;&nbsp; 823660 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/43 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp; 90204 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/45 | &nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp; 66642 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/45 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 8362 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/46 | &nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp; 96339 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/46 | &nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp; 48492 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/46 | &nbsp;&nbsp;&nbsp; 771 | &nbsp;&nbsp; 677615 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/47 | &nbsp;&nbsp;&nbsp; 762 | &nbsp;&nbsp; 669629 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/47 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 11364 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/47 | &nbsp;&nbsp;&nbsp; 1649 | &nbsp;&nbsp; 1449025 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/51 | &nbsp;&nbsp;&nbsp; 119072 | &nbsp;&nbsp; 102685313 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/51 | &nbsp;&nbsp;&nbsp; 17245 | &nbsp;&nbsp; 14883430 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/51 | &nbsp;&nbsp;&nbsp; 1513 | &nbsp;&nbsp; 1316312 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/52 | &nbsp;&nbsp;&nbsp; 7845 | &nbsp;&nbsp; 6711077 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/52 | &nbsp;&nbsp;&nbsp; 31121 | &nbsp;&nbsp; 26745703 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/52 | &nbsp;&nbsp;&nbsp; 13829 | &nbsp;&nbsp; 11995597 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/52 | &nbsp;&nbsp;&nbsp; 22081 | &nbsp;&nbsp; 19089234 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/52 | &nbsp;&nbsp;&nbsp; 42790 | &nbsp;&nbsp; 36830075 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/54 | &nbsp;&nbsp;&nbsp; 37784 | &nbsp;&nbsp; 32371086 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/26 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16762 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/26 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 25227 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/26 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 19322 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/27 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1361 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/27 | &nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp; 70608 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/27 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1169 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/27 | &nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp; 126092 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/27 | &nbsp;&nbsp;&nbsp; 492 | &nbsp;&nbsp; 488378 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/27 | &nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp; 197854 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/27 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 28477 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/27 | &nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp; 61381 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/27 | &nbsp;&nbsp;&nbsp; 594 | &nbsp;&nbsp; 588704 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/27 | &nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp; 103395 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/27 | &nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp; 65030 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/28 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11416 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/28 | &nbsp;&nbsp;&nbsp; $6 | &nbsp;&nbsp; $5624 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/28 | &nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp; 74116 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/28 | &nbsp;&nbsp;&nbsp; 179 | &nbsp;&nbsp; 177643 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/28 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 927 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/28 | &nbsp;&nbsp;&nbsp; 541 | &nbsp;&nbsp; 534501 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/28 | &nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp; 93928 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/28 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 17864 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp; 66308 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/29 | &nbsp;&nbsp;&nbsp; 872 | &nbsp;&nbsp; 860300 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/29 | &nbsp;&nbsp;&nbsp; 1579 | &nbsp;&nbsp; 1557665 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/29 | &nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp; 108129 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/29 | &nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp; 160882 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/29 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10695 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/29 | &nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp; 41758 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/29 | &nbsp;&nbsp;&nbsp; 388 | &nbsp;&nbsp; 382986 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/29 | &nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp; 433883 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/30 | &nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp; 71490 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/30 | &nbsp;&nbsp;&nbsp; 689 | &nbsp;&nbsp; 679354 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/30 | &nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp; 140136 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/30 | &nbsp;&nbsp;&nbsp; 965 | &nbsp;&nbsp; 949461 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/30 | &nbsp;&nbsp;&nbsp; 1148 | &nbsp;&nbsp; 1130681 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/30 | &nbsp;&nbsp;&nbsp; 782 | &nbsp;&nbsp; 769524 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/30 | &nbsp;&nbsp;&nbsp; 182 | &nbsp;&nbsp; 179177 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/30 | &nbsp;&nbsp;&nbsp; 1011 | &nbsp;&nbsp; 994691 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/30 | &nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp; 166325 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/30 | &nbsp;&nbsp;&nbsp; 378 | &nbsp;&nbsp; 372187 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/30 | &nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp; 249963 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/31 | &nbsp;&nbsp;&nbsp; 487 | &nbsp;&nbsp; 478603 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/31 | &nbsp;&nbsp;&nbsp; 1787 | &nbsp;&nbsp; 1755456 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/31 | &nbsp;&nbsp;&nbsp; 1040 | &nbsp;&nbsp; 1021195 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/31 | &nbsp;&nbsp;&nbsp; 2640 | &nbsp;&nbsp; 2591131 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/31 | &nbsp;&nbsp;&nbsp; 2216 | &nbsp;&nbsp; 2175769 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/31 | &nbsp;&nbsp;&nbsp; 248 | &nbsp;&nbsp; 242637 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/31 | &nbsp;&nbsp;&nbsp; 527 | &nbsp;&nbsp; 516390 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/31 | &nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp; 67966 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/31 | &nbsp;&nbsp;&nbsp; 257 | &nbsp;&nbsp; 252367 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/32 | &nbsp;&nbsp;&nbsp; 921 | &nbsp;&nbsp; 902271 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/32 | &nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp; 249353 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 2078 | &nbsp;&nbsp; 2037219 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/32 | &nbsp;&nbsp;&nbsp; 181 | &nbsp;&nbsp; 176600 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/32 | &nbsp;&nbsp;&nbsp; 524 | &nbsp;&nbsp; 512121 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/32 | &nbsp;&nbsp;&nbsp; 1384 | &nbsp;&nbsp; 1351997 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/32 | &nbsp;&nbsp;&nbsp; 238 | &nbsp;&nbsp; 231914 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 2782 | &nbsp;&nbsp; 2718707 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/32 | &nbsp;&nbsp;&nbsp; 2476 | &nbsp;&nbsp; 2419375 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/33 | &nbsp;&nbsp;&nbsp; 2123 | &nbsp;&nbsp; 2073544 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/33 | &nbsp;&nbsp;&nbsp; 1466 | &nbsp;&nbsp; 1431619 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/33 | &nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp; 34860 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/33 | &nbsp;&nbsp;&nbsp; 4744 | &nbsp;&nbsp; 4617755 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/33 | &nbsp;&nbsp;&nbsp; 885 | &nbsp;&nbsp; 865512 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/33 | &nbsp;&nbsp;&nbsp; 356 | &nbsp;&nbsp; 346559 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp; 208127 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/34 | &nbsp;&nbsp;&nbsp; 1136 | &nbsp;&nbsp; 1101715 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/42 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 14230 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/42 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4229 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/42 | &nbsp;&nbsp;&nbsp; 487 | &nbsp;&nbsp; 453370 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/42 | &nbsp;&nbsp;&nbsp; 10281 | &nbsp;&nbsp; 9569473 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/42 | &nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp; 32344 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/43 | &nbsp;&nbsp;&nbsp; 3510 | &nbsp;&nbsp; 3266453 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/43 | &nbsp;&nbsp;&nbsp; 2652 | &nbsp;&nbsp; 2467218 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/43 | &nbsp;&nbsp;&nbsp; 817 | &nbsp;&nbsp; 757064 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/43 | &nbsp;&nbsp;&nbsp; $498 | &nbsp;&nbsp; $461057 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/43 | &nbsp;&nbsp;&nbsp; 1215 | &nbsp;&nbsp; 1124895 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/43 | &nbsp;&nbsp;&nbsp; 712 | &nbsp;&nbsp; 659294 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/43 | &nbsp;&nbsp;&nbsp; 1509 | &nbsp;&nbsp; 1395324 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/43 | &nbsp;&nbsp;&nbsp; 622 | &nbsp;&nbsp; 574591 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/43 | &nbsp;&nbsp;&nbsp; 1819 | &nbsp;&nbsp; 1681623 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/43 | &nbsp;&nbsp;&nbsp; 793 | &nbsp;&nbsp; 738628 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/44 | &nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp; 37979 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/45 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5139 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/45 | &nbsp;&nbsp;&nbsp; 1124 | &nbsp;&nbsp; 1039044 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/45 | &nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp; 174574 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/45 | &nbsp;&nbsp;&nbsp; 18123 | &nbsp;&nbsp; 16612469 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/45 | &nbsp;&nbsp;&nbsp; 5417 | &nbsp;&nbsp; 4932862 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/45 | &nbsp;&nbsp;&nbsp; 670 | &nbsp;&nbsp; 614620 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/45 | &nbsp;&nbsp;&nbsp; 2215 | &nbsp;&nbsp; 2030878 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/45 | &nbsp;&nbsp;&nbsp; 450 | &nbsp;&nbsp; 414197 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/45 | &nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp; 116273 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/45 | &nbsp;&nbsp;&nbsp; 445 | &nbsp;&nbsp; 410179 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/45 | &nbsp;&nbsp;&nbsp; 4384 | &nbsp;&nbsp; 4020093 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/46 | &nbsp;&nbsp;&nbsp; 1277 | &nbsp;&nbsp; 1171313 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/46 | &nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp; 81028 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/46 | &nbsp;&nbsp;&nbsp; 14369 | &nbsp;&nbsp; 13086241 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/46 | &nbsp;&nbsp;&nbsp; 396 | &nbsp;&nbsp; 360390 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/46 | &nbsp;&nbsp;&nbsp; 379 | &nbsp;&nbsp; 345198 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/46 | &nbsp;&nbsp;&nbsp; 833 | &nbsp;&nbsp; 766436 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/46 | &nbsp;&nbsp;&nbsp; 416 | &nbsp;&nbsp; 379043 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/46 | &nbsp;&nbsp;&nbsp; 11081 | &nbsp;&nbsp; 10116226 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/46 | &nbsp;&nbsp;&nbsp; 8938 | &nbsp;&nbsp; 8215996 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/46 | &nbsp;&nbsp;&nbsp; 20385 | &nbsp;&nbsp; 18671104 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/46 | &nbsp;&nbsp;&nbsp; 22055 | &nbsp;&nbsp; 20095862 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/46 | &nbsp;&nbsp;&nbsp; 36163 | &nbsp;&nbsp; 32995988 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/47 | &nbsp;&nbsp;&nbsp; 8447 | &nbsp;&nbsp; 7703971 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/47 | &nbsp;&nbsp;&nbsp; 40044 | &nbsp;&nbsp; 36629701 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/47 | &nbsp;&nbsp;&nbsp; 731 | &nbsp;&nbsp; 665452 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/47 | &nbsp;&nbsp;&nbsp; 1038 | &nbsp;&nbsp; 930702 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/47 | &nbsp;&nbsp;&nbsp; 11764 | &nbsp;&nbsp; 10809194 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/47 | &nbsp;&nbsp;&nbsp; 11528 | &nbsp;&nbsp; 10498674 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/47 | &nbsp;&nbsp;&nbsp; 10547 | &nbsp;&nbsp; 9606440 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/47 | &nbsp;&nbsp;&nbsp; 1855 | &nbsp;&nbsp; 1689022 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/47 | &nbsp;&nbsp;&nbsp; 3344 | &nbsp;&nbsp; 3045443 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/47 | &nbsp;&nbsp;&nbsp; 302 | &nbsp;&nbsp; 276166 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/47 | &nbsp;&nbsp;&nbsp; 558 | &nbsp;&nbsp; 511678 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/48 | &nbsp;&nbsp;&nbsp; 2099 | &nbsp;&nbsp; 1916964 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/48 | &nbsp;&nbsp;&nbsp; 680 | &nbsp;&nbsp; 622598 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/48 | &nbsp;&nbsp;&nbsp; 279 | &nbsp;&nbsp; 253389 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/48 | &nbsp;&nbsp;&nbsp; 333 | &nbsp;&nbsp; 301607 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/48 | &nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp; 507786 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/50 | &nbsp;&nbsp;&nbsp; 1529 | &nbsp;&nbsp; 1385830 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/50 | &nbsp;&nbsp;&nbsp; 2859 | &nbsp;&nbsp; 2579606 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/51 | &nbsp;&nbsp;&nbsp; 20787 | &nbsp;&nbsp; 18533866 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/51 | &nbsp;&nbsp;&nbsp; 1581 | &nbsp;&nbsp; 1421567 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/51 | &nbsp;&nbsp;&nbsp; 2324 | &nbsp;&nbsp; 2089278 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/51 | &nbsp;&nbsp;&nbsp; 9425 | &nbsp;&nbsp; 8550572 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/51 | &nbsp;&nbsp;&nbsp; 16456 | &nbsp;&nbsp; 14880718 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/51 | &nbsp;&nbsp;&nbsp; 3729 | &nbsp;&nbsp; 3365191 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/52 | &nbsp;&nbsp;&nbsp; 4750 | &nbsp;&nbsp; 4247066 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/52 | &nbsp;&nbsp;&nbsp; 19449 | &nbsp;&nbsp; 17436786 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/52 | &nbsp;&nbsp;&nbsp; 9388 | &nbsp;&nbsp; 8478729 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/52 | &nbsp;&nbsp;&nbsp; 11205 | &nbsp;&nbsp; 10100206 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 244 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/26 | &nbsp;&nbsp;&nbsp; $4 | &nbsp;&nbsp; $4089 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/26 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15222 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 392 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/26 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1761 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/26 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1585 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 297 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/26 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11479 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 184 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/26 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 33018 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/26 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp; 34031 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 388 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 752 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/26 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 26214 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/27 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3521 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 339 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/27 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 19938 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/27 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2932 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/28 | &nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp; 82196 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/28 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 17365 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/29 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5915 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/29 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4118 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/29 | &nbsp;&nbsp;&nbsp; 381 | &nbsp;&nbsp; 377589 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp; 41679 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/29 | &nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp; 58212 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/29 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5120 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/29 | &nbsp;&nbsp;&nbsp; 379 | &nbsp;&nbsp; 376563 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/29 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7006 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/30 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6673 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/30 | &nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp; 61770 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/30 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7983 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/31 | &nbsp;&nbsp;&nbsp; 888 | &nbsp;&nbsp; 880512 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 603 | &nbsp;&nbsp; 597824 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/32 | &nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp; 81027 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/32 | &nbsp;&nbsp;&nbsp; 854 | &nbsp;&nbsp; 845123 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 1009 | &nbsp;&nbsp; 998158 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/32 | &nbsp;&nbsp;&nbsp; 919 | &nbsp;&nbsp; 907769 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 1126 | &nbsp;&nbsp; 1113126 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp; 474173 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/32 | &nbsp;&nbsp;&nbsp; 2451 | &nbsp;&nbsp; 2424296 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/33 | &nbsp;&nbsp;&nbsp; 577 | &nbsp;&nbsp; 570386 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/33 | &nbsp;&nbsp;&nbsp; 178 | &nbsp;&nbsp; 175219 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/33 | &nbsp;&nbsp;&nbsp; 1003 | &nbsp;&nbsp; 989419 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/33 | &nbsp;&nbsp;&nbsp; 868 | &nbsp;&nbsp; 855508 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/33 | &nbsp;&nbsp;&nbsp; 507 | &nbsp;&nbsp; 499647 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/33 | &nbsp;&nbsp;&nbsp; 483 | &nbsp;&nbsp; 476643 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 4790 | &nbsp;&nbsp; 4707976 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/38 | &nbsp;&nbsp;&nbsp; 4212 | &nbsp;&nbsp; 4092605 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 4270 | &nbsp;&nbsp; 4145994 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/41 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7219 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/41 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9740 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/41 | &nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp; 30101 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/42 | &nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp; 105328 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/42 | &nbsp;&nbsp;&nbsp; 194 | &nbsp;&nbsp; 185122 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/42 | &nbsp;&nbsp;&nbsp; 1437 | &nbsp;&nbsp; 1381643 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/42 | &nbsp;&nbsp;&nbsp; 1272 | &nbsp;&nbsp; 1217170 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/42 | &nbsp;&nbsp;&nbsp; 908 | &nbsp;&nbsp; 868264 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/42 | &nbsp;&nbsp;&nbsp; 415 | &nbsp;&nbsp; 398097 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/42 | &nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp; 39427 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/42 | &nbsp;&nbsp;&nbsp; 3208 | &nbsp;&nbsp; 3081762 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/42 | &nbsp;&nbsp;&nbsp; 1112 | &nbsp;&nbsp; 1065859 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/42 | &nbsp;&nbsp;&nbsp; $658 | &nbsp;&nbsp; $629289 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/43 | &nbsp;&nbsp;&nbsp; 781 | &nbsp;&nbsp; 746174 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/43 | &nbsp;&nbsp;&nbsp; 698 | &nbsp;&nbsp; 670833 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/43 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 14114 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/43 | &nbsp;&nbsp;&nbsp; 2178 | &nbsp;&nbsp; 2086944 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/43 | &nbsp;&nbsp;&nbsp; 2216 | &nbsp;&nbsp; 2122119 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/43 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11116 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/43 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11139 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/44 | &nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp; 141509 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/44 | &nbsp;&nbsp;&nbsp; 326 | &nbsp;&nbsp; 309409 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/44 | &nbsp;&nbsp;&nbsp; 1150 | &nbsp;&nbsp; 1100873 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/44 | &nbsp;&nbsp;&nbsp; 6749 | &nbsp;&nbsp; 6398568 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/44 | &nbsp;&nbsp;&nbsp; 447 | &nbsp;&nbsp; 422841 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/44 | &nbsp;&nbsp;&nbsp; 4086 | &nbsp;&nbsp; 3859366 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/45 | &nbsp;&nbsp;&nbsp; 783 | &nbsp;&nbsp; 750903 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/45 | &nbsp;&nbsp;&nbsp; 3377 | &nbsp;&nbsp; 3235900 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/45 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2361 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/45 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 35528 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/45 | &nbsp;&nbsp;&nbsp; 402 | &nbsp;&nbsp; 383718 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/45 | &nbsp;&nbsp;&nbsp; 10605 | &nbsp;&nbsp; 10118821 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/45 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4631 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/45 | &nbsp;&nbsp;&nbsp; 292 | &nbsp;&nbsp; 276782 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/45 | &nbsp;&nbsp;&nbsp; 5174 | &nbsp;&nbsp; 4878448 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/46 | &nbsp;&nbsp;&nbsp; 4417 | &nbsp;&nbsp; 4185598 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/46 | &nbsp;&nbsp;&nbsp; 4736 | &nbsp;&nbsp; 4457366 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/46 | &nbsp;&nbsp;&nbsp; 1492 | &nbsp;&nbsp; 1406447 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/46 | &nbsp;&nbsp;&nbsp; 16726 | &nbsp;&nbsp; 15732215 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/46 | &nbsp;&nbsp;&nbsp; 4564 | &nbsp;&nbsp; 4342009 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/46 | &nbsp;&nbsp;&nbsp; 4637 | &nbsp;&nbsp; 4366901 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/46 | &nbsp;&nbsp;&nbsp; 3925 | &nbsp;&nbsp; 3710236 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/46 | &nbsp;&nbsp;&nbsp; 4721 | &nbsp;&nbsp; 4474564 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/46 | &nbsp;&nbsp;&nbsp; 415 | &nbsp;&nbsp; 391785 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/46 | &nbsp;&nbsp;&nbsp; 902 | &nbsp;&nbsp; 851193 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/46 | &nbsp;&nbsp;&nbsp; 5245 | &nbsp;&nbsp; 4950474 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/47 | &nbsp;&nbsp;&nbsp; 1346 | &nbsp;&nbsp; 1270970 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/47 | &nbsp;&nbsp;&nbsp; 4753 | &nbsp;&nbsp; 4494598 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/47 | &nbsp;&nbsp;&nbsp; 5900 | &nbsp;&nbsp; 5570125 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/47 | &nbsp;&nbsp;&nbsp; 2139 | &nbsp;&nbsp; 2016048 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/47 | &nbsp;&nbsp;&nbsp; 3960 | &nbsp;&nbsp; 3735533 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/47 | &nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp; 114180 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/47 | &nbsp;&nbsp;&nbsp; 4627 | &nbsp;&nbsp; 4355650 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/47 | &nbsp;&nbsp;&nbsp; 2676 | &nbsp;&nbsp; 2527054 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/47 | &nbsp;&nbsp;&nbsp; 20056 | &nbsp;&nbsp; 18892847 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/47 | &nbsp;&nbsp;&nbsp; 667 | &nbsp;&nbsp; 628160 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/47 | &nbsp;&nbsp;&nbsp; 1625 | &nbsp;&nbsp; 1529365 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/47 | &nbsp;&nbsp;&nbsp; 4948 | &nbsp;&nbsp; 4679583 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/48 | &nbsp;&nbsp;&nbsp; 944 | &nbsp;&nbsp; 888396 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/48 | &nbsp;&nbsp;&nbsp; 1987 | &nbsp;&nbsp; 1855353 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/48 | &nbsp;&nbsp;&nbsp; 9684 | &nbsp;&nbsp; 9103894 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/48 | &nbsp;&nbsp;&nbsp; 2227 | &nbsp;&nbsp; 2102391 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/48 | &nbsp;&nbsp;&nbsp; 6518 | &nbsp;&nbsp; 6143320 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/48 | &nbsp;&nbsp;&nbsp; 2175 | &nbsp;&nbsp; 2060390 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/49 | &nbsp;&nbsp;&nbsp; 2169 | &nbsp;&nbsp; 2041751 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/49 | &nbsp;&nbsp;&nbsp; 879 | &nbsp;&nbsp; 827811 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/49 | &nbsp;&nbsp;&nbsp; 953 | &nbsp;&nbsp; 897877 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/50 | &nbsp;&nbsp;&nbsp; 22951 | &nbsp;&nbsp; 21622908 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/51 | &nbsp;&nbsp;&nbsp; 31186 | &nbsp;&nbsp; 29321585 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/52 | &nbsp;&nbsp;&nbsp; 3361 | &nbsp;&nbsp; 3116682 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/53 | &nbsp;&nbsp;&nbsp; 32597 | &nbsp;&nbsp; 30524823 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/26 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3770 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 147 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/26 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $32 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 179 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 587 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 290 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 382 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/33 | &nbsp;&nbsp;&nbsp; 567 | &nbsp;&nbsp; 566373 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 390 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/34 | &nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp; 105569 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/34 | &nbsp;&nbsp;&nbsp; 424 | &nbsp;&nbsp; 423446 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/38 | &nbsp;&nbsp;&nbsp; 1640 | &nbsp;&nbsp; 1624468 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/39 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9948 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 429 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/39 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 19063 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/39 | &nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp; 40736 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/39 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5480 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/39 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6449 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/39 | &nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp; 56450 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/39 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10189 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/39 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 15927 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/40 | &nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp; 36303 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/40 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4471 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/40 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2644 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/40 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13205 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/40 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4306 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/40 | &nbsp;&nbsp;&nbsp; 1485 | &nbsp;&nbsp; 1465355 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/40 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7505 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/40 | &nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp; 81409 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/40 | &nbsp;&nbsp;&nbsp; 634 | &nbsp;&nbsp; 624384 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/41 | &nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp; 145870 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/41 | &nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp; 163874 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/41 | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 30994 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/41 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 22695 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/41 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15088 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/41 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 24574 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/41 | &nbsp;&nbsp;&nbsp; 2006 | &nbsp;&nbsp; 1977564 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/41 | &nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp; 77756 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/41 | &nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp; 241864 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/41 | &nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp; 51335 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/42 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 24094 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/42 | &nbsp;&nbsp;&nbsp; 4088 | &nbsp;&nbsp; 4030836 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/42 | &nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp; 35019 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/42 | &nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp; 120848 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/42 | &nbsp;&nbsp;&nbsp; 205 | &nbsp;&nbsp; 201669 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/42 | &nbsp;&nbsp;&nbsp; 1323 | &nbsp;&nbsp; 1298794 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/43 | &nbsp;&nbsp;&nbsp; 1234 | &nbsp;&nbsp; 1211751 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/43 | &nbsp;&nbsp;&nbsp; 203 | &nbsp;&nbsp; 199670 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/43 | &nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp; 104710 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/43 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2811 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/43 | &nbsp;&nbsp;&nbsp; 609 | &nbsp;&nbsp; 599079 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/44 | &nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp; 44604 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/44 | &nbsp;&nbsp;&nbsp; 695 | &nbsp;&nbsp; 682443 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/44 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13494 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/44 | &nbsp;&nbsp;&nbsp; 348 | &nbsp;&nbsp; 341004 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/44 | &nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp; 341595 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/44 | &nbsp;&nbsp;&nbsp; 1252 | &nbsp;&nbsp; 1223469 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/44 | &nbsp;&nbsp;&nbsp; 1713 | &nbsp;&nbsp; 1679938 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/44 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 18895 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/44 | &nbsp;&nbsp;&nbsp; 516 | &nbsp;&nbsp; 504146 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/44 | &nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp; 247473 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/44 | &nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp; 186378 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/44 | &nbsp;&nbsp;&nbsp; $694 | &nbsp;&nbsp; $677636 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/45 | &nbsp;&nbsp;&nbsp; 767 | &nbsp;&nbsp; 749884 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/45 | &nbsp;&nbsp;&nbsp; 5131 | &nbsp;&nbsp; 5011201 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/45 | &nbsp;&nbsp;&nbsp; 3499 | &nbsp;&nbsp; 3438510 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/45 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9599 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/45 | &nbsp;&nbsp;&nbsp; 912 | &nbsp;&nbsp; 890158 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/45 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 18858 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/45 | &nbsp;&nbsp;&nbsp; 1748 | &nbsp;&nbsp; 1705280 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/45 | &nbsp;&nbsp;&nbsp; 793 | &nbsp;&nbsp; 773190 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/45 | &nbsp;&nbsp;&nbsp; 593 | &nbsp;&nbsp; 579135 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/45 | &nbsp;&nbsp;&nbsp; 445 | &nbsp;&nbsp; 434075 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/46 | &nbsp;&nbsp;&nbsp; 817 | &nbsp;&nbsp; 796981 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/46 | &nbsp;&nbsp;&nbsp; 915 | &nbsp;&nbsp; 892192 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/46 | &nbsp;&nbsp;&nbsp; 843 | &nbsp;&nbsp; 819691 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/46 | &nbsp;&nbsp;&nbsp; 716 | &nbsp;&nbsp; 695617 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/46 | &nbsp;&nbsp;&nbsp; 3026 | &nbsp;&nbsp; 2941676 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/46 | &nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp; 91314 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/46 | &nbsp;&nbsp;&nbsp; 1687 | &nbsp;&nbsp; 1645897 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/46 | &nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp; 40937 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/46 | &nbsp;&nbsp;&nbsp; 764 | &nbsp;&nbsp; 742906 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/46 | &nbsp;&nbsp;&nbsp; 657 | &nbsp;&nbsp; 640878 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/46 | &nbsp;&nbsp;&nbsp; 11742 | &nbsp;&nbsp; 11413790 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/46 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 23302 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/47 | &nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp; 154078 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/47 | &nbsp;&nbsp;&nbsp; 3479 | &nbsp;&nbsp; 3381718 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/47 | &nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp; 141024 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/47 | &nbsp;&nbsp;&nbsp; 10007 | &nbsp;&nbsp; 9745466 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/47 | &nbsp;&nbsp;&nbsp; 376 | &nbsp;&nbsp; 364582 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/47 | &nbsp;&nbsp;&nbsp; 2341 | &nbsp;&nbsp; 2263247 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/47 | &nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp; 74410 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/47 | &nbsp;&nbsp;&nbsp; 712 | &nbsp;&nbsp; 689283 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/47 | &nbsp;&nbsp;&nbsp; 2975 | &nbsp;&nbsp; 2883018 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/47 | &nbsp;&nbsp;&nbsp; 4020 | &nbsp;&nbsp; 3885620 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/48 | &nbsp;&nbsp;&nbsp; 2649 | &nbsp;&nbsp; 2582413 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/48 | &nbsp;&nbsp;&nbsp; 7180 | &nbsp;&nbsp; 6996245 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/48 | &nbsp;&nbsp;&nbsp; 864 | &nbsp;&nbsp; 836189 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/48 | &nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp; 365505 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/48 | &nbsp;&nbsp;&nbsp; 9997 | &nbsp;&nbsp; 9742212 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/48 | &nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp; 55795 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/48 | &nbsp;&nbsp;&nbsp; 989 | &nbsp;&nbsp; 956518 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/48 | &nbsp;&nbsp;&nbsp; 911 | &nbsp;&nbsp; 888258 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/48 | &nbsp;&nbsp;&nbsp; 7093 | &nbsp;&nbsp; 6893089 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/48 | &nbsp;&nbsp;&nbsp; 783 | &nbsp;&nbsp; 754558 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/48 | &nbsp;&nbsp;&nbsp; 2036 | &nbsp;&nbsp; 1979894 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/49 | &nbsp;&nbsp;&nbsp; 2886 | &nbsp;&nbsp; 2814155 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/49 | &nbsp;&nbsp;&nbsp; 15348 | &nbsp;&nbsp; 14886584 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/49 | &nbsp;&nbsp;&nbsp; 701 | &nbsp;&nbsp; 678663 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/49 | &nbsp;&nbsp;&nbsp; 6368 | &nbsp;&nbsp; 6139794 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/49 | &nbsp;&nbsp;&nbsp; 644 | &nbsp;&nbsp; 624238 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/49 | &nbsp;&nbsp;&nbsp; 1245 | &nbsp;&nbsp; 1202927 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/49 | &nbsp;&nbsp;&nbsp; 20295 | &nbsp;&nbsp; 19815871 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/49 | &nbsp;&nbsp;&nbsp; 6158 | &nbsp;&nbsp; 6016771 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/52 | &nbsp;&nbsp;&nbsp; 10666 | &nbsp;&nbsp; 10204534 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/53 | &nbsp;&nbsp;&nbsp; 5418 | &nbsp;&nbsp; 5181847 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/30 | &nbsp;&nbsp;&nbsp; 293 | &nbsp;&nbsp; 294950 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1379 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 211 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1093 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 133 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/35 | &nbsp;&nbsp;&nbsp; $1 | &nbsp;&nbsp; $895 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/35 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp; 34350 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/35 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1759 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/35 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5700 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4514 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 24069 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1082 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 344 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/39 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 25637 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 703 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/39 | &nbsp;&nbsp;&nbsp; 1470 | &nbsp;&nbsp; 1485281 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 411 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 669 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/39 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 21985 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/39 | &nbsp;&nbsp;&nbsp; 1651 | &nbsp;&nbsp; 1667049 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/39 | &nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp; 47569 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/39 | &nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp; 117263 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/39 | &nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp; 36367 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/39 | &nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp; 169248 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/39 | &nbsp;&nbsp;&nbsp; 1501 | &nbsp;&nbsp; 1516702 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/39 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 37933 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/39 | &nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp; 43919 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/40 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 38758 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/40 | &nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp; 211258 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/40 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6403 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/40 | &nbsp;&nbsp;&nbsp; 19297 | &nbsp;&nbsp; 19300829 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/40 | &nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp; 41051 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/40 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9823 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/40 | &nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp; 36479 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/40 | &nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp; 129178 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/40 | &nbsp;&nbsp;&nbsp; 950 | &nbsp;&nbsp; 958307 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/40 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9967 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/40 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1121 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/41 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2944 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/41 | &nbsp;&nbsp;&nbsp; 1842 | &nbsp;&nbsp; 1855046 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/41 | &nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp; 52205 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/41 | &nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp; 87811 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/41 | &nbsp;&nbsp;&nbsp; 2353 | &nbsp;&nbsp; 2372949 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/41 | &nbsp;&nbsp;&nbsp; 3472 | &nbsp;&nbsp; 3495824 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/41 | &nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp; 55139 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/41 | &nbsp;&nbsp;&nbsp; 446 | &nbsp;&nbsp; 449203 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/41 | &nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp; 115031 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/41 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7532 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/42 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3962 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/42 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 20001 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/42 | &nbsp;&nbsp;&nbsp; 1362 | &nbsp;&nbsp; 1373590 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/43 | &nbsp;&nbsp;&nbsp; 1299 | &nbsp;&nbsp; 1304877 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/43 | &nbsp;&nbsp;&nbsp; 705 | &nbsp;&nbsp; 707858 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/43 | &nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp; 134769 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/43 | &nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp; 117943 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/44 | &nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp; 92061 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/44 | &nbsp;&nbsp;&nbsp; 370 | &nbsp;&nbsp; 371363 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/44 | &nbsp;&nbsp;&nbsp; 815 | &nbsp;&nbsp; 819994 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/44 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4816 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/44 | &nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp; 118358 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/44 | &nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp; 121417 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/44 | &nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp; 122245 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/44 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 20177 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/44 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16952 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/44 | &nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp; 308459 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/44 | &nbsp;&nbsp;&nbsp; 453 | &nbsp;&nbsp; 454616 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/44 | &nbsp;&nbsp;&nbsp; $893 | &nbsp;&nbsp; $896414 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/45 | &nbsp;&nbsp;&nbsp; 1241 | &nbsp;&nbsp; 1247456 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/45 | &nbsp;&nbsp;&nbsp; 273 | &nbsp;&nbsp; 273794 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/45 | &nbsp;&nbsp;&nbsp; 870 | &nbsp;&nbsp; 873542 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/45 | &nbsp;&nbsp;&nbsp; 410 | &nbsp;&nbsp; 411038 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/45 | &nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp; 310309 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/45 | &nbsp;&nbsp;&nbsp; 283 | &nbsp;&nbsp; 283615 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/45 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 61469 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/46 | &nbsp;&nbsp;&nbsp; 362 | &nbsp;&nbsp; 362565 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/46 | &nbsp;&nbsp;&nbsp; 256 | &nbsp;&nbsp; 256430 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/46 | &nbsp;&nbsp;&nbsp; 225 | &nbsp;&nbsp; 224551 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/46 | &nbsp;&nbsp;&nbsp; 914 | &nbsp;&nbsp; 913169 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/46 | &nbsp;&nbsp;&nbsp; 3559 | &nbsp;&nbsp; 3568392 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/46 | &nbsp;&nbsp;&nbsp; 1265 | &nbsp;&nbsp; 1266159 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/46 | &nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp; 123848 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/46 | &nbsp;&nbsp;&nbsp; 2137 | &nbsp;&nbsp; 2142818 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/47 | &nbsp;&nbsp;&nbsp; 531 | &nbsp;&nbsp; 530595 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/47 | &nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp; 110844 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/47 | &nbsp;&nbsp;&nbsp; 884 | &nbsp;&nbsp; 881541 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/47 | &nbsp;&nbsp;&nbsp; 1154 | &nbsp;&nbsp; 1150024 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/47 | &nbsp;&nbsp;&nbsp; 546 | &nbsp;&nbsp; 544092 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/47 | &nbsp;&nbsp;&nbsp; 551 | &nbsp;&nbsp; 551654 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/48 | &nbsp;&nbsp;&nbsp; 848 | &nbsp;&nbsp; 847080 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/48 | &nbsp;&nbsp;&nbsp; 1295 | &nbsp;&nbsp; 1287209 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/48 | &nbsp;&nbsp;&nbsp; 601 | &nbsp;&nbsp; 598571 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/48 | &nbsp;&nbsp;&nbsp; 1078 | &nbsp;&nbsp; 1071833 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/48 | &nbsp;&nbsp;&nbsp; 837 | &nbsp;&nbsp; 834001 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/48 | &nbsp;&nbsp;&nbsp; 4494 | &nbsp;&nbsp; 4481553 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/48 | &nbsp;&nbsp;&nbsp; 1368 | &nbsp;&nbsp; 1367432 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/48 | &nbsp;&nbsp;&nbsp; 2810 | &nbsp;&nbsp; 2796873 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/49 | &nbsp;&nbsp;&nbsp; 685 | &nbsp;&nbsp; 682558 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/49 | &nbsp;&nbsp;&nbsp; 616 | &nbsp;&nbsp; 615267 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/49 | &nbsp;&nbsp;&nbsp; 1603 | &nbsp;&nbsp; 1600903 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/52 | &nbsp;&nbsp;&nbsp; 1909 | &nbsp;&nbsp; 1888316 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/52 | &nbsp;&nbsp;&nbsp; 1474 | &nbsp;&nbsp; 1455217 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/52 | &nbsp;&nbsp;&nbsp; 11160 | &nbsp;&nbsp; 10974433 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/52 | &nbsp;&nbsp;&nbsp; 9875 | &nbsp;&nbsp; 9763472 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/52 | &nbsp;&nbsp;&nbsp; 35849 | &nbsp;&nbsp; 35305607 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/53 | &nbsp;&nbsp;&nbsp; 8991 | &nbsp;&nbsp; 8836242 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/55 | &nbsp;&nbsp;&nbsp; 5021 | &nbsp;&nbsp; 4915512 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/30 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2557 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 630 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/33 | &nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp; 114536 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 308 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/33 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 25437 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 419 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/33 | &nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp; 39359 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp; 64040 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 24626 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/33 | &nbsp;&nbsp;&nbsp; 247 | &nbsp;&nbsp; 252798 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/34 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3271 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/34 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6070 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/34 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8206 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/34 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 38828 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 829 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/34 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11138 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/34 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3465 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/34 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5250 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/35 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3504 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/35 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3243 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/35 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2438 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/35 | &nbsp;&nbsp;&nbsp; $8 | &nbsp;&nbsp; $8596 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/35 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6352 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 1519 | &nbsp;&nbsp; 1559529 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/35 | &nbsp;&nbsp;&nbsp; 311 | &nbsp;&nbsp; 319026 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp; 64234 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 185 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/35 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6516 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 270 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 578 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/35 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 17649 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/35 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 32609 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 713 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 230 | &nbsp;&nbsp; 236015 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 983 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/36 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4163 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/36 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 24453 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 255 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/36 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12199 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/36 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 22010 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 517 | &nbsp;&nbsp; 531095 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 285 | &nbsp;&nbsp; 292897 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp; 261080 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11347 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3077 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 404 | &nbsp;&nbsp; 414789 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/38 | &nbsp;&nbsp;&nbsp; 1722 | &nbsp;&nbsp; 1771051 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/38 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 26676 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1843 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/38 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4919 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 865 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/38 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6582 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/38 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7147 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/38 | &nbsp;&nbsp;&nbsp; 243 | &nbsp;&nbsp; 250331 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/39 | &nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp; 93848 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/39 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 19225 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/39 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7935 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/39 | &nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp; 37784 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/39 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1417 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/39 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12486 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/39 | &nbsp;&nbsp;&nbsp; 2240 | &nbsp;&nbsp; 2303378 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/39 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 20984 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/39 | &nbsp;&nbsp;&nbsp; 316 | &nbsp;&nbsp; 325860 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/39 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15046 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/40 | &nbsp;&nbsp;&nbsp; 179 | &nbsp;&nbsp; 183622 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/40 | &nbsp;&nbsp;&nbsp; 2405 | &nbsp;&nbsp; 2433205 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/40 | &nbsp;&nbsp;&nbsp; 682 | &nbsp;&nbsp; 704535 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/40 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 453 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/40 | &nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp; 96537 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/40 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1650 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/40 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp; 102863 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/40 | &nbsp;&nbsp;&nbsp; 1293 | &nbsp;&nbsp; 1329501 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/40 | &nbsp;&nbsp;&nbsp; 648 | &nbsp;&nbsp; 665916 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/40 | &nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp; 52150 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/41 | &nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp; 159693 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/41 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1878 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/41 | &nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp; 59355 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/41 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2217 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/41 | &nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp; 190872 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/41 | &nbsp;&nbsp;&nbsp; 950 | &nbsp;&nbsp; 978591 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/41 | &nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp; 95385 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/41 | &nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp; 74996 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/44 | &nbsp;&nbsp;&nbsp; $56 | &nbsp;&nbsp; $57102 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/47 | &nbsp;&nbsp;&nbsp; 1845 | &nbsp;&nbsp; 1890495 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/47 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 18619 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/47 | &nbsp;&nbsp;&nbsp; 1030 | &nbsp;&nbsp; 1048617 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/48 | &nbsp;&nbsp;&nbsp; 635 | &nbsp;&nbsp; 647954 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/48 | &nbsp;&nbsp;&nbsp; 1249 | &nbsp;&nbsp; 1270402 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/48 | &nbsp;&nbsp;&nbsp; 586 | &nbsp;&nbsp; 596363 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/48 | &nbsp;&nbsp;&nbsp; 195 | &nbsp;&nbsp; 199915 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/48 | &nbsp;&nbsp;&nbsp; 489 | &nbsp;&nbsp; 497463 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/48 | &nbsp;&nbsp;&nbsp; 2858 | &nbsp;&nbsp; 2909235 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/48 | &nbsp;&nbsp;&nbsp; 345 | &nbsp;&nbsp; 352491 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/48 | &nbsp;&nbsp;&nbsp; 1578 | &nbsp;&nbsp; 1608319 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/48 | &nbsp;&nbsp;&nbsp; 356 | &nbsp;&nbsp; 363838 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/49 | &nbsp;&nbsp;&nbsp; 1192 | &nbsp;&nbsp; 1218335 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/49 | &nbsp;&nbsp;&nbsp; 388 | &nbsp;&nbsp; 395367 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/49 | &nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp; 171597 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/52 | &nbsp;&nbsp;&nbsp; 6849 | &nbsp;&nbsp; 6879023 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/52 | &nbsp;&nbsp;&nbsp; 4955 | &nbsp;&nbsp; 4978896 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/52 | &nbsp;&nbsp;&nbsp; 1166 | &nbsp;&nbsp; 1171533 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/53 | &nbsp;&nbsp;&nbsp; 4326 | &nbsp;&nbsp; 4335931 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/53 | &nbsp;&nbsp;&nbsp; 27513 | &nbsp;&nbsp; 27761887 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/54 | &nbsp;&nbsp;&nbsp; 24383 | &nbsp;&nbsp; 24547220 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/54 | &nbsp;&nbsp;&nbsp; 8500 | &nbsp;&nbsp; 8599933 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/54 | &nbsp;&nbsp;&nbsp; 30872 | &nbsp;&nbsp; 30842101 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 147 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 606 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 406 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/32 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3220 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12928 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 349 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/32 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6447 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 337 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/32 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 24812 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 322 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/33 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3308 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1875 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 436 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6706 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3614 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/33 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10319 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/33 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11062 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1033 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/33 | &nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp; 82498 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/33 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3495 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 333 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 362 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/34 | &nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp; 32979 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/34 | &nbsp;&nbsp;&nbsp; 322 | &nbsp;&nbsp; 333537 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/34 | &nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp; 123205 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/34 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5340 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/34 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4014 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 884 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/34 | &nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp; 68633 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 427 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 181 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 778 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/34 | &nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp; 117750 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/34 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $434 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/35 | &nbsp;&nbsp;&nbsp; 835 | &nbsp;&nbsp; 870747 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1197 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/35 | &nbsp;&nbsp;&nbsp; 238 | &nbsp;&nbsp; 248096 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 241 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/35 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5935 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp; 150485 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 355 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 391 | &nbsp;&nbsp; 406976 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/35 | &nbsp;&nbsp;&nbsp; 1048 | &nbsp;&nbsp; 1094028 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/35 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5925 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/35 | &nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp; 76243 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/35 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4629 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/35 | &nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp; 67398 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 759 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/35 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9767 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/35 | &nbsp;&nbsp;&nbsp; 215 | &nbsp;&nbsp; 224538 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/36 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13139 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 283 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6358 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/36 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 23408 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/36 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2651 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/36 | &nbsp;&nbsp;&nbsp; 325 | &nbsp;&nbsp; 339131 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/36 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 10253 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/36 | &nbsp;&nbsp;&nbsp; 457 | &nbsp;&nbsp; 478286 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 63951 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/36 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 9013 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4635 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/37 | &nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp; 58943 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10227 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/37 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3076 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/37 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10319 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 33118 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 238 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4429 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/37 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5341 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/37 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11476 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6351 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/38 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 19921 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 447 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3630 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/38 | &nbsp;&nbsp;&nbsp; 452 | &nbsp;&nbsp; 472993 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 255 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/38 | &nbsp;&nbsp;&nbsp; 204 | &nbsp;&nbsp; 215025 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21612 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 328 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/38 | &nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp; 80227 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 148 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/38 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 22613 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/38 | &nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp; 67640 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/38 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 23850 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/38 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10562 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 546 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/38 | &nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp; 78439 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 273 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/39 | &nbsp;&nbsp;&nbsp; $947 | &nbsp;&nbsp; $985222 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/39 | &nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp; 53927 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/39 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 823 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/39 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15775 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/39 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13189 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/39 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21922 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/39 | &nbsp;&nbsp;&nbsp; 342 | &nbsp;&nbsp; 358157 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/39 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3642 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/39 | &nbsp;&nbsp;&nbsp; 775 | &nbsp;&nbsp; 810055 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/39 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 20807 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/40 | &nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp; 62051 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/40 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 17982 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/40 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4528 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/40 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6388 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/40 | &nbsp;&nbsp;&nbsp; 9488 | &nbsp;&nbsp; 9760843 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/41 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8855 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/41 | &nbsp;&nbsp;&nbsp; 2294 | &nbsp;&nbsp; 2393755 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/53 | &nbsp;&nbsp;&nbsp; 20321 | &nbsp;&nbsp; 20689680 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/53 | &nbsp;&nbsp;&nbsp; 36716 | &nbsp;&nbsp; 37986617 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/54 | &nbsp;&nbsp;&nbsp; 27467 | &nbsp;&nbsp; 27839366 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/54 | &nbsp;&nbsp;&nbsp; 18508 | &nbsp;&nbsp; 18755124 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/54 | &nbsp;&nbsp;&nbsp; 42103 | &nbsp;&nbsp; 42944004 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/55 | &nbsp;&nbsp;&nbsp; 11050 | &nbsp;&nbsp; 11192852 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/55 | &nbsp;&nbsp;&nbsp; 41959 | &nbsp;&nbsp; 42807013 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/55 | &nbsp;&nbsp;&nbsp; 26872 | &nbsp;&nbsp; 27353607 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/55 | &nbsp;&nbsp;&nbsp; 20357 | &nbsp;&nbsp; 20688060 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/55 | &nbsp;&nbsp;&nbsp; 8501 | &nbsp;&nbsp; 8626358 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/55 | &nbsp;&nbsp;&nbsp; 8548 | &nbsp;&nbsp; 8665972 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 158 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 513 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/28 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1393 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2625 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1291 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1288 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 549 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 225 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/30 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1689 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 420 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 451 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 158 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 603 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/32 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11200 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 710 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1223 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6862 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 640 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1855 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 425 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 735 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 446 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/32 | &nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp; 41862 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1506 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 151 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/33 | &nbsp;&nbsp;&nbsp; $4 | &nbsp;&nbsp; $3832 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 612 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2143 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1123 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 399 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1928 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8051 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 360 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8737 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/34 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6072 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/34 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7135 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/34 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 9082 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 752 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1158 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/34 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3318 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1315 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 297 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/35 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1988 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 431 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1095 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/35 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12355 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1435 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/35 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2874 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 338 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1950 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/36 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5040 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1114 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/36 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7667 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/36 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9645 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6590 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1440 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 389 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/36 | &nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp; 200975 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/36 | &nbsp;&nbsp;&nbsp; 222 | &nbsp;&nbsp; 231580 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15577 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/36 | &nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp; 45817 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 282 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 271 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1234 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp; 167271 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/37 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4356 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 299 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/37 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4513 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/37 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4332 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 204 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/37 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2732 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 425 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/37 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 13466 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 821 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 263 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/37 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6333 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/37 | &nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp; 33027 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/38 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 41253 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1047 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/38 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21889 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/38 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 23542 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/38 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 11298 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/38 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12644 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/38 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9468 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/38 | &nbsp;&nbsp;&nbsp; 897 | &nbsp;&nbsp; 947732 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/38 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $520 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/38 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4257 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1227 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/39 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3276 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/39 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2846 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/39 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 617 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/40 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5631 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/40 | &nbsp;&nbsp;&nbsp; 2517 | &nbsp;&nbsp; 2670641 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/52 | &nbsp;&nbsp;&nbsp; 2398 | &nbsp;&nbsp; 2463072 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/53 | &nbsp;&nbsp;&nbsp; 17797 | &nbsp;&nbsp; 18336994 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/53 | &nbsp;&nbsp;&nbsp; 9930 | &nbsp;&nbsp; 10213373 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/53 | &nbsp;&nbsp;&nbsp; 1901 | &nbsp;&nbsp; 1964769 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/53 | &nbsp;&nbsp;&nbsp; 2949 | &nbsp;&nbsp; 3023702 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/54 | &nbsp;&nbsp;&nbsp; 16084 | &nbsp;&nbsp; 16493225 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/54 | &nbsp;&nbsp;&nbsp; 6363 | &nbsp;&nbsp; 6514740 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/54 | &nbsp;&nbsp;&nbsp; 6681 | &nbsp;&nbsp; 6849656 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/54 | &nbsp;&nbsp;&nbsp; 5526 | &nbsp;&nbsp; 5721050 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/54 | &nbsp;&nbsp;&nbsp; 28066 | &nbsp;&nbsp; 29009650 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/54 | &nbsp;&nbsp;&nbsp; 45450 | &nbsp;&nbsp; 46816524 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/55 | &nbsp;&nbsp;&nbsp; 39024 | &nbsp;&nbsp; 40238131 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/55 | &nbsp;&nbsp;&nbsp; 18217 | &nbsp;&nbsp; 18741197 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/55 | &nbsp;&nbsp;&nbsp; 17505 | &nbsp;&nbsp; 18030090 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/55 | &nbsp;&nbsp;&nbsp; 27835 | &nbsp;&nbsp; 28640756 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/55 | &nbsp;&nbsp;&nbsp; 17952 | &nbsp;&nbsp; 18374767 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/55 | &nbsp;&nbsp;&nbsp; 17086 | &nbsp;&nbsp; 17623386 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/55 | &nbsp;&nbsp;&nbsp; 62916 | &nbsp;&nbsp; 64448197 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/55 | &nbsp;&nbsp;&nbsp; 25404 | &nbsp;&nbsp; 26068363 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/55 | &nbsp;&nbsp;&nbsp; 32178 | &nbsp;&nbsp; 33082534 |
| &nbsp;&nbsp;&nbsp; 6.35%, 08/01/43<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11413 |
| &nbsp;&nbsp;&nbsp; 6.37%, 08/01/41<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp; 30945 |
| &nbsp;&nbsp;&nbsp; 6.40%, 11/01/40<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp; 45268 |
| &nbsp;&nbsp;&nbsp; 6.40%, 05/01/43<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp; 53167 |
| &nbsp;&nbsp;&nbsp; 6.46%, 12/01/33, (1-year CMT + 2.25%)<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 27400 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 173 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 209 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 184 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/28 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 562 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/29 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1575 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 182 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1034 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 558 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 544 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 436 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 287 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 199 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1217 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/29 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1877 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 324 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 384 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/31 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2119 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 805 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 568 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; $1 | &nbsp;&nbsp; $658 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 356 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 249 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4623 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1430 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 330 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2012 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1690 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 362 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1684 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/32 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3190 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1106 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 438 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1685 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4193 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/34 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15543 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1636 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1922 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/35 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1914 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 467 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/35 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3433 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 391 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1128 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 884 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 21587 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 421 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/36 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9590 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 534 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2707 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/37 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5773 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/37 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2239 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 13163 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 799 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 12335 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1135 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 991 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 485 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1890 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/39 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7944 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/39 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 12115 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/53 | &nbsp;&nbsp;&nbsp; 5250 | &nbsp;&nbsp; 5547473 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/53 | &nbsp;&nbsp;&nbsp; 31517 | &nbsp;&nbsp; 33154328 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/54 | &nbsp;&nbsp;&nbsp; 25226 | &nbsp;&nbsp; 26082938 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/54 | &nbsp;&nbsp;&nbsp; 6044 | &nbsp;&nbsp; 6301152 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/54 | &nbsp;&nbsp;&nbsp; 5707 | &nbsp;&nbsp; 5966994 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/54 | &nbsp;&nbsp;&nbsp; 35892 | &nbsp;&nbsp; 37549656 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/55 | &nbsp;&nbsp;&nbsp; 28452 | &nbsp;&nbsp; 29711691 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/55 | &nbsp;&nbsp;&nbsp; 56537 | &nbsp;&nbsp; 59136485 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/55 | &nbsp;&nbsp;&nbsp; 23472 | &nbsp;&nbsp; 24545109 |
| &nbsp;&nbsp;&nbsp; 6.57%, 11/01/40<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp; 58658 |
| &nbsp;&nbsp;&nbsp; 6.57%, 11/01/41<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp; 112221 |
| &nbsp;&nbsp;&nbsp; 6.60%, 07/01/41<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6738 |
| &nbsp;&nbsp;&nbsp; 6.61%, 12/01/38<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp; 160648 |
| &nbsp;&nbsp;&nbsp; 6.63%, 09/01/41<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 298 | &nbsp;&nbsp; 303372 |
| &nbsp;&nbsp;&nbsp; 6.77%, 05/01/42<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp; 168716 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.78%, 01/01/42<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; $10 | &nbsp;&nbsp; $10430 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 187 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 158 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 208 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 596 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 448 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 328 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 199 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 276 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 321 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 671 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 747 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 928 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 770 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1510 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 563 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 271 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 705 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 314 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1663 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1433 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 329 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 215 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6432 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 489 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 565 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/36 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3599 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp; 7.50%, 04/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; 7.50%, 05/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp; 7.50%, 10/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp; 7.50%, 04/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 117 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; 7.50%, 11/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2321 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 43 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/01/30 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $45 |
| &nbsp;&nbsp;&nbsp; 7.50%, 05/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 385 |
| &nbsp;&nbsp;&nbsp; 7.50%, 10/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; 7.50%, 11/01/30 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 573 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 394 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp; 7.50%, 02/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 727 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 873 |
| &nbsp;&nbsp;&nbsp; 8.00%, 10/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; 8.00%, 11/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp; 8.00%, 03/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp; 8.00%, 05/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp; 8.00%, 06/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp; 8.00%, 09/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp; 8.00%, 11/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; 8.00%, 10/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp; 8.00%, 11/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 200 |
| &nbsp;&nbsp;&nbsp; 8.00%, 12/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp; 8.00%, 01/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp; 8.00%, 03/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 298 |
| &nbsp;&nbsp;&nbsp; 8.00%, 07/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp; 8.50%, 07/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 94 |
| Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/52 | &nbsp;&nbsp;&nbsp; 28437 | &nbsp;&nbsp; 23505979 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/01/53 | &nbsp;&nbsp;&nbsp; 74145 | &nbsp;&nbsp; 60753972 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp; 180899 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/50 | &nbsp;&nbsp;&nbsp; 7623 | &nbsp;&nbsp; 6566443 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/52 | &nbsp;&nbsp;&nbsp; 2486 | &nbsp;&nbsp; 2135514 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/52 | &nbsp;&nbsp;&nbsp; 27049 | &nbsp;&nbsp; 23430020 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/30 | &nbsp;&nbsp;&nbsp; 667 | &nbsp;&nbsp; 654864 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/31 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 18385 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/47 | &nbsp;&nbsp;&nbsp; 4016 | &nbsp;&nbsp; 3610884 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/50 | &nbsp;&nbsp;&nbsp; 9453 | &nbsp;&nbsp; 8562523 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/50 | &nbsp;&nbsp;&nbsp; 10869 | &nbsp;&nbsp; 9821433 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/52 | &nbsp;&nbsp;&nbsp; 19748 | &nbsp;&nbsp; 17692500 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 247 | &nbsp;&nbsp; 243655 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/35 | &nbsp;&nbsp;&nbsp; 430 | &nbsp;&nbsp; 422816 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/46 | &nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp; 78809 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/47 | &nbsp;&nbsp;&nbsp; 441 | &nbsp;&nbsp; 415955 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/51 | &nbsp;&nbsp;&nbsp; 4597 | &nbsp;&nbsp; 4337774 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/47 | &nbsp;&nbsp;&nbsp; 5646 | &nbsp;&nbsp; 5535665 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/50 | &nbsp;&nbsp;&nbsp; 15513 | &nbsp;&nbsp; 15137642 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/57 | &nbsp;&nbsp;&nbsp; 3665 | &nbsp;&nbsp; 3516536 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/57 | &nbsp;&nbsp;&nbsp; 3998 | &nbsp;&nbsp; 3835852 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/44 | &nbsp;&nbsp;&nbsp; 684 | &nbsp;&nbsp; 686450 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/48 | &nbsp;&nbsp;&nbsp; 12939 | &nbsp;&nbsp; 12887792 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/52 | &nbsp;&nbsp;&nbsp; 16674 | &nbsp;&nbsp; 16832331 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/53 | &nbsp;&nbsp;&nbsp; 30618 | &nbsp;&nbsp; 31286292 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/55 | &nbsp;&nbsp;&nbsp; 9769 | &nbsp;&nbsp; 9929916 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/54 | &nbsp;&nbsp;&nbsp; 13609 | &nbsp;&nbsp; 14173110 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/54 | &nbsp;&nbsp;&nbsp; 49019 | &nbsp;&nbsp; 51457661 |
| &nbsp;&nbsp;&nbsp; 6.25%, 06/01/43<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 444 | &nbsp;&nbsp; 453258 |
| &nbsp;&nbsp;&nbsp; 6.32%, 08/01/42<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 384 | &nbsp;&nbsp; 393300 |
| &nbsp;&nbsp;&nbsp; 6.47%, 08/01/41<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 24847 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/54 | &nbsp;&nbsp;&nbsp; 25422 | &nbsp;&nbsp; 26271689 |
| &nbsp;&nbsp;&nbsp; 6.53%, 10/01/41<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp; 388808 |
| &nbsp;&nbsp;&nbsp; 6.57%, 09/01/41<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 20635 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.70%, 12/01/38<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; $12 | &nbsp;&nbsp; $12657 |
| &nbsp;&nbsp;&nbsp; 6.71%, 02/01/42<sup>(b)</sup> | &nbsp;&nbsp;&nbsp; 180 | &nbsp;&nbsp; 183492 |
| Freddie Mac Pool |  |  |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/52 | &nbsp;&nbsp;&nbsp; 12968 | &nbsp;&nbsp; 10737651 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/01/52 | &nbsp;&nbsp;&nbsp; 44371 | &nbsp;&nbsp; 36326512 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/52 | &nbsp;&nbsp;&nbsp; 9831 | &nbsp;&nbsp; 8483933 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/48 | &nbsp;&nbsp;&nbsp; 8844 | &nbsp;&nbsp; 8061737 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/50 | &nbsp;&nbsp;&nbsp; 10609 | &nbsp;&nbsp; 9991312 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/52 | &nbsp;&nbsp;&nbsp; 18191 | &nbsp;&nbsp; 17007650 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/40 | &nbsp;&nbsp;&nbsp; 6816 | &nbsp;&nbsp; 6722279 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/40 | &nbsp;&nbsp;&nbsp; 9410 | &nbsp;&nbsp; 9411710 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/55 | &nbsp;&nbsp;&nbsp; 19332 | &nbsp;&nbsp; 19297437 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/54 | &nbsp;&nbsp;&nbsp; 16061 | &nbsp;&nbsp; 16569497 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/55 | &nbsp;&nbsp;&nbsp; 14503 | &nbsp;&nbsp; 15023440 |
| Government National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 02/20/51 | &nbsp;&nbsp;&nbsp; 4482 | &nbsp;&nbsp; 3589083 |
| &nbsp;&nbsp;&nbsp; 1.50%, 04/20/51 | &nbsp;&nbsp;&nbsp; 594 | &nbsp;&nbsp; 475066 |
| &nbsp;&nbsp;&nbsp; 1.50%, 10/20/51 | &nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp; 75959 |
| &nbsp;&nbsp;&nbsp; 1.50%, 11/20/51 | &nbsp;&nbsp;&nbsp; 3125 | &nbsp;&nbsp; 2479130 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/20/50 | &nbsp;&nbsp;&nbsp; 8884 | &nbsp;&nbsp; 7415710 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/20/50 | &nbsp;&nbsp;&nbsp; 56666 | &nbsp;&nbsp; 47298852 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/20/50 | &nbsp;&nbsp;&nbsp; 3864 | &nbsp;&nbsp; 3225001 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/20/50 | &nbsp;&nbsp;&nbsp; 16920 | &nbsp;&nbsp; 14120201 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/20/50 | &nbsp;&nbsp;&nbsp; 28310 | &nbsp;&nbsp; 23623190 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/20/50 | &nbsp;&nbsp;&nbsp; 134826 | &nbsp;&nbsp; 112496870 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/20/51 | &nbsp;&nbsp;&nbsp; 32593 | &nbsp;&nbsp; 27192148 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/20/51 | &nbsp;&nbsp;&nbsp; 68906 | &nbsp;&nbsp; 57478325 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/20/51 | &nbsp;&nbsp;&nbsp; 9998 | &nbsp;&nbsp; 8339738 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/20/51 | &nbsp;&nbsp;&nbsp; 21624 | &nbsp;&nbsp; 18037200 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/20/51 | &nbsp;&nbsp;&nbsp; 6234 | &nbsp;&nbsp; 5199778 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/20/51 | &nbsp;&nbsp;&nbsp; 12702 | &nbsp;&nbsp; 10594499 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/20/51 | &nbsp;&nbsp;&nbsp; 33989 | &nbsp;&nbsp; 28348632 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/20/51 | &nbsp;&nbsp;&nbsp; 31950 | &nbsp;&nbsp; 26598651 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/20/51 | &nbsp;&nbsp;&nbsp; 9840 | &nbsp;&nbsp; 8206576 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/20/51 | &nbsp;&nbsp;&nbsp; 266324 | &nbsp;&nbsp; 222114218 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/20/51 | &nbsp;&nbsp;&nbsp; 46745 | &nbsp;&nbsp; 38984312 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/20/51 | &nbsp;&nbsp;&nbsp; 261615 | &nbsp;&nbsp; 218176808 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/20/52 | &nbsp;&nbsp;&nbsp; 151215 | &nbsp;&nbsp; 126104224 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/20/52 | &nbsp;&nbsp;&nbsp; 15814 | &nbsp;&nbsp; 13184249 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/20/52 | &nbsp;&nbsp;&nbsp; 178624 | &nbsp;&nbsp; 148919309 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/20/52 | &nbsp;&nbsp;&nbsp; 92122 | &nbsp;&nbsp; 76802609 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/20/52 | &nbsp;&nbsp;&nbsp; 1484 | &nbsp;&nbsp; 1237259 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/20/52 | &nbsp;&nbsp;&nbsp; 76693 | &nbsp;&nbsp; 63939376 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/20/52 | &nbsp;&nbsp;&nbsp; 552 | &nbsp;&nbsp; 460501 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/20/52 | &nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp; 54734 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/20/27 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4095 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/20/27 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8263 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/20/27 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11887 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/20/28 | &nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp; 45913 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/20/28 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 28038 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/20/30 | &nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp; 42170 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/20/32 | &nbsp;&nbsp;&nbsp; 146 | &nbsp;&nbsp; 141457 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/20/42 | &nbsp;&nbsp;&nbsp; 327 | &nbsp;&nbsp; 295385 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/20/43 | &nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp; 110748 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/20/45 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 18140 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/20/45 | &nbsp;&nbsp;&nbsp; 7719 | &nbsp;&nbsp; 6932107 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/20/46 | &nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp; 139437 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/20/46 | &nbsp;&nbsp;&nbsp; 8991 | &nbsp;&nbsp; 7947444 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/20/47 | &nbsp;&nbsp;&nbsp; 3420 | &nbsp;&nbsp; 3022870 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/20/47 | &nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp; 76045 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/20/49 | &nbsp;&nbsp;&nbsp; 1635 | &nbsp;&nbsp; 1428728 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/20/50 | &nbsp;&nbsp;&nbsp; $58 | &nbsp;&nbsp; $50815 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/20/50 | &nbsp;&nbsp;&nbsp; 11374 | &nbsp;&nbsp; 9903940 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/20/50 | &nbsp;&nbsp;&nbsp; 13490 | &nbsp;&nbsp; 11744204 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/20/50 | &nbsp;&nbsp;&nbsp; 6048 | &nbsp;&nbsp; 5265119 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/20/50 | &nbsp;&nbsp;&nbsp; 12322 | &nbsp;&nbsp; 10625631 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/20/50 | &nbsp;&nbsp;&nbsp; 24317 | &nbsp;&nbsp; 20876867 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/20/50 | &nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp; 117321 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/20/50 | &nbsp;&nbsp;&nbsp; 534 | &nbsp;&nbsp; 464085 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/20/51 | &nbsp;&nbsp;&nbsp; 69919 | &nbsp;&nbsp; 60833293 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/20/51 | &nbsp;&nbsp;&nbsp; 61995 | &nbsp;&nbsp; 53877466 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/20/51 | &nbsp;&nbsp;&nbsp; 30505 | &nbsp;&nbsp; 26516120 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/20/51 | &nbsp;&nbsp;&nbsp; 10318 | &nbsp;&nbsp; 8967944 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/20/51 | &nbsp;&nbsp;&nbsp; 167197 | &nbsp;&nbsp; 145318962 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/20/51 | &nbsp;&nbsp;&nbsp; 4178 | &nbsp;&nbsp; 3631080 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/20/51 | &nbsp;&nbsp;&nbsp; 214974 | &nbsp;&nbsp; 186825101 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/20/51 | &nbsp;&nbsp;&nbsp; 140080 | &nbsp;&nbsp; 121727226 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/20/51 | &nbsp;&nbsp;&nbsp; 105768 | &nbsp;&nbsp; 91908757 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/20/51 | &nbsp;&nbsp;&nbsp; 25928 | &nbsp;&nbsp; 22529519 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/20/51 | &nbsp;&nbsp;&nbsp; 52620 | &nbsp;&nbsp; 45719776 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/20/51 | &nbsp;&nbsp;&nbsp; 129878 | &nbsp;&nbsp; 112847314 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/20/52 | &nbsp;&nbsp;&nbsp; 70556 | &nbsp;&nbsp; 61300566 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/20/52 | &nbsp;&nbsp;&nbsp; 298 | &nbsp;&nbsp; 258472 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/20/52 | &nbsp;&nbsp;&nbsp; 133599 | &nbsp;&nbsp; 116061648 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/20/52 | &nbsp;&nbsp;&nbsp; 158901 | &nbsp;&nbsp; 138042717 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/20/52 | &nbsp;&nbsp;&nbsp; 86454 | &nbsp;&nbsp; 75105262 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/20/52 | &nbsp;&nbsp;&nbsp; 5917 | &nbsp;&nbsp; 5140241 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/20/52 | &nbsp;&nbsp;&nbsp; 9823 | &nbsp;&nbsp; 8533695 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/20/52 | &nbsp;&nbsp;&nbsp; 22625 | &nbsp;&nbsp; 19655427 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/20/52 | &nbsp;&nbsp;&nbsp; 19233 | &nbsp;&nbsp; 16708068 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/20/52 | &nbsp;&nbsp;&nbsp; 8039 | &nbsp;&nbsp; 6983609 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/20/52 | &nbsp;&nbsp;&nbsp; 15994 | &nbsp;&nbsp; 13894629 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/20/53 | &nbsp;&nbsp;&nbsp; 1497 | &nbsp;&nbsp; 1300054 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/20/53 | &nbsp;&nbsp;&nbsp; 5766 | &nbsp;&nbsp; 5011264 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/20/53 | &nbsp;&nbsp;&nbsp; 3731 | &nbsp;&nbsp; 3242360 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/20/53 | &nbsp;&nbsp;&nbsp; 22032 | &nbsp;&nbsp; 19142163 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/20/54 | &nbsp;&nbsp;&nbsp; 1759 | &nbsp;&nbsp; 1527837 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/27 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15146 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/15/27 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7669 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/27 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10873 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/27 | &nbsp;&nbsp;&nbsp; 463 | &nbsp;&nbsp; 458258 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/15/27 | &nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp; 229685 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/15/27 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5388 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/27 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 21595 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/15/27 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 60376 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/27 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3912 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/28 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3468 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/28 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 15834 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/28 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 19857 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/28 | &nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp; 47167 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/29 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16628 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/29 | &nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp; 45271 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/30 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6368 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/31 | &nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp; 90247 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/42 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10142 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/15/42 | &nbsp;&nbsp;&nbsp; 198 | &nbsp;&nbsp; 183675 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/42 | &nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp; 83217 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/42 | &nbsp;&nbsp;&nbsp; 444 | &nbsp;&nbsp; 413076 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/15/42 | &nbsp;&nbsp;&nbsp; 299 | &nbsp;&nbsp; 277845 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/42 | &nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp; 111804 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/15/42 | &nbsp;&nbsp;&nbsp; 4375 | &nbsp;&nbsp; 4059936 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/42 | &nbsp;&nbsp;&nbsp; 405 | &nbsp;&nbsp; 376474 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/15/42 | &nbsp;&nbsp;&nbsp; $505 | &nbsp;&nbsp; $468482 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/42 | &nbsp;&nbsp;&nbsp; 4163 | &nbsp;&nbsp; 3869124 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/15/42 | &nbsp;&nbsp;&nbsp; 3359 | &nbsp;&nbsp; 3111497 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/42 | &nbsp;&nbsp;&nbsp; 265 | &nbsp;&nbsp; 245966 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/15/42 | &nbsp;&nbsp;&nbsp; 276 | &nbsp;&nbsp; 255977 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/42 | &nbsp;&nbsp;&nbsp; 4452 | &nbsp;&nbsp; 4137599 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/43 | &nbsp;&nbsp;&nbsp; 8360 | &nbsp;&nbsp; 7770236 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/15/43 | &nbsp;&nbsp;&nbsp; 427 | &nbsp;&nbsp; 395849 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/43 | &nbsp;&nbsp;&nbsp; 242 | &nbsp;&nbsp; 224693 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/15/43 | &nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp; 159458 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/43 | &nbsp;&nbsp;&nbsp; 1140 | &nbsp;&nbsp; 1058987 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/15/43 | &nbsp;&nbsp;&nbsp; 247 | &nbsp;&nbsp; 229210 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/43 | &nbsp;&nbsp;&nbsp; 3225 | &nbsp;&nbsp; 2995188 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/15/43 | &nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp; 111703 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/43 | &nbsp;&nbsp;&nbsp; 3873 | &nbsp;&nbsp; 3597748 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/15/43 | &nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp; 44366 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/43 | &nbsp;&nbsp;&nbsp; 742 | &nbsp;&nbsp; 688803 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/15/43 | &nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp; 54021 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/43 | &nbsp;&nbsp;&nbsp; 2099 | &nbsp;&nbsp; 1949758 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/15/43 | &nbsp;&nbsp;&nbsp; 503 | &nbsp;&nbsp; 466178 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/43 | &nbsp;&nbsp;&nbsp; 801 | &nbsp;&nbsp; 744346 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/15/43 | &nbsp;&nbsp;&nbsp; 553 | &nbsp;&nbsp; 512418 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/43 | &nbsp;&nbsp;&nbsp; 1006 | &nbsp;&nbsp; 934796 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/43 | &nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp; 162907 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/43 | &nbsp;&nbsp;&nbsp; 343 | &nbsp;&nbsp; 318815 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/43 | &nbsp;&nbsp;&nbsp; 835 | &nbsp;&nbsp; 775709 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/15/44 | &nbsp;&nbsp;&nbsp; 269 | &nbsp;&nbsp; 249316 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/44 | &nbsp;&nbsp;&nbsp; 3575 | &nbsp;&nbsp; 3320306 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/44 | &nbsp;&nbsp;&nbsp; 1021 | &nbsp;&nbsp; 948493 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/44 | &nbsp;&nbsp;&nbsp; 1044 | &nbsp;&nbsp; 969989 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/44 | &nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp; 54511 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/44 | &nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp; 130214 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/44 | &nbsp;&nbsp;&nbsp; 503 | &nbsp;&nbsp; 464194 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/44 | &nbsp;&nbsp;&nbsp; 24057 | &nbsp;&nbsp; 22345403 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/44 | &nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp; 460778 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/15/44 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16605 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/44 | &nbsp;&nbsp;&nbsp; 2897 | &nbsp;&nbsp; 2690805 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/44 | &nbsp;&nbsp;&nbsp; 6085 | &nbsp;&nbsp; 5611758 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/44 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12125 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/45 | &nbsp;&nbsp;&nbsp; 3337 | &nbsp;&nbsp; 3076837 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/45 | &nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp; 172826 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/45 | &nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp; 195697 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/45 | &nbsp;&nbsp;&nbsp; 3325 | &nbsp;&nbsp; 3050119 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/45 | &nbsp;&nbsp;&nbsp; 6647 | &nbsp;&nbsp; 6096883 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/45 | &nbsp;&nbsp;&nbsp; 1064 | &nbsp;&nbsp; 976236 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/15/45 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2535 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/45 | &nbsp;&nbsp;&nbsp; 11083 | &nbsp;&nbsp; 10165846 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/15/45 | &nbsp;&nbsp;&nbsp; 1511 | &nbsp;&nbsp; 1382492 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/45 | &nbsp;&nbsp;&nbsp; 23368 | &nbsp;&nbsp; 21433743 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/45 | &nbsp;&nbsp;&nbsp; 546 | &nbsp;&nbsp; 500783 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/45 | &nbsp;&nbsp;&nbsp; 7762 | &nbsp;&nbsp; 7068565 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/45 | &nbsp;&nbsp;&nbsp; 3675 | &nbsp;&nbsp; 3334636 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/45 | &nbsp;&nbsp;&nbsp; 8850 | &nbsp;&nbsp; 8077561 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/46 | &nbsp;&nbsp;&nbsp; 4302 | &nbsp;&nbsp; 3945725 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/46 | &nbsp;&nbsp;&nbsp; 8648 | &nbsp;&nbsp; 7932362 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/46 | &nbsp;&nbsp;&nbsp; 3798 | &nbsp;&nbsp; 3473324 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/46 | &nbsp;&nbsp;&nbsp; 3992 | &nbsp;&nbsp; 3650808 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/46 | &nbsp;&nbsp;&nbsp; 13186 | &nbsp;&nbsp; 12057543 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/46 | &nbsp;&nbsp;&nbsp; 7940 | &nbsp;&nbsp; 7260642 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/15/46 | &nbsp;&nbsp;&nbsp; 317 | &nbsp;&nbsp; 290043 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/46 | &nbsp;&nbsp;&nbsp; 13079 | &nbsp;&nbsp; 11959922 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/46 | &nbsp;&nbsp;&nbsp; $25042 | &nbsp;&nbsp; $22899387 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/46 | &nbsp;&nbsp;&nbsp; 18168 | &nbsp;&nbsp; 16613888 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/46 | &nbsp;&nbsp;&nbsp; 60090 | &nbsp;&nbsp; 54949544 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/15/46 | &nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp; 95336 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/46 | &nbsp;&nbsp;&nbsp; 12455 | &nbsp;&nbsp; 11389413 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/15/46 | &nbsp;&nbsp;&nbsp; 4258 | &nbsp;&nbsp; 3869511 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/46 | &nbsp;&nbsp;&nbsp; 24794 | &nbsp;&nbsp; 22672815 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/47 | &nbsp;&nbsp;&nbsp; 16312 | &nbsp;&nbsp; 14916610 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/15/47 | &nbsp;&nbsp;&nbsp; 9320 | &nbsp;&nbsp; 8522529 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/47 | &nbsp;&nbsp;&nbsp; 38115 | &nbsp;&nbsp; 34903400 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/47 | &nbsp;&nbsp;&nbsp; 13064 | &nbsp;&nbsp; 11946301 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/47 | &nbsp;&nbsp;&nbsp; 8845 | &nbsp;&nbsp; 8083118 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/47 | &nbsp;&nbsp;&nbsp; 361 | &nbsp;&nbsp; 330112 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/15/47 | &nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp; 137746 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/47 | &nbsp;&nbsp;&nbsp; 5122 | &nbsp;&nbsp; 4689387 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/47 | &nbsp;&nbsp;&nbsp; 2477 | &nbsp;&nbsp; 2263601 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/47 | &nbsp;&nbsp;&nbsp; 897 | &nbsp;&nbsp; 819980 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/15/47 | &nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp; 91072 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/47 | &nbsp;&nbsp;&nbsp; 4996 | &nbsp;&nbsp; 4565391 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/47 | &nbsp;&nbsp;&nbsp; 9918 | &nbsp;&nbsp; 9070400 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/15/47 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 18099 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/47 | &nbsp;&nbsp;&nbsp; 2406 | &nbsp;&nbsp; 2198663 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/48 | &nbsp;&nbsp;&nbsp; 32078 | &nbsp;&nbsp; 29315584 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/48 | &nbsp;&nbsp;&nbsp; 4655 | &nbsp;&nbsp; 4249245 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/48 | &nbsp;&nbsp;&nbsp; 9632 | &nbsp;&nbsp; 8802249 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/48 | &nbsp;&nbsp;&nbsp; 8561 | &nbsp;&nbsp; 7823409 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/48 | &nbsp;&nbsp;&nbsp; 2134 | &nbsp;&nbsp; 1950514 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/48 | &nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp; 66949 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/48 | &nbsp;&nbsp;&nbsp; 1959 | &nbsp;&nbsp; 1790201 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/48 | &nbsp;&nbsp;&nbsp; 1227 | &nbsp;&nbsp; 1121094 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/48 | &nbsp;&nbsp;&nbsp; 748 | &nbsp;&nbsp; 683483 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/48 | &nbsp;&nbsp;&nbsp; 1711 | &nbsp;&nbsp; 1563781 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/48 | &nbsp;&nbsp;&nbsp; 1114 | &nbsp;&nbsp; 1018485 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/49 | &nbsp;&nbsp;&nbsp; 419 | &nbsp;&nbsp; 382767 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/49 | &nbsp;&nbsp;&nbsp; 410 | &nbsp;&nbsp; 375097 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/49 | &nbsp;&nbsp;&nbsp; 3638 | &nbsp;&nbsp; 3327102 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/49 | &nbsp;&nbsp;&nbsp; 1775 | &nbsp;&nbsp; 1621746 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/49 | &nbsp;&nbsp;&nbsp; 2533 | &nbsp;&nbsp; 2315301 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/49 | &nbsp;&nbsp;&nbsp; 18269 | &nbsp;&nbsp; 16573133 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/49 | &nbsp;&nbsp;&nbsp; 19086 | &nbsp;&nbsp; 17305263 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/49 | &nbsp;&nbsp;&nbsp; 22749 | &nbsp;&nbsp; 20647963 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/15/49 | &nbsp;&nbsp;&nbsp; 308 | &nbsp;&nbsp; 278271 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/49 | &nbsp;&nbsp;&nbsp; 3582 | &nbsp;&nbsp; 3248506 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/49 | &nbsp;&nbsp;&nbsp; 31474 | &nbsp;&nbsp; 28526148 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/50 | &nbsp;&nbsp;&nbsp; 18844 | &nbsp;&nbsp; 17077137 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/15/50 | &nbsp;&nbsp;&nbsp; 2115 | &nbsp;&nbsp; 1909777 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/50 | &nbsp;&nbsp;&nbsp; 30657 | &nbsp;&nbsp; 27771409 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/50 | &nbsp;&nbsp;&nbsp; 7003 | &nbsp;&nbsp; 6338130 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/50 | &nbsp;&nbsp;&nbsp; 1963 | &nbsp;&nbsp; 1774854 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/50 | &nbsp;&nbsp;&nbsp; 1115 | &nbsp;&nbsp; 1009455 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/50 | &nbsp;&nbsp;&nbsp; 1652 | &nbsp;&nbsp; 1489831 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/50 | &nbsp;&nbsp;&nbsp; 7223 | &nbsp;&nbsp; 6538573 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/50 | &nbsp;&nbsp;&nbsp; 2191 | &nbsp;&nbsp; 1983513 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/51 | &nbsp;&nbsp;&nbsp; 4801 | &nbsp;&nbsp; 4343889 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/51 | &nbsp;&nbsp;&nbsp; 16623 | &nbsp;&nbsp; 15037901 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/51 | &nbsp;&nbsp;&nbsp; 11336 | &nbsp;&nbsp; 10244491 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/51 | &nbsp;&nbsp;&nbsp; 2516 | &nbsp;&nbsp; 2273623 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/51 | &nbsp;&nbsp;&nbsp; 30389 | &nbsp;&nbsp; 27457873 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/51 | &nbsp;&nbsp;&nbsp; 2681 | &nbsp;&nbsp; 2422166 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/51 | &nbsp;&nbsp;&nbsp; 13246 | &nbsp;&nbsp; 11966460 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/51 | &nbsp;&nbsp;&nbsp; 28617 | &nbsp;&nbsp; 25850295 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/51 | &nbsp;&nbsp;&nbsp; $10601 | &nbsp;&nbsp; $9574824 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/51 | &nbsp;&nbsp;&nbsp; 22272 | &nbsp;&nbsp; 20115029 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/51 | &nbsp;&nbsp;&nbsp; 26476 | &nbsp;&nbsp; 23910043 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/52 | &nbsp;&nbsp;&nbsp; 1527 | &nbsp;&nbsp; 1379117 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/52 | &nbsp;&nbsp;&nbsp; 17676 | &nbsp;&nbsp; 15960297 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/52 | &nbsp;&nbsp;&nbsp; 46704 | &nbsp;&nbsp; 42069164 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/52 | &nbsp;&nbsp;&nbsp; 38286 | &nbsp;&nbsp; 34566628 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/20/52 | &nbsp;&nbsp;&nbsp; 56377 | &nbsp;&nbsp; 50899949 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/52 | &nbsp;&nbsp;&nbsp; 31127 | &nbsp;&nbsp; 28102904 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/52 | &nbsp;&nbsp;&nbsp; 11611 | &nbsp;&nbsp; 10495398 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/20/52 | &nbsp;&nbsp;&nbsp; 7894 | &nbsp;&nbsp; 7127478 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/20/52 | &nbsp;&nbsp;&nbsp; 15288 | &nbsp;&nbsp; 13802577 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/52 | &nbsp;&nbsp;&nbsp; 5298 | &nbsp;&nbsp; 4783503 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/52 | &nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp; 41299 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/52 | &nbsp;&nbsp;&nbsp; 1583 | &nbsp;&nbsp; 1429715 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/53 | &nbsp;&nbsp;&nbsp; 14493 | &nbsp;&nbsp; 13084792 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/20/53 | &nbsp;&nbsp;&nbsp; 14341 | &nbsp;&nbsp; 12975284 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/20/53 | &nbsp;&nbsp;&nbsp; 2246 | &nbsp;&nbsp; 2032709 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/53 | &nbsp;&nbsp;&nbsp; 3284 | &nbsp;&nbsp; 2974607 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/20/53 | &nbsp;&nbsp;&nbsp; 2298 | &nbsp;&nbsp; 2080279 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/20/53 | &nbsp;&nbsp;&nbsp; 12628 | &nbsp;&nbsp; 11427904 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/20/54 | &nbsp;&nbsp;&nbsp; 371 | &nbsp;&nbsp; 336391 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/20/54 | &nbsp;&nbsp;&nbsp; 867 | &nbsp;&nbsp; 785206 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/54 | &nbsp;&nbsp;&nbsp; 264 | &nbsp;&nbsp; 239371 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/20/54 | &nbsp;&nbsp;&nbsp; 1104 | &nbsp;&nbsp; 996965 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/20/55 | &nbsp;&nbsp;&nbsp; 1123 | &nbsp;&nbsp; 1014049 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/15/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 399 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/15/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 880 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/26 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8160 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/27 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1998 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/27 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5682 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/29 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2939 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/15/29 | &nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp; 59357 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/41 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8499 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/41 | &nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp; 50784 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/15/41 | &nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp; 116924 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/15/41 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6273 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/15/41 | &nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp; 45446 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/41 | &nbsp;&nbsp;&nbsp; 1249 | &nbsp;&nbsp; 1184333 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/15/41 | &nbsp;&nbsp;&nbsp; 1192 | &nbsp;&nbsp; 1129976 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/41 | &nbsp;&nbsp;&nbsp; 990 | &nbsp;&nbsp; 938460 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/42 | &nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp; 127741 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/42 | &nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp; 232662 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/15/42 | &nbsp;&nbsp;&nbsp; 284 | &nbsp;&nbsp; 269369 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/42 | &nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp; 50968 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/15/42 | &nbsp;&nbsp;&nbsp; 132 | &nbsp;&nbsp; 125122 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/42 | &nbsp;&nbsp;&nbsp; 7238 | &nbsp;&nbsp; 6857460 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/15/42 | &nbsp;&nbsp;&nbsp; 332 | &nbsp;&nbsp; 314137 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/15/42 | &nbsp;&nbsp;&nbsp; 238 | &nbsp;&nbsp; 223897 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/42 | &nbsp;&nbsp;&nbsp; 501 | &nbsp;&nbsp; 474574 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/15/42 | &nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp; 98477 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/42 | &nbsp;&nbsp;&nbsp; 9745 | &nbsp;&nbsp; 9233336 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/15/42 | &nbsp;&nbsp;&nbsp; 281 | &nbsp;&nbsp; 264230 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/15/42 | &nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp; 34792 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/42 | &nbsp;&nbsp;&nbsp; 761 | &nbsp;&nbsp; 721755 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/15/42 | &nbsp;&nbsp;&nbsp; 866 | &nbsp;&nbsp; 819567 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/42 | &nbsp;&nbsp;&nbsp; 12138 | &nbsp;&nbsp; 11500427 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/15/42 | &nbsp;&nbsp;&nbsp; 650 | &nbsp;&nbsp; 615165 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/42 | &nbsp;&nbsp;&nbsp; 10320 | &nbsp;&nbsp; 9777489 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/15/42 | &nbsp;&nbsp;&nbsp; 322 | &nbsp;&nbsp; 305060 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/42 | &nbsp;&nbsp;&nbsp; $10795 | &nbsp;&nbsp; $10227631 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/42 | &nbsp;&nbsp;&nbsp; 8075 | &nbsp;&nbsp; 7650825 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/43 | &nbsp;&nbsp;&nbsp; 244 | &nbsp;&nbsp; 230981 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/43 | &nbsp;&nbsp;&nbsp; 1541 | &nbsp;&nbsp; 1458840 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/15/43 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 57607 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/15/43 | &nbsp;&nbsp;&nbsp; 461 | &nbsp;&nbsp; 436215 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/43 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 24923 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/15/43 | &nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp; 87071 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/43 | &nbsp;&nbsp;&nbsp; 5219 | &nbsp;&nbsp; 4944324 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/15/43 | &nbsp;&nbsp;&nbsp; 731 | &nbsp;&nbsp; 691916 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/43 | &nbsp;&nbsp;&nbsp; 10254 | &nbsp;&nbsp; 9713286 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/15/43 | &nbsp;&nbsp;&nbsp; 7201 | &nbsp;&nbsp; 6819616 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/43 | &nbsp;&nbsp;&nbsp; 178 | &nbsp;&nbsp; 168878 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/15/43 | &nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp; 166030 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/43 | &nbsp;&nbsp;&nbsp; 524 | &nbsp;&nbsp; 496161 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/43 | &nbsp;&nbsp;&nbsp; 5595 | &nbsp;&nbsp; 5299424 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/15/43 | &nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp; 45809 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/43 | &nbsp;&nbsp;&nbsp; 956 | &nbsp;&nbsp; 905181 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/43 | &nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp; 104026 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/44 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1989 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/44 | &nbsp;&nbsp;&nbsp; 654 | &nbsp;&nbsp; 619766 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/44 | &nbsp;&nbsp;&nbsp; 1381 | &nbsp;&nbsp; 1307710 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/44 | &nbsp;&nbsp;&nbsp; 1571 | &nbsp;&nbsp; 1486591 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/44 | &nbsp;&nbsp;&nbsp; 327 | &nbsp;&nbsp; 309376 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/15/44 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3643 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/44 | &nbsp;&nbsp;&nbsp; 2257 | &nbsp;&nbsp; 2135499 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/15/44 | &nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp; 33267 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/44 | &nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp; 48067 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/15/44 | &nbsp;&nbsp;&nbsp; 335 | &nbsp;&nbsp; 314726 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/44 | &nbsp;&nbsp;&nbsp; 5223 | &nbsp;&nbsp; 4941792 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/44 | &nbsp;&nbsp;&nbsp; 3241 | &nbsp;&nbsp; 3066428 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/44 | &nbsp;&nbsp;&nbsp; 752 | &nbsp;&nbsp; 711978 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/15/44 | &nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp; 54131 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/44 | &nbsp;&nbsp;&nbsp; 1673 | &nbsp;&nbsp; 1582606 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/45 | &nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp; 107710 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/45 | &nbsp;&nbsp;&nbsp; 722 | &nbsp;&nbsp; 683174 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/45 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 21333 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/15/45 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 21582 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/45 | &nbsp;&nbsp;&nbsp; 559 | &nbsp;&nbsp; 524529 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/15/45 | &nbsp;&nbsp;&nbsp; 302 | &nbsp;&nbsp; 283116 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/45 | &nbsp;&nbsp;&nbsp; 6407 | &nbsp;&nbsp; 6016443 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/45 | &nbsp;&nbsp;&nbsp; 1900 | &nbsp;&nbsp; 1783261 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/45 | &nbsp;&nbsp;&nbsp; 5446 | &nbsp;&nbsp; 5114247 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/45 | &nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp; 118875 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/45 | &nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp; 159792 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/45 | &nbsp;&nbsp;&nbsp; 3796 | &nbsp;&nbsp; 3563614 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/45 | &nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp; 128059 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/45 | &nbsp;&nbsp;&nbsp; 11481 | &nbsp;&nbsp; 10781607 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/45 | &nbsp;&nbsp;&nbsp; 5146 | &nbsp;&nbsp; 4832612 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/46 | &nbsp;&nbsp;&nbsp; 1602 | &nbsp;&nbsp; 1504617 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/46 | &nbsp;&nbsp;&nbsp; 191 | &nbsp;&nbsp; 179120 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/46 | &nbsp;&nbsp;&nbsp; 13121 | &nbsp;&nbsp; 12318844 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/46 | &nbsp;&nbsp;&nbsp; 11714 | &nbsp;&nbsp; 10997745 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/46 | &nbsp;&nbsp;&nbsp; 3955 | &nbsp;&nbsp; 3713373 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/15/46 | &nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp; 112075 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/46 | &nbsp;&nbsp;&nbsp; 37805 | &nbsp;&nbsp; 35494856 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/15/46 | &nbsp;&nbsp;&nbsp; 1480 | &nbsp;&nbsp; 1370338 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/46 | &nbsp;&nbsp;&nbsp; 2324 | &nbsp;&nbsp; 2181990 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/15/46 | &nbsp;&nbsp;&nbsp; 2807 | &nbsp;&nbsp; 2626275 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/46 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 57558 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/15/46 | &nbsp;&nbsp;&nbsp; 2152 | &nbsp;&nbsp; 1993865 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/46 | &nbsp;&nbsp;&nbsp; $5476 | &nbsp;&nbsp; $5137584 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/15/46 | &nbsp;&nbsp;&nbsp; 797 | &nbsp;&nbsp; 737643 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/46 | &nbsp;&nbsp;&nbsp; 283 | &nbsp;&nbsp; 265608 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/46 | &nbsp;&nbsp;&nbsp; 4986 | &nbsp;&nbsp; 4681611 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/46 | &nbsp;&nbsp;&nbsp; 7021 | &nbsp;&nbsp; 6591576 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/47 | &nbsp;&nbsp;&nbsp; 22715 | &nbsp;&nbsp; 21326758 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/47 | &nbsp;&nbsp;&nbsp; 41248 | &nbsp;&nbsp; 38727485 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/47 | &nbsp;&nbsp;&nbsp; 11456 | &nbsp;&nbsp; 10756587 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/47 | &nbsp;&nbsp;&nbsp; 7998 | &nbsp;&nbsp; 7508587 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/47 | &nbsp;&nbsp;&nbsp; 1397 | &nbsp;&nbsp; 1312102 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/15/47 | &nbsp;&nbsp;&nbsp; 804 | &nbsp;&nbsp; 753733 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/47 | &nbsp;&nbsp;&nbsp; 3118 | &nbsp;&nbsp; 2927474 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/47 | &nbsp;&nbsp;&nbsp; 3290 | &nbsp;&nbsp; 3089513 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/47 | &nbsp;&nbsp;&nbsp; 15541 | &nbsp;&nbsp; 14604678 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/15/47 | &nbsp;&nbsp;&nbsp; 333 | &nbsp;&nbsp; 308337 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/47 | &nbsp;&nbsp;&nbsp; 35329 | &nbsp;&nbsp; 32996650 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/15/47 | &nbsp;&nbsp;&nbsp; 1044 | &nbsp;&nbsp; 969005 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/47 | &nbsp;&nbsp;&nbsp; 17946 | &nbsp;&nbsp; 16752710 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/15/47 | &nbsp;&nbsp;&nbsp; 1961 | &nbsp;&nbsp; 1838929 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/47 | &nbsp;&nbsp;&nbsp; 14976 | &nbsp;&nbsp; 14061761 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/15/47 | &nbsp;&nbsp;&nbsp; 3029 | &nbsp;&nbsp; 2841125 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/47 | &nbsp;&nbsp;&nbsp; 21585 | &nbsp;&nbsp; 20122787 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/48 | &nbsp;&nbsp;&nbsp; 3867 | &nbsp;&nbsp; 3577975 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/48 | &nbsp;&nbsp;&nbsp; 16830 | &nbsp;&nbsp; 15737665 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/15/48 | &nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp; 104684 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/48 | &nbsp;&nbsp;&nbsp; 15204 | &nbsp;&nbsp; 14275300 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/48 | &nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp; 60563 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/15/48 | &nbsp;&nbsp;&nbsp; 271 | &nbsp;&nbsp; 254380 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/48 | &nbsp;&nbsp;&nbsp; 12819 | &nbsp;&nbsp; 12013926 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/15/48 | &nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp; 32483 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/48 | &nbsp;&nbsp;&nbsp; 14898 | &nbsp;&nbsp; 13988474 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/48 | &nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp; 147791 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/15/48 | &nbsp;&nbsp;&nbsp; 1003 | &nbsp;&nbsp; 920234 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/48 | &nbsp;&nbsp;&nbsp; 4063 | &nbsp;&nbsp; 3781174 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/48 | &nbsp;&nbsp;&nbsp; 13055 | &nbsp;&nbsp; 12237135 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/48 | &nbsp;&nbsp;&nbsp; 11788 | &nbsp;&nbsp; 11049114 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/48 | &nbsp;&nbsp;&nbsp; 575 | &nbsp;&nbsp; 538893 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/49 | &nbsp;&nbsp;&nbsp; 2166 | &nbsp;&nbsp; 2033663 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/49 | &nbsp;&nbsp;&nbsp; 1642 | &nbsp;&nbsp; 1539263 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/49 | &nbsp;&nbsp;&nbsp; 16496 | &nbsp;&nbsp; 15463001 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/49 | &nbsp;&nbsp;&nbsp; 257 | &nbsp;&nbsp; 240867 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/49 | &nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp; 242382 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/49 | &nbsp;&nbsp;&nbsp; 2184 | &nbsp;&nbsp; 2039031 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/49 | &nbsp;&nbsp;&nbsp; 1393 | &nbsp;&nbsp; 1302117 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/49 | &nbsp;&nbsp;&nbsp; 12805 | &nbsp;&nbsp; 11966448 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/15/49 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11114 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/49 | &nbsp;&nbsp;&nbsp; 756 | &nbsp;&nbsp; 706502 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/15/49 | &nbsp;&nbsp;&nbsp; 266 | &nbsp;&nbsp; 248271 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/49 | &nbsp;&nbsp;&nbsp; 1547 | &nbsp;&nbsp; 1445694 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/49 | &nbsp;&nbsp;&nbsp; 5155 | &nbsp;&nbsp; 4816803 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/50 | &nbsp;&nbsp;&nbsp; 26699 | &nbsp;&nbsp; 24950059 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/50 | &nbsp;&nbsp;&nbsp; 811 | &nbsp;&nbsp; 758142 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/50 | &nbsp;&nbsp;&nbsp; 878 | &nbsp;&nbsp; 820571 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/50 | &nbsp;&nbsp;&nbsp; 1112 | &nbsp;&nbsp; 1039398 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/50 | &nbsp;&nbsp;&nbsp; 6891 | &nbsp;&nbsp; 6439954 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/50 | &nbsp;&nbsp;&nbsp; 4972 | &nbsp;&nbsp; 4649482 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/50 | &nbsp;&nbsp;&nbsp; 1004 | &nbsp;&nbsp; 937896 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/50 | &nbsp;&nbsp;&nbsp; 3465 | &nbsp;&nbsp; 3239985 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/50 | &nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp; 43800 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/50 | &nbsp;&nbsp;&nbsp; 886 | &nbsp;&nbsp; 828222 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/50 | &nbsp;&nbsp;&nbsp; 929 | &nbsp;&nbsp; 868029 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/50 | &nbsp;&nbsp;&nbsp; $185 | &nbsp;&nbsp; $172690 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/51 | &nbsp;&nbsp;&nbsp; 1386 | &nbsp;&nbsp; 1294819 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/51 | &nbsp;&nbsp;&nbsp; 4177 | &nbsp;&nbsp; 3906273 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/51 | &nbsp;&nbsp;&nbsp; 7938 | &nbsp;&nbsp; 7423062 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/51 | &nbsp;&nbsp;&nbsp; 547 | &nbsp;&nbsp; 511425 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/51 | &nbsp;&nbsp;&nbsp; 603 | &nbsp;&nbsp; 561950 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/51 | &nbsp;&nbsp;&nbsp; 418 | &nbsp;&nbsp; 389536 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/51 | &nbsp;&nbsp;&nbsp; 854 | &nbsp;&nbsp; 795238 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/52 | &nbsp;&nbsp;&nbsp; 3312 | &nbsp;&nbsp; 3085390 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/52 | &nbsp;&nbsp;&nbsp; 4158 | &nbsp;&nbsp; 3873685 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/52 | &nbsp;&nbsp;&nbsp; 5292 | &nbsp;&nbsp; 4887613 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/52 | &nbsp;&nbsp;&nbsp; 4732 | &nbsp;&nbsp; 4408770 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/52 | &nbsp;&nbsp;&nbsp; 8970 | &nbsp;&nbsp; 8343710 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/52 | &nbsp;&nbsp;&nbsp; 3925 | &nbsp;&nbsp; 3651050 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/52 | &nbsp;&nbsp;&nbsp; 930 | &nbsp;&nbsp; 865035 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/52 | &nbsp;&nbsp;&nbsp; 2248 | &nbsp;&nbsp; 2090986 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/52 | &nbsp;&nbsp;&nbsp; 6117 | &nbsp;&nbsp; 5689011 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/52 | &nbsp;&nbsp;&nbsp; 27441 | &nbsp;&nbsp; 25515273 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/52 | &nbsp;&nbsp;&nbsp; 838 | &nbsp;&nbsp; 779326 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/52 | &nbsp;&nbsp;&nbsp; 3426 | &nbsp;&nbsp; 3186426 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/53 | &nbsp;&nbsp;&nbsp; 8929 | &nbsp;&nbsp; 8304156 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/53 | &nbsp;&nbsp;&nbsp; 16802 | &nbsp;&nbsp; 15711110 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/20/53 | &nbsp;&nbsp;&nbsp; 1552 | &nbsp;&nbsp; 1451385 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/53 | &nbsp;&nbsp;&nbsp; 6590 | &nbsp;&nbsp; 6158350 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/20/53 | &nbsp;&nbsp;&nbsp; 26358 | &nbsp;&nbsp; 24647279 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/20/53 | &nbsp;&nbsp;&nbsp; 13780 | &nbsp;&nbsp; 12885761 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/53 | &nbsp;&nbsp;&nbsp; 192 | &nbsp;&nbsp; 179658 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/20/53 | &nbsp;&nbsp;&nbsp; 626 | &nbsp;&nbsp; 585185 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/20/53 | &nbsp;&nbsp;&nbsp; 1893 | &nbsp;&nbsp; 1769099 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/20/53 | &nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp; 107179 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/20/53 | &nbsp;&nbsp;&nbsp; 201 | &nbsp;&nbsp; 187886 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/20/54 | &nbsp;&nbsp;&nbsp; 5627 | &nbsp;&nbsp; 5258238 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/20/54 | &nbsp;&nbsp;&nbsp; 862 | &nbsp;&nbsp; 805858 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/20/54 | &nbsp;&nbsp;&nbsp; 840 | &nbsp;&nbsp; 785785 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/20/54 | &nbsp;&nbsp;&nbsp; 876 | &nbsp;&nbsp; 819600 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/20/55 | &nbsp;&nbsp;&nbsp; 8676 | &nbsp;&nbsp; 7957062 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/18/55 | &nbsp;&nbsp;&nbsp; 67245 | &nbsp;&nbsp; 61636872 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 769 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 616 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/15/39 | &nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp; 41753 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/39 | &nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp; 206554 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/39 | &nbsp;&nbsp;&nbsp; 7509 | &nbsp;&nbsp; 7416014 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/39 | &nbsp;&nbsp;&nbsp; 473 | &nbsp;&nbsp; 464931 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/40 | &nbsp;&nbsp;&nbsp; 296 | &nbsp;&nbsp; 289690 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/40 | &nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp; 306994 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/15/40 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 26269 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/40 | &nbsp;&nbsp;&nbsp; 310 | &nbsp;&nbsp; 303149 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/15/40 | &nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp; 115020 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/40 | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp; 146510 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/15/40 | &nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp; 87625 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/40 | &nbsp;&nbsp;&nbsp; 932 | &nbsp;&nbsp; 912388 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/15/40 | &nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp; 56390 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/40 | &nbsp;&nbsp;&nbsp; 698 | &nbsp;&nbsp; 683484 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/15/40 | &nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp; 42151 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/40 | &nbsp;&nbsp;&nbsp; 5402 | &nbsp;&nbsp; 5288573 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/15/41 | &nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp; 124042 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/41 | &nbsp;&nbsp;&nbsp; 941 | &nbsp;&nbsp; 921655 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/15/41 | &nbsp;&nbsp;&nbsp; 1570 | &nbsp;&nbsp; 1536260 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/41 | &nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp; 80791 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/15/41 | &nbsp;&nbsp;&nbsp; 238 | &nbsp;&nbsp; 233225 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/15/41 | &nbsp;&nbsp;&nbsp; 955 | &nbsp;&nbsp; 934384 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/41 | &nbsp;&nbsp;&nbsp; $67 | &nbsp;&nbsp; $65258 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/41 | &nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp; 268412 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/41 | &nbsp;&nbsp;&nbsp; 411 | &nbsp;&nbsp; 402225 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/15/41 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 185 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/15/41 | &nbsp;&nbsp;&nbsp; 494 | &nbsp;&nbsp; 483371 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/41 | &nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp; 181984 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/15/41 | &nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp; 35044 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/41 | &nbsp;&nbsp;&nbsp; 1188 | &nbsp;&nbsp; 1163051 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/15/41 | &nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp; 149617 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/41 | &nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp; 67648 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/15/41 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 20867 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/41 | &nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp; 50982 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/15/41 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10489 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/41 | &nbsp;&nbsp;&nbsp; 2141 | &nbsp;&nbsp; 2096494 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/15/41 | &nbsp;&nbsp;&nbsp; 370 | &nbsp;&nbsp; 361541 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/41 | &nbsp;&nbsp;&nbsp; 493 | &nbsp;&nbsp; 482561 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/15/42 | &nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp; 253027 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/42 | &nbsp;&nbsp;&nbsp; 755 | &nbsp;&nbsp; 738842 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/15/42 | &nbsp;&nbsp;&nbsp; 1100 | &nbsp;&nbsp; 1075281 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/42 | &nbsp;&nbsp;&nbsp; 1517 | &nbsp;&nbsp; 1485176 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/15/42 | &nbsp;&nbsp;&nbsp; 1732 | &nbsp;&nbsp; 1693830 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/42 | &nbsp;&nbsp;&nbsp; 161 | &nbsp;&nbsp; 157881 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/15/42 | &nbsp;&nbsp;&nbsp; 1082 | &nbsp;&nbsp; 1058134 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/42 | &nbsp;&nbsp;&nbsp; 587 | &nbsp;&nbsp; 574941 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/42 | &nbsp;&nbsp;&nbsp; 336 | &nbsp;&nbsp; 328752 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/42 | &nbsp;&nbsp;&nbsp; 998 | &nbsp;&nbsp; 976907 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/42 | &nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp; 130126 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/42 | &nbsp;&nbsp;&nbsp; 326 | &nbsp;&nbsp; 318744 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/15/42 | &nbsp;&nbsp;&nbsp; 325 | &nbsp;&nbsp; 317875 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/42 | &nbsp;&nbsp;&nbsp; 1459 | &nbsp;&nbsp; 1428332 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/42 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 25380 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/15/42 | &nbsp;&nbsp;&nbsp; 180 | &nbsp;&nbsp; 175825 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/42 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 26514 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/42 | &nbsp;&nbsp;&nbsp; 381 | &nbsp;&nbsp; 373131 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/42 | &nbsp;&nbsp;&nbsp; 2724 | &nbsp;&nbsp; 2666922 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/43 | &nbsp;&nbsp;&nbsp; 284 | &nbsp;&nbsp; 277886 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/43 | &nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp; 162783 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/43 | &nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp; 144953 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/43 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4056 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/43 | &nbsp;&nbsp;&nbsp; 774 | &nbsp;&nbsp; 757429 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/43 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 19790 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/15/43 | &nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp; 74009 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/43 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16939 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/43 | &nbsp;&nbsp;&nbsp; 356 | &nbsp;&nbsp; 348598 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/43 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 23635 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/44 | &nbsp;&nbsp;&nbsp; 748 | &nbsp;&nbsp; 731569 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/44 | &nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp; 342185 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/15/44 | &nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp; 74882 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/44 | &nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp; 166539 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/44 | &nbsp;&nbsp;&nbsp; 812 | &nbsp;&nbsp; 789617 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/44 | &nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp; 43257 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/44 | &nbsp;&nbsp;&nbsp; 324 | &nbsp;&nbsp; 315149 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/15/44 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 24545 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/44 | &nbsp;&nbsp;&nbsp; 1490 | &nbsp;&nbsp; 1449261 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/15/44 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12171 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/44 | &nbsp;&nbsp;&nbsp; 2287 | &nbsp;&nbsp; 2225169 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/15/44 | &nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp; 181310 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/44 | &nbsp;&nbsp;&nbsp; 230 | &nbsp;&nbsp; 223747 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/44 | &nbsp;&nbsp;&nbsp; 3146 | &nbsp;&nbsp; 3060763 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/15/45 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11581 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/45 | &nbsp;&nbsp;&nbsp; 3377 | &nbsp;&nbsp; 3285393 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/15/45 | &nbsp;&nbsp;&nbsp; $1 | &nbsp;&nbsp; $806 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/45 | &nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp; 213111 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/15/45 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 18436 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/45 | &nbsp;&nbsp;&nbsp; 852 | &nbsp;&nbsp; 828780 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/15/45 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 31935 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/45 | &nbsp;&nbsp;&nbsp; 443 | &nbsp;&nbsp; 430619 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/45 | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 30480 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/45 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9314 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/15/45 | &nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp; 132031 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/45 | &nbsp;&nbsp;&nbsp; 1458 | &nbsp;&nbsp; 1417071 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/15/45 | &nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp; 40585 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/45 | &nbsp;&nbsp;&nbsp; 761 | &nbsp;&nbsp; 739450 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/15/45 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 19679 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/45 | &nbsp;&nbsp;&nbsp; 562 | &nbsp;&nbsp; 545410 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/15/45 | &nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp; 212727 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/45 | &nbsp;&nbsp;&nbsp; 5034 | &nbsp;&nbsp; 4891162 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/45 | &nbsp;&nbsp;&nbsp; 476 | &nbsp;&nbsp; 462586 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/15/45 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 25347 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/45 | &nbsp;&nbsp;&nbsp; 3357 | &nbsp;&nbsp; 3262839 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/45 | &nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp; 187934 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/46 | &nbsp;&nbsp;&nbsp; 869 | &nbsp;&nbsp; 844183 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/46 | &nbsp;&nbsp;&nbsp; 6605 | &nbsp;&nbsp; 6419065 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/15/46 | &nbsp;&nbsp;&nbsp; 324 | &nbsp;&nbsp; 313003 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/46 | &nbsp;&nbsp;&nbsp; 3269 | &nbsp;&nbsp; 3177004 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/46 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4308 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/46 | &nbsp;&nbsp;&nbsp; 2182 | &nbsp;&nbsp; 2120575 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/46 | &nbsp;&nbsp;&nbsp; 565 | &nbsp;&nbsp; 547026 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/46 | &nbsp;&nbsp;&nbsp; 782 | &nbsp;&nbsp; 757475 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/15/46 | &nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp; 42529 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/46 | &nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp; 69155 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/46 | &nbsp;&nbsp;&nbsp; 3236 | &nbsp;&nbsp; 3135828 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/15/46 | &nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp; 66343 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/15/46 | &nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp; 111119 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/46 | &nbsp;&nbsp;&nbsp; 3030 | &nbsp;&nbsp; 2935367 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/15/46 | &nbsp;&nbsp;&nbsp; 999 | &nbsp;&nbsp; 969915 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/46 | &nbsp;&nbsp;&nbsp; 1441 | &nbsp;&nbsp; 1396249 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/47 | &nbsp;&nbsp;&nbsp; 4609 | &nbsp;&nbsp; 4466132 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/47 | &nbsp;&nbsp;&nbsp; 548 | &nbsp;&nbsp; 530965 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/47 | &nbsp;&nbsp;&nbsp; 1255 | &nbsp;&nbsp; 1216319 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/47 | &nbsp;&nbsp;&nbsp; 19200 | &nbsp;&nbsp; 18568068 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/47 | &nbsp;&nbsp;&nbsp; 2424 | &nbsp;&nbsp; 2344122 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/47 | &nbsp;&nbsp;&nbsp; 19914 | &nbsp;&nbsp; 19258369 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/47 | &nbsp;&nbsp;&nbsp; 24781 | &nbsp;&nbsp; 23965159 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/47 | &nbsp;&nbsp;&nbsp; 6181 | &nbsp;&nbsp; 5977045 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/47 | &nbsp;&nbsp;&nbsp; 5397 | &nbsp;&nbsp; 5219608 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/15/47 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 21037 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/47 | &nbsp;&nbsp;&nbsp; 797 | &nbsp;&nbsp; 770945 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/47 | &nbsp;&nbsp;&nbsp; 26634 | &nbsp;&nbsp; 25756348 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/47 | &nbsp;&nbsp;&nbsp; 8117 | &nbsp;&nbsp; 7849244 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/15/48 | &nbsp;&nbsp;&nbsp; 1279 | &nbsp;&nbsp; 1235379 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/48 | &nbsp;&nbsp;&nbsp; 5142 | &nbsp;&nbsp; 4908535 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/48 | &nbsp;&nbsp;&nbsp; 18973 | &nbsp;&nbsp; 18347943 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/48 | &nbsp;&nbsp;&nbsp; 17112 | &nbsp;&nbsp; 16525841 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/48 | &nbsp;&nbsp;&nbsp; 9911 | &nbsp;&nbsp; 9576988 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/15/48 | &nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp; 77475 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/48 | &nbsp;&nbsp;&nbsp; 2269 | &nbsp;&nbsp; 2191322 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/48 | &nbsp;&nbsp;&nbsp; 10558 | &nbsp;&nbsp; 10202077 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/48 | &nbsp;&nbsp;&nbsp; 3743 | &nbsp;&nbsp; 3616952 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/48 | &nbsp;&nbsp;&nbsp; 10686 | &nbsp;&nbsp; 10327375 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/48 | &nbsp;&nbsp;&nbsp; 19403 | &nbsp;&nbsp; 18759224 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/48 | &nbsp;&nbsp;&nbsp; 3295 | &nbsp;&nbsp; 3184719 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/48 | &nbsp;&nbsp;&nbsp; $11682 | &nbsp;&nbsp; $11288501 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/48 | &nbsp;&nbsp;&nbsp; 3038 | &nbsp;&nbsp; 2936279 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/49 | &nbsp;&nbsp;&nbsp; 8605 | &nbsp;&nbsp; 8316485 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/49 | &nbsp;&nbsp;&nbsp; 7104 | &nbsp;&nbsp; 6866020 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/49 | &nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp; 225043 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/49 | &nbsp;&nbsp;&nbsp; 3750 | &nbsp;&nbsp; 3612982 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/49 | &nbsp;&nbsp;&nbsp; 3826 | &nbsp;&nbsp; 3684312 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/49 | &nbsp;&nbsp;&nbsp; 3309 | &nbsp;&nbsp; 3181752 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/15/49 | &nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp; 61489 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/49 | &nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp; 178808 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/49 | &nbsp;&nbsp;&nbsp; 347 | &nbsp;&nbsp; 333867 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/49 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 24789 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/50 | &nbsp;&nbsp;&nbsp; 19305 | &nbsp;&nbsp; 18598770 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/50 | &nbsp;&nbsp;&nbsp; 9130 | &nbsp;&nbsp; 8795486 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/50 | &nbsp;&nbsp;&nbsp; 277 | &nbsp;&nbsp; 266911 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/50 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6538 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/50 | &nbsp;&nbsp;&nbsp; 2150 | &nbsp;&nbsp; 2071091 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/50 | &nbsp;&nbsp;&nbsp; 1647 | &nbsp;&nbsp; 1586792 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/50 | &nbsp;&nbsp;&nbsp; 4636 | &nbsp;&nbsp; 4481948 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/50 | &nbsp;&nbsp;&nbsp; 2186 | &nbsp;&nbsp; 2107269 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/50 | &nbsp;&nbsp;&nbsp; 2039 | &nbsp;&nbsp; 1965674 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/50 | &nbsp;&nbsp;&nbsp; 399 | &nbsp;&nbsp; 384568 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/50 | &nbsp;&nbsp;&nbsp; 1070 | &nbsp;&nbsp; 1031446 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/51 | &nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp; 42796 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/52 | &nbsp;&nbsp;&nbsp; 747 | &nbsp;&nbsp; 715464 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/52 | &nbsp;&nbsp;&nbsp; 7521 | &nbsp;&nbsp; 7201299 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/52 | &nbsp;&nbsp;&nbsp; 9720 | &nbsp;&nbsp; 9306549 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/52 | &nbsp;&nbsp;&nbsp; 15883 | &nbsp;&nbsp; 15206754 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/52 | &nbsp;&nbsp;&nbsp; 50439 | &nbsp;&nbsp; 48292780 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/52 | &nbsp;&nbsp;&nbsp; 50009 | &nbsp;&nbsp; 47925076 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/52 | &nbsp;&nbsp;&nbsp; 8336 | &nbsp;&nbsp; 7981165 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/52 | &nbsp;&nbsp;&nbsp; 8423 | &nbsp;&nbsp; 8064668 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/53 | &nbsp;&nbsp;&nbsp; 621 | &nbsp;&nbsp; 595003 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/53 | &nbsp;&nbsp;&nbsp; 3280 | &nbsp;&nbsp; 3140279 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/53 | &nbsp;&nbsp;&nbsp; 4258 | &nbsp;&nbsp; 4076461 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/20/53 | &nbsp;&nbsp;&nbsp; 2354 | &nbsp;&nbsp; 2253567 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/20/53 | &nbsp;&nbsp;&nbsp; 3338 | &nbsp;&nbsp; 3197185 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/53 | &nbsp;&nbsp;&nbsp; 1474 | &nbsp;&nbsp; 1410938 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/53 | &nbsp;&nbsp;&nbsp; 262 | &nbsp;&nbsp; 251495 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/20/53 | &nbsp;&nbsp;&nbsp; 17167 | &nbsp;&nbsp; 16443408 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/20/53 | &nbsp;&nbsp;&nbsp; 436 | &nbsp;&nbsp; 417502 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/54 | &nbsp;&nbsp;&nbsp; 2376 | &nbsp;&nbsp; 2274575 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/20/54 | &nbsp;&nbsp;&nbsp; 1909 | &nbsp;&nbsp; 1827379 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/20/54 | &nbsp;&nbsp;&nbsp; 2670 | &nbsp;&nbsp; 2546440 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/54 | &nbsp;&nbsp;&nbsp; 4353 | &nbsp;&nbsp; 4150785 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/20/54 | &nbsp;&nbsp;&nbsp; 3023 | &nbsp;&nbsp; 2880065 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/20/54 | &nbsp;&nbsp;&nbsp; 9323 | &nbsp;&nbsp; 8872997 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/20/54 | &nbsp;&nbsp;&nbsp; 5254 | &nbsp;&nbsp; 4985373 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/20/54 | &nbsp;&nbsp;&nbsp; 969 | &nbsp;&nbsp; 919264 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/20/55 | &nbsp;&nbsp;&nbsp; 8005 | &nbsp;&nbsp; 7595304 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/55 | &nbsp;&nbsp;&nbsp; 472 | &nbsp;&nbsp; 447887 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/18/55<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 10600 | &nbsp;&nbsp; 10048763 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 244 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/15/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 687 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/33 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5638 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1364 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/15/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 746 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/15/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 330 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/35 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9939 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/35 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3114 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 174 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/15/39 | &nbsp;&nbsp;&nbsp; $60 | &nbsp;&nbsp; $60292 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/39 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 23366 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/15/39 | &nbsp;&nbsp;&nbsp; 194 | &nbsp;&nbsp; 194661 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/15/39 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 61130 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/15/39 | &nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp; 54329 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/15/39 | &nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp; 214394 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/39 | &nbsp;&nbsp;&nbsp; 862 | &nbsp;&nbsp; 869915 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/15/39 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 28173 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/15/39 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4482 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/15/39 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 24103 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/39 | &nbsp;&nbsp;&nbsp; 327 | &nbsp;&nbsp; 329183 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/15/39 | &nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp; 45122 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/39 | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 31249 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/15/40 | &nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp; 104574 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/40 | &nbsp;&nbsp;&nbsp; 531 | &nbsp;&nbsp; 534532 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/15/40 | &nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp; 85032 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/15/40 | &nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp; 59250 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/15/40 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 27050 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/40 | &nbsp;&nbsp;&nbsp; 761 | &nbsp;&nbsp; 765991 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/15/40 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 17983 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/40 | &nbsp;&nbsp;&nbsp; 281 | &nbsp;&nbsp; 283269 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/15/40 | &nbsp;&nbsp;&nbsp; 1841 | &nbsp;&nbsp; 1853956 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/40 | &nbsp;&nbsp;&nbsp; 5409 | &nbsp;&nbsp; 5445814 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/15/40 | &nbsp;&nbsp;&nbsp; 660 | &nbsp;&nbsp; 664145 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/40 | &nbsp;&nbsp;&nbsp; 1952 | &nbsp;&nbsp; 1965013 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/40 | &nbsp;&nbsp;&nbsp; 2273 | &nbsp;&nbsp; 2287841 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/40 | &nbsp;&nbsp;&nbsp; 555 | &nbsp;&nbsp; 559003 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/15/40 | &nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp; 119801 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/15/40 | &nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp; 50823 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/40 | &nbsp;&nbsp;&nbsp; 2927 | &nbsp;&nbsp; 2947274 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/40 | &nbsp;&nbsp;&nbsp; 880 | &nbsp;&nbsp; 886253 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/15/40 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10431 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/15/41 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3201 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/41 | &nbsp;&nbsp;&nbsp; 6560 | &nbsp;&nbsp; 6604500 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/15/41 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4348 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/41 | &nbsp;&nbsp;&nbsp; 3809 | &nbsp;&nbsp; 3834736 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/15/41 | &nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp; 59416 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/41 | &nbsp;&nbsp;&nbsp; 1368 | &nbsp;&nbsp; 1377759 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/15/41 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15133 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/41 | &nbsp;&nbsp;&nbsp; 7510 | &nbsp;&nbsp; 7561461 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/15/41 | &nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp; 30656 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/41 | &nbsp;&nbsp;&nbsp; 4146 | &nbsp;&nbsp; 4174409 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/15/41 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 37745 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/41 | &nbsp;&nbsp;&nbsp; 6013 | &nbsp;&nbsp; 6054009 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/15/41 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 24302 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/41 | &nbsp;&nbsp;&nbsp; 4627 | &nbsp;&nbsp; 4657555 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/41 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 27101 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/41 | &nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp; 71352 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/15/41 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13105 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/41 | &nbsp;&nbsp;&nbsp; 996 | &nbsp;&nbsp; 1002727 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/41 | &nbsp;&nbsp;&nbsp; 982 | &nbsp;&nbsp; 988403 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/41 | &nbsp;&nbsp;&nbsp; 415 | &nbsp;&nbsp; 418204 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/42 | &nbsp;&nbsp;&nbsp; 3525 | &nbsp;&nbsp; 3549215 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/42 | &nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp; 39920 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/42 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9531 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/42 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 17369 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/42 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12393 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/43 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6802 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/43 | &nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp; 199013 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/43 | &nbsp;&nbsp;&nbsp; 378 | &nbsp;&nbsp; 378142 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/44 | &nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp; 106379 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/44 | &nbsp;&nbsp;&nbsp; $2141 | &nbsp;&nbsp; $2143133 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/44 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2072 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/44 | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp; 200649 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/44 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9236 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/44 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14042 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/44 | &nbsp;&nbsp;&nbsp; 2991 | &nbsp;&nbsp; 2993848 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/44 | &nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp; 168609 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/44 | &nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp; 137078 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/45 | &nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp; 31632 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/45 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2106 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/45 | &nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp; 103640 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/15/45 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 14626 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/45 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5878 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/15/45 | &nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp; 40817 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/45 | &nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp; 48414 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/45 | &nbsp;&nbsp;&nbsp; 4626 | &nbsp;&nbsp; 4629391 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/45 | &nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp; 115122 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/46 | &nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp; 38666 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/15/46 | &nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp; 106874 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/46 | &nbsp;&nbsp;&nbsp; 518 | &nbsp;&nbsp; 518585 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/46 | &nbsp;&nbsp;&nbsp; 7545 | &nbsp;&nbsp; 7554475 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/46 | &nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp; 93808 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/46 | &nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp; 182955 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/46 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15047 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/46 | &nbsp;&nbsp;&nbsp; 267 | &nbsp;&nbsp; 267693 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/15/46 | &nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp; 55887 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/46 | &nbsp;&nbsp;&nbsp; 1280 | &nbsp;&nbsp; 1285036 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/15/46 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9779 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/46 | &nbsp;&nbsp;&nbsp; 1405 | &nbsp;&nbsp; 1406867 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/46 | &nbsp;&nbsp;&nbsp; 612 | &nbsp;&nbsp; 612658 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/46 | &nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp; 110010 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/47 | &nbsp;&nbsp;&nbsp; 419 | &nbsp;&nbsp; 419018 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/47 | &nbsp;&nbsp;&nbsp; 218 | &nbsp;&nbsp; 218232 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/47 | &nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp; 299693 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/47 | &nbsp;&nbsp;&nbsp; 656 | &nbsp;&nbsp; 655122 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/15/47 | &nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp; 56909 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/47 | &nbsp;&nbsp;&nbsp; 717 | &nbsp;&nbsp; 715801 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/47 | &nbsp;&nbsp;&nbsp; 6625 | &nbsp;&nbsp; 6615436 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/15/47 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 19880 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/47 | &nbsp;&nbsp;&nbsp; 471 | &nbsp;&nbsp; 470001 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/47 | &nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp; 114557 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/47 | &nbsp;&nbsp;&nbsp; 1295 | &nbsp;&nbsp; 1289969 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/47 | &nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp; 126341 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/47 | &nbsp;&nbsp;&nbsp; 211 | &nbsp;&nbsp; 209990 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/48 | &nbsp;&nbsp;&nbsp; 1664 | &nbsp;&nbsp; 1657995 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/48 | &nbsp;&nbsp;&nbsp; 2592 | &nbsp;&nbsp; 2582054 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/48 | &nbsp;&nbsp;&nbsp; 3171 | &nbsp;&nbsp; 3158662 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/48 | &nbsp;&nbsp;&nbsp; 11031 | &nbsp;&nbsp; 10989109 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/48 | &nbsp;&nbsp;&nbsp; 411 | &nbsp;&nbsp; 409926 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/48 | &nbsp;&nbsp;&nbsp; 9702 | &nbsp;&nbsp; 9649097 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/48 | &nbsp;&nbsp;&nbsp; 14964 | &nbsp;&nbsp; 14882214 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/48 | &nbsp;&nbsp;&nbsp; 11385 | &nbsp;&nbsp; 11322755 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/48 | &nbsp;&nbsp;&nbsp; 4985 | &nbsp;&nbsp; 4957209 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/48 | &nbsp;&nbsp;&nbsp; 1351 | &nbsp;&nbsp; 1343579 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/48 | &nbsp;&nbsp;&nbsp; 7099 | &nbsp;&nbsp; 7059288 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/48 | &nbsp;&nbsp;&nbsp; 5496 | &nbsp;&nbsp; 5454721 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/49 | &nbsp;&nbsp;&nbsp; 15035 | &nbsp;&nbsp; 14952492 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/49 | &nbsp;&nbsp;&nbsp; 2054 | &nbsp;&nbsp; 2043271 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/49 | &nbsp;&nbsp;&nbsp; 5181 | &nbsp;&nbsp; 5152254 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/49 | &nbsp;&nbsp;&nbsp; 2597 | &nbsp;&nbsp; 2582561 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/49 | &nbsp;&nbsp;&nbsp; 9023 | &nbsp;&nbsp; 8959081 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/49 | &nbsp;&nbsp;&nbsp; $751 | &nbsp;&nbsp; $746545 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/49 | &nbsp;&nbsp;&nbsp; 2919 | &nbsp;&nbsp; 2903172 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/49 | &nbsp;&nbsp;&nbsp; 216 | &nbsp;&nbsp; 214831 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/49 | &nbsp;&nbsp;&nbsp; 426 | &nbsp;&nbsp; 423192 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/49 | &nbsp;&nbsp;&nbsp; 696 | &nbsp;&nbsp; 691939 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/49 | &nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp; 134533 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/50 | &nbsp;&nbsp;&nbsp; 6839 | &nbsp;&nbsp; 6801963 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/50 | &nbsp;&nbsp;&nbsp; 2749 | &nbsp;&nbsp; 2733885 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/50 | &nbsp;&nbsp;&nbsp; 2432 | &nbsp;&nbsp; 2419698 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/50 | &nbsp;&nbsp;&nbsp; 1971 | &nbsp;&nbsp; 1960641 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/50 | &nbsp;&nbsp;&nbsp; 301 | &nbsp;&nbsp; 299159 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/50 | &nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp; 124979 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/51 | &nbsp;&nbsp;&nbsp; 1599 | &nbsp;&nbsp; 1590467 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/51 | &nbsp;&nbsp;&nbsp; 1704 | &nbsp;&nbsp; 1694516 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/51 | &nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp; 40585 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/51 | &nbsp;&nbsp;&nbsp; 2078 | &nbsp;&nbsp; 2070569 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/51 | &nbsp;&nbsp;&nbsp; 3438 | &nbsp;&nbsp; 3419437 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/52 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 15728 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/52 | &nbsp;&nbsp;&nbsp; 5638 | &nbsp;&nbsp; 5555683 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/52 | &nbsp;&nbsp;&nbsp; 15762 | &nbsp;&nbsp; 15536526 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/52 | &nbsp;&nbsp;&nbsp; 36534 | &nbsp;&nbsp; 35980792 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/52 | &nbsp;&nbsp;&nbsp; 9470 | &nbsp;&nbsp; 9333687 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/52 | &nbsp;&nbsp;&nbsp; 7933 | &nbsp;&nbsp; 7810364 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/52 | &nbsp;&nbsp;&nbsp; 4684 | &nbsp;&nbsp; 4611205 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/53 | &nbsp;&nbsp;&nbsp; 40459 | &nbsp;&nbsp; 39815286 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/53 | &nbsp;&nbsp;&nbsp; 38369 | &nbsp;&nbsp; 37738293 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/53 | &nbsp;&nbsp;&nbsp; 21703 | &nbsp;&nbsp; 21357487 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/53 | &nbsp;&nbsp;&nbsp; 9371 | &nbsp;&nbsp; 9212958 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/53 | &nbsp;&nbsp;&nbsp; 8658 | &nbsp;&nbsp; 8515319 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/54 | &nbsp;&nbsp;&nbsp; 21984 | &nbsp;&nbsp; 21577018 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/20/54 | &nbsp;&nbsp;&nbsp; 7694 | &nbsp;&nbsp; 7540205 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/20/54 | &nbsp;&nbsp;&nbsp; 23088 | &nbsp;&nbsp; 22622802 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/20/54 | &nbsp;&nbsp;&nbsp; 4756 | &nbsp;&nbsp; 4659257 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/20/54 | &nbsp;&nbsp;&nbsp; 3940 | &nbsp;&nbsp; 3859698 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/20/54 | &nbsp;&nbsp;&nbsp; 34323 | &nbsp;&nbsp; 33621233 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/20/54 | &nbsp;&nbsp;&nbsp; 24122 | &nbsp;&nbsp; 23621567 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/20/54 | &nbsp;&nbsp;&nbsp; 30776 | &nbsp;&nbsp; 30145888 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/20/54 | &nbsp;&nbsp;&nbsp; 61524 | &nbsp;&nbsp; 60256697 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/20/54 | &nbsp;&nbsp;&nbsp; 24409 | &nbsp;&nbsp; 23887402 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/20/55 | &nbsp;&nbsp;&nbsp; 9725 | &nbsp;&nbsp; 9515781 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/20/55 | &nbsp;&nbsp;&nbsp; 9008 | &nbsp;&nbsp; 8812472 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/18/55<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 40032 | &nbsp;&nbsp; 39147699 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2049 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/33 | &nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp; 90125 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/15/33 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2999 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/33 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10667 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 621 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/33 | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp; 37551 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/15/33 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 21130 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 361 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/33 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14513 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 369 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 503 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 823 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/15/34 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 15865 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/15/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1348 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/15/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 627 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/15/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 475 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 457 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/15/34 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15600 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/34 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9464 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/34 | &nbsp;&nbsp;&nbsp; $1 | &nbsp;&nbsp; $1248 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/35 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4599 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 327 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/15/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 894 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/35 | &nbsp;&nbsp;&nbsp; 417 | &nbsp;&nbsp; 427077 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/35 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12997 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/15/35 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4766 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/35 | &nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp; 35351 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/15/35 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6991 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/35 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6888 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/36 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 16141 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/15/36 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11354 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/36 | &nbsp;&nbsp;&nbsp; 1589 | &nbsp;&nbsp; 1631277 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 439 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/37 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1826 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 476 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3283 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 929 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/15/38 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7634 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/38 | &nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp; 83754 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/15/38 | &nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp; 54409 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1024 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/15/38 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 20140 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/38 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8842 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1639 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 243 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/38 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 22169 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/38 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7014 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/38 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9371 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/38 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9020 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 466 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/38 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4147 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/39 | &nbsp;&nbsp;&nbsp; 730 | &nbsp;&nbsp; 753270 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/15/39 | &nbsp;&nbsp;&nbsp; 202 | &nbsp;&nbsp; 208200 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/39 | &nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp; 46582 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 363 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/15/39 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 28876 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/15/39 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10240 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/39 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3953 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/15/39 | &nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp; 52250 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/39 | &nbsp;&nbsp;&nbsp; 2069 | &nbsp;&nbsp; 2122930 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/39 | &nbsp;&nbsp;&nbsp; 1626 | &nbsp;&nbsp; 1676867 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/39 | &nbsp;&nbsp;&nbsp; 523 | &nbsp;&nbsp; 536816 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/39 | &nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp; 56864 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/15/39 | &nbsp;&nbsp;&nbsp; 201 | &nbsp;&nbsp; 207953 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/15/39 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 24862 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/39 | &nbsp;&nbsp;&nbsp; 606 | &nbsp;&nbsp; 622410 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/15/39 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 33593 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/39 | &nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp; 97694 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/39 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10884 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/15/40 | &nbsp;&nbsp;&nbsp; 192 | &nbsp;&nbsp; 197901 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/40 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21783 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/40 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2334 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/15/40 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8402 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/15/40 | &nbsp;&nbsp;&nbsp; 390 | &nbsp;&nbsp; 401826 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/40 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7305 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/15/40 | &nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp; 78778 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/40 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 19955 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/40 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 24716 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/40 | &nbsp;&nbsp;&nbsp; $1923 | &nbsp;&nbsp; $1973683 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/40 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8046 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/40 | &nbsp;&nbsp;&nbsp; 614 | &nbsp;&nbsp; 629971 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/15/40 | &nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp; 46302 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/41 | &nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp; 39520 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/41 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 17051 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/15/41 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7788 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/41 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 812 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/41 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 25651 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/41 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4979 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/41 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6237 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/41 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8902 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/41 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5234 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/41 | &nbsp;&nbsp;&nbsp; 1762 | &nbsp;&nbsp; 1807916 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/41 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11968 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/42 | &nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp; 52025 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/42 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10174 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/42 | &nbsp;&nbsp;&nbsp; 329 | &nbsp;&nbsp; 337987 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/42 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 14984 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/42 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1013 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/43 | &nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp; 88948 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/43 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 22706 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/43 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15044 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/43 | &nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp; 50805 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/44 | &nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp; 69912 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/15/44 | &nbsp;&nbsp;&nbsp; 1336 | &nbsp;&nbsp; 1375361 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/44 | &nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp; 155337 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/44 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 22006 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/44 | &nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp; 120742 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/44 | &nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp; 59109 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/44 | &nbsp;&nbsp;&nbsp; 343 | &nbsp;&nbsp; 351996 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/45 | &nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp; 78348 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/45 | &nbsp;&nbsp;&nbsp; 377 | &nbsp;&nbsp; 387185 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/45 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1930 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/45 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10759 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/45 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7594 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/45 | &nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp; 175772 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/45 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3614 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/46 | &nbsp;&nbsp;&nbsp; 414 | &nbsp;&nbsp; 424537 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/46 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5656 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/46 | &nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp; 70147 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/46 | &nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp; 51403 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/46 | &nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp; 139772 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/46 | &nbsp;&nbsp;&nbsp; 905 | &nbsp;&nbsp; 928976 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/46 | &nbsp;&nbsp;&nbsp; 1590 | &nbsp;&nbsp; 1631926 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/46 | &nbsp;&nbsp;&nbsp; 735 | &nbsp;&nbsp; 753935 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/47 | &nbsp;&nbsp;&nbsp; 1854 | &nbsp;&nbsp; 1902699 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/47 | &nbsp;&nbsp;&nbsp; 1341 | &nbsp;&nbsp; 1376020 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/47 | &nbsp;&nbsp;&nbsp; 1573 | &nbsp;&nbsp; 1614765 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/47 | &nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp; 383257 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/47 | &nbsp;&nbsp;&nbsp; 606 | &nbsp;&nbsp; 618340 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/47 | &nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp; 118135 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/47 | &nbsp;&nbsp;&nbsp; 261 | &nbsp;&nbsp; 264454 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/47 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 26202 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/15/47 | &nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp; 139316 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/47 | &nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp; 62619 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/47 | &nbsp;&nbsp;&nbsp; 229 | &nbsp;&nbsp; 232840 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/47 | &nbsp;&nbsp;&nbsp; 1322 | &nbsp;&nbsp; 1349204 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/47 | &nbsp;&nbsp;&nbsp; 289 | &nbsp;&nbsp; 294820 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/47 | &nbsp;&nbsp;&nbsp; 344 | &nbsp;&nbsp; 350506 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/48 | &nbsp;&nbsp;&nbsp; 249 | &nbsp;&nbsp; 252373 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/48 | &nbsp;&nbsp;&nbsp; $2064 | &nbsp;&nbsp; $2095218 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/48 | &nbsp;&nbsp;&nbsp; 3990 | &nbsp;&nbsp; 4050038 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/48 | &nbsp;&nbsp;&nbsp; 1992 | &nbsp;&nbsp; 2021994 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/48 | &nbsp;&nbsp;&nbsp; 1388 | &nbsp;&nbsp; 1407052 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/48 | &nbsp;&nbsp;&nbsp; 289 | &nbsp;&nbsp; 292964 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/48 | &nbsp;&nbsp;&nbsp; 2984 | &nbsp;&nbsp; 3025318 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/48 | &nbsp;&nbsp;&nbsp; 845 | &nbsp;&nbsp; 856794 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/48 | &nbsp;&nbsp;&nbsp; 3742 | &nbsp;&nbsp; 3793382 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/48 | &nbsp;&nbsp;&nbsp; 4777 | &nbsp;&nbsp; 4840136 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/48 | &nbsp;&nbsp;&nbsp; 1581 | &nbsp;&nbsp; 1600669 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/49 | &nbsp;&nbsp;&nbsp; 9882 | &nbsp;&nbsp; 10018861 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/49 | &nbsp;&nbsp;&nbsp; 644 | &nbsp;&nbsp; 653397 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/49 | &nbsp;&nbsp;&nbsp; 7110 | &nbsp;&nbsp; 7208824 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/49 | &nbsp;&nbsp;&nbsp; 3945 | &nbsp;&nbsp; 4000006 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/49 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3416 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/49 | &nbsp;&nbsp;&nbsp; 1136 | &nbsp;&nbsp; 1152183 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/49 | &nbsp;&nbsp;&nbsp; 886 | &nbsp;&nbsp; 898360 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/49 | &nbsp;&nbsp;&nbsp; 461 | &nbsp;&nbsp; 467103 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/49 | &nbsp;&nbsp;&nbsp; 3467 | &nbsp;&nbsp; 3514703 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/49 | &nbsp;&nbsp;&nbsp; 1799 | &nbsp;&nbsp; 1823699 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/49 | &nbsp;&nbsp;&nbsp; 4028 | &nbsp;&nbsp; 4084165 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/49 | &nbsp;&nbsp;&nbsp; 526 | &nbsp;&nbsp; 533527 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/50 | &nbsp;&nbsp;&nbsp; 428 | &nbsp;&nbsp; 434219 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/50 | &nbsp;&nbsp;&nbsp; 780 | &nbsp;&nbsp; 791972 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/50 | &nbsp;&nbsp;&nbsp; 1349 | &nbsp;&nbsp; 1371985 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/50 | &nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp; 160755 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/51 | &nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp; 42871 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/51 | &nbsp;&nbsp;&nbsp; 722 | &nbsp;&nbsp; 732393 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/51 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 29718 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/51 | &nbsp;&nbsp;&nbsp; 5349 | &nbsp;&nbsp; 5375214 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/51 | &nbsp;&nbsp;&nbsp; 3518 | &nbsp;&nbsp; 3535224 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/52 | &nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp; 122653 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/52 | &nbsp;&nbsp;&nbsp; 3163 | &nbsp;&nbsp; 3179176 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/52 | &nbsp;&nbsp;&nbsp; 18091 | &nbsp;&nbsp; 18204656 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/52 | &nbsp;&nbsp;&nbsp; 922 | &nbsp;&nbsp; 927931 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/52 | &nbsp;&nbsp;&nbsp; 13748 | &nbsp;&nbsp; 13812673 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/53 | &nbsp;&nbsp;&nbsp; 16629 | &nbsp;&nbsp; 16705638 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/53 | &nbsp;&nbsp;&nbsp; 6701 | &nbsp;&nbsp; 6730448 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/53 | &nbsp;&nbsp;&nbsp; 1004 | &nbsp;&nbsp; 1007731 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/53 | &nbsp;&nbsp;&nbsp; 25167 | &nbsp;&nbsp; 25272402 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/53 | &nbsp;&nbsp;&nbsp; 60724 | &nbsp;&nbsp; 60993087 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/53 | &nbsp;&nbsp;&nbsp; 6811 | &nbsp;&nbsp; 6831949 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/20/53 | &nbsp;&nbsp;&nbsp; 65263 | &nbsp;&nbsp; 65560701 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/20/53 | &nbsp;&nbsp;&nbsp; 4229 | &nbsp;&nbsp; 4241130 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/53 | &nbsp;&nbsp;&nbsp; 39352 | &nbsp;&nbsp; 39458999 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/53 | &nbsp;&nbsp;&nbsp; 1269 | &nbsp;&nbsp; 1272031 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/53 | &nbsp;&nbsp;&nbsp; 52328 | &nbsp;&nbsp; 52463154 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/53 | &nbsp;&nbsp;&nbsp; 209 | &nbsp;&nbsp; 209457 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/54 | &nbsp;&nbsp;&nbsp; 533 | &nbsp;&nbsp; 534845 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/20/54 | &nbsp;&nbsp;&nbsp; 2757 | &nbsp;&nbsp; 2763485 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/54 | &nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp; 425852 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/54 | &nbsp;&nbsp;&nbsp; 276 | &nbsp;&nbsp; 276528 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/54 | &nbsp;&nbsp;&nbsp; 5292 | &nbsp;&nbsp; 5293187 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/20/54 | &nbsp;&nbsp;&nbsp; 37125 | &nbsp;&nbsp; 37106300 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/20/54 | &nbsp;&nbsp;&nbsp; 71382 | &nbsp;&nbsp; 71332392 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/20/54 | &nbsp;&nbsp;&nbsp; 172298 | &nbsp;&nbsp; 172178222 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/20/54 | &nbsp;&nbsp;&nbsp; 81834 | &nbsp;&nbsp; 81752468 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/20/55 | &nbsp;&nbsp;&nbsp; 9549 | &nbsp;&nbsp; 9545295 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/20/55 | &nbsp;&nbsp;&nbsp; 4936 | &nbsp;&nbsp; 4932608 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/20/55 | &nbsp;&nbsp;&nbsp; 1299 | &nbsp;&nbsp; 1298202 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/20/55 | &nbsp;&nbsp;&nbsp; 12680 | &nbsp;&nbsp; 12670254 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/20/55 | &nbsp;&nbsp;&nbsp; $22270 | &nbsp;&nbsp; $22253483 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/18/55<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 204462 | &nbsp;&nbsp; 204216134 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/31 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8100 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 325 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/20/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 168 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 881 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 892 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/33 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4281 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/33 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4580 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/33 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6464 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 181 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/33 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 19021 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/33 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11841 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/15/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1238 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3647 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/15/33 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 18659 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 225 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/15/33 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6048 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/15/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2374 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/15/33 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 26406 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/33 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5199 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/34 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 18118 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/34 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6414 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/34 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9319 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/34 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21527 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 292 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/15/34 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11241 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/34 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5137 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/15/34 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3051 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/15/34 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5860 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/34 | &nbsp;&nbsp;&nbsp; 510 | &nbsp;&nbsp; 532724 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2462 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/35 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12229 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/35 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8994 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/35 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9711 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/35 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5510 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/15/35 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13120 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/15/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 337 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/35 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11807 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/15/35 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3539 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/15/35 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 11149 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/15/35 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6149 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/15/35 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2405 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/35 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7993 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/36 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3482 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1014 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/36 | &nbsp;&nbsp;&nbsp; 403 | &nbsp;&nbsp; 420312 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/20/36 | &nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp; 114507 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/36 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1913 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 420 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/20/36 | &nbsp;&nbsp;&nbsp; 227 | &nbsp;&nbsp; 237479 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 396 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/36 | &nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp; 168636 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 306 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/36 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3440 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 184 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/37 | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 32407 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/37 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10177 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/37 | &nbsp;&nbsp;&nbsp; $1 | &nbsp;&nbsp; $1016 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/37 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1566 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 611 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 531 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/38 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7665 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2286 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/38 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7786 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 231 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/15/38 | &nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp; 57078 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/20/38 | &nbsp;&nbsp;&nbsp; 610 | &nbsp;&nbsp; 637916 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/38 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 17610 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 175 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/38 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7311 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/15/38 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 22228 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/15/38 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8009 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/20/38 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4875 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/15/38 | &nbsp;&nbsp;&nbsp; 354 | &nbsp;&nbsp; 371089 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/20/38 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 21044 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/15/38 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12080 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 402 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/38 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 7196 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/20/38 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 17363 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/39 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 16890 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 220 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/39 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7714 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/15/39 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3208 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/20/39 | &nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp; 31579 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/20/39 | &nbsp;&nbsp;&nbsp; 454 | &nbsp;&nbsp; 475600 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/39 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5753 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/15/39 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1124 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/15/39 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2549 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/39 | &nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp; 112043 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/40 | &nbsp;&nbsp;&nbsp; 1026 | &nbsp;&nbsp; 1079261 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/40 | &nbsp;&nbsp;&nbsp; 206 | &nbsp;&nbsp; 215787 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/15/40 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 14073 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/15/40 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 24579 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/40 | &nbsp;&nbsp;&nbsp; 1010 | &nbsp;&nbsp; 1056632 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/15/40 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11603 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/20/40 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5296 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/20/41 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 17571 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/20/41 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13982 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/41 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13118 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/42 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3414 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/20/42 | &nbsp;&nbsp;&nbsp; 191 | &nbsp;&nbsp; 199903 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/42 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3823 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/42 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 25865 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/20/43 | &nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp; 69265 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/43 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13302 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/20/44 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 23985 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/20/44 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 23858 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/47 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14834 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/20/47 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 17736 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/20/47 | &nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp; 208004 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/20/48 | &nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp; 116767 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/20/48 | &nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp; 53955 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/20/48 | &nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp; 193491 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/20/48 | &nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp; 145758 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/48 | &nbsp;&nbsp;&nbsp; 1868 | &nbsp;&nbsp; 1915441 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/20/48 | &nbsp;&nbsp;&nbsp; 258 | &nbsp;&nbsp; 264559 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/49 | &nbsp;&nbsp;&nbsp; 1778 | &nbsp;&nbsp; 1823630 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/20/49 | &nbsp;&nbsp;&nbsp; $77 | &nbsp;&nbsp; $78902 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/20/49 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 20723 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/20/49 | &nbsp;&nbsp;&nbsp; 2434 | &nbsp;&nbsp; 2496067 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/20/52 | &nbsp;&nbsp;&nbsp; 1153 | &nbsp;&nbsp; 1181089 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/20/52 | &nbsp;&nbsp;&nbsp; 281 | &nbsp;&nbsp; 286478 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/20/52 | &nbsp;&nbsp;&nbsp; 230 | &nbsp;&nbsp; 233703 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/20/52 | &nbsp;&nbsp;&nbsp; 678 | &nbsp;&nbsp; 688314 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/20/52 | &nbsp;&nbsp;&nbsp; 1821 | &nbsp;&nbsp; 1851723 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/52 | &nbsp;&nbsp;&nbsp; 2270 | &nbsp;&nbsp; 2307421 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/20/52 | &nbsp;&nbsp;&nbsp; 51682 | &nbsp;&nbsp; 52538675 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/53 | &nbsp;&nbsp;&nbsp; 37295 | &nbsp;&nbsp; 37908448 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/20/53 | &nbsp;&nbsp;&nbsp; 1698 | &nbsp;&nbsp; 1725530 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/20/53 | &nbsp;&nbsp;&nbsp; 8942 | &nbsp;&nbsp; 9081502 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/20/53 | &nbsp;&nbsp;&nbsp; 15596 | &nbsp;&nbsp; 15836686 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/20/53 | &nbsp;&nbsp;&nbsp; 7729 | &nbsp;&nbsp; 7847269 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/53 | &nbsp;&nbsp;&nbsp; 26912 | &nbsp;&nbsp; 27409390 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/20/53 | &nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp; 345720 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/20/53 | &nbsp;&nbsp;&nbsp; 135806 | &nbsp;&nbsp; 137917890 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/20/53 | &nbsp;&nbsp;&nbsp; 39743 | &nbsp;&nbsp; 40331607 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/53 | &nbsp;&nbsp;&nbsp; 12575 | &nbsp;&nbsp; 12761284 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/20/53 | &nbsp;&nbsp;&nbsp; 2464 | &nbsp;&nbsp; 2500139 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/54 | &nbsp;&nbsp;&nbsp; 394 | &nbsp;&nbsp; 399610 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/20/54 | &nbsp;&nbsp;&nbsp; 3622 | &nbsp;&nbsp; 3674536 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/20/54 | &nbsp;&nbsp;&nbsp; 2354 | &nbsp;&nbsp; 2381017 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/20/54 | &nbsp;&nbsp;&nbsp; 17242 | &nbsp;&nbsp; 17436712 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/20/54 | &nbsp;&nbsp;&nbsp; 16932 | &nbsp;&nbsp; 17129062 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/54 | &nbsp;&nbsp;&nbsp; 6043 | &nbsp;&nbsp; 6111522 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/20/54 | &nbsp;&nbsp;&nbsp; 27123 | &nbsp;&nbsp; 27449601 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/20/54 | &nbsp;&nbsp;&nbsp; 8516 | &nbsp;&nbsp; 8615498 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/20/54 | &nbsp;&nbsp;&nbsp; 117131 | &nbsp;&nbsp; 118388467 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/20/54 | &nbsp;&nbsp;&nbsp; 63936 | &nbsp;&nbsp; 64616939 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/20/54 | &nbsp;&nbsp;&nbsp; 37442 | &nbsp;&nbsp; 37836696 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/20/55 | &nbsp;&nbsp;&nbsp; 8453 | &nbsp;&nbsp; 8541287 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/20/55 | &nbsp;&nbsp;&nbsp; 48937 | &nbsp;&nbsp; 49446253 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/20/55 | &nbsp;&nbsp;&nbsp; 9750 | &nbsp;&nbsp; 9851438 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/20/55 | &nbsp;&nbsp;&nbsp; 29521 | &nbsp;&nbsp; 29827961 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/20/55 | &nbsp;&nbsp;&nbsp; 10196 | &nbsp;&nbsp; 10302456 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/20/55 | &nbsp;&nbsp;&nbsp; 9942 | &nbsp;&nbsp; 10044980 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/18/55<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 427933 | &nbsp;&nbsp; 432159972 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 413 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/20/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/20/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/29 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2588 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/29 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11666 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 864 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1352 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/20/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 232 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 469 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/20/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/15/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 792 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 22 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/31 | &nbsp;&nbsp;&nbsp; $1 | &nbsp;&nbsp; $1047 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 321 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 491 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1440 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1098 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 264 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/32 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2967 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 882 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 495 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 609 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1528 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 597 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/15/32 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5482 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 181 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/32 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 18143 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 566 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/33 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7441 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/33 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11280 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1186 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/15/33 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 24967 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1486 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/33 | &nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp; 31707 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/15/34 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5154 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2288 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/15/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 958 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/15/34 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6811 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/15/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1316 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1252 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/35 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 6124 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 586 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/20/36 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1863 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/36 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3353 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/36 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6464 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/15/36 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2585 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/36 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 9183 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/15/36 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1677 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/36 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9697 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/37 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13542 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/20/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 793 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1061 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/15/37 | &nbsp;&nbsp;&nbsp; 836 | &nbsp;&nbsp; 889058 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/15/37 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 20488 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 218 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/37 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13158 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/37 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2158 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1115 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/20/37 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14465 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 199 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/20/37 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13968 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/37 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4069 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/38 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12430 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 351 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/15/38 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7090 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/15/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 872 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 512 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/15/38 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10547 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1989 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/20/38 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9527 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/38 | &nbsp;&nbsp;&nbsp; $5 | &nbsp;&nbsp; $5493 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 407 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/20/38 | &nbsp;&nbsp;&nbsp; 963 | &nbsp;&nbsp; 1019037 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 357 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/15/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 580 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2575 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/38 | &nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp; 201998 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/39 | &nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp; 53130 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/15/39 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3285 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/20/39 | &nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp; 70859 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/15/39 | &nbsp;&nbsp;&nbsp; 156 | &nbsp;&nbsp; 167943 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/39 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2807 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/20/40 | &nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp; 101798 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/40 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4861 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/20/40 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2959 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/20/41 | &nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp; 159673 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/20/41 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1410 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/20/42 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10221 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/20/42 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1823 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/20/43 | &nbsp;&nbsp;&nbsp; 269 | &nbsp;&nbsp; 284588 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/20/45 | &nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp; 83552 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/20/46 | &nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp; 247298 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/20/47 | &nbsp;&nbsp;&nbsp; 1747 | &nbsp;&nbsp; 1847557 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/20/52 | &nbsp;&nbsp;&nbsp; 1278 | &nbsp;&nbsp; 1316414 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/20/52 | &nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp; 116240 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/20/53 | &nbsp;&nbsp;&nbsp; 5936 | &nbsp;&nbsp; 6106621 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/20/53 | &nbsp;&nbsp;&nbsp; 335 | &nbsp;&nbsp; 343726 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/20/53 | &nbsp;&nbsp;&nbsp; 2395 | &nbsp;&nbsp; 2454416 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/20/53 | &nbsp;&nbsp;&nbsp; 11855 | &nbsp;&nbsp; 12150176 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/20/53 | &nbsp;&nbsp;&nbsp; 17860 | &nbsp;&nbsp; 18304792 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/20/53 | &nbsp;&nbsp;&nbsp; 7044 | &nbsp;&nbsp; 7219160 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/20/54 | &nbsp;&nbsp;&nbsp; 1444 | &nbsp;&nbsp; 1480066 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/20/54 | &nbsp;&nbsp;&nbsp; 7348 | &nbsp;&nbsp; 7494274 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/20/54 | &nbsp;&nbsp;&nbsp; 44083 | &nbsp;&nbsp; 44942127 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/20/54 | &nbsp;&nbsp;&nbsp; 49046 | &nbsp;&nbsp; 50001524 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/20/54 | &nbsp;&nbsp;&nbsp; 96405 | &nbsp;&nbsp; 98284388 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/20/54 | &nbsp;&nbsp;&nbsp; 43573 | &nbsp;&nbsp; 44422744 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/20/54 | &nbsp;&nbsp;&nbsp; 3179 | &nbsp;&nbsp; 3240933 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 265961 | &nbsp;&nbsp; 271067518 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/20/55 | &nbsp;&nbsp;&nbsp; 56431 | &nbsp;&nbsp; 57615878 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/20/55 | &nbsp;&nbsp;&nbsp; 2725 | &nbsp;&nbsp; 2784832 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/20/55 | &nbsp;&nbsp;&nbsp; 61125 | &nbsp;&nbsp; 62511830 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 335 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 577 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/15/28 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1773 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 454 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/20/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 183 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/28 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1401 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/29 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1842 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 476 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/15/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 525 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 28 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/20/29 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $114 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/29 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5183 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 643 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/15/29 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2724 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 251 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/15/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 611 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 457 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 861 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/15/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1115 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/15/31 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7424 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 423 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/31 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2832 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 623 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 617 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/20/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/15/32 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2932 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/15/32 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3104 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/20/32 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4524 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 855 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1671 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/15/32 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3473 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 760 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 553 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 550 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 367 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/15/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1643 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/15/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 721 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/15/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 642 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 342 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/15/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 820 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/20/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 491 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/15/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1185 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1175 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/15/36 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11906 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/15/36 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 13318 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/15/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 435 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/15/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/15/37 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3755 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 917 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/38 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1242 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/20/38 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5357 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/15/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3078 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/20/38 | &nbsp;&nbsp;&nbsp; 431 | &nbsp;&nbsp; 464339 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/15/38 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5935 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/38 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4250 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/20/52 | &nbsp;&nbsp;&nbsp; 349 | &nbsp;&nbsp; 360723 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/20/53 | &nbsp;&nbsp;&nbsp; 466 | &nbsp;&nbsp; 481147 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/20/53 | &nbsp;&nbsp;&nbsp; 22625 | &nbsp;&nbsp; 23359983 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/20/53 | &nbsp;&nbsp;&nbsp; 262 | &nbsp;&nbsp; 270749 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/20/53 | &nbsp;&nbsp;&nbsp; 19359 | &nbsp;&nbsp; 19988269 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/20/53 | &nbsp;&nbsp;&nbsp; 301 | &nbsp;&nbsp; 310512 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/20/54 | &nbsp;&nbsp;&nbsp; 233 | &nbsp;&nbsp; 240539 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/20/54 | &nbsp;&nbsp;&nbsp; 32364 | &nbsp;&nbsp; 33312064 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/20/54 | &nbsp;&nbsp;&nbsp; 103471 | &nbsp;&nbsp; 106503632 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/20/54 | &nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp; 123524 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/20/55 | &nbsp;&nbsp;&nbsp; $75447 | &nbsp;&nbsp; $77848307 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/20/55 | &nbsp;&nbsp;&nbsp; 29287 | &nbsp;&nbsp; 30204160 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/20/55 | &nbsp;&nbsp;&nbsp; 51731 | &nbsp;&nbsp; 53408285 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/20/55 | &nbsp;&nbsp;&nbsp; 55630 | &nbsp;&nbsp; 57449601 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 431 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 179 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 166 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 871 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 127 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 294 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 571 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/15/28 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 519 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 716 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 229 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/15/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 952 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 218 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 187 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 335 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/15/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 408 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 145 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/15/31 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2110 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 653 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/15/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 657 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 368 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/15/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1786 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/15/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 654 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/15/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp; 7.50%, 10/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 163 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/15/28 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 509 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/15/28 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 790 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/15/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 262 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 275 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp; 7.50%, 10/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; 7.50%, 11/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 50 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/15/29 | &nbsp;&nbsp;&nbsp; $1 | &nbsp;&nbsp; $549 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/15/30 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1951 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/15/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 407 |
| &nbsp;&nbsp;&nbsp; 8.00%, 05/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp; 8.00%, 06/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp; 8.00%, 08/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp; 8.00%, 09/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; 8.00%, 02/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp; 8.00%, 12/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; 8.00%, 08/20/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp; 8.00%, 09/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 334 |
| &nbsp;&nbsp;&nbsp; 8.00%, 10/15/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp; 8.00%, 01/15/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp; 8.00%, 02/15/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp; 8.00%, 06/20/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp; 8.00%, 12/15/30 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1522 |
| &nbsp;&nbsp;&nbsp; 8.00%, 07/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp; 8.00%, 03/15/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 435 |
| &nbsp;&nbsp;&nbsp; 8.50%, 09/15/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp; 8.50%, 01/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; 8.50%, 08/15/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 246 |
| &nbsp;&nbsp;&nbsp; 8.50%, 07/15/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp; 8.50%, 04/15/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 27 |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 09/01/35 | &nbsp;&nbsp;&nbsp; 626 | &nbsp;&nbsp; 570028 |
| &nbsp;&nbsp;&nbsp; 1.50%, 11/01/35 | &nbsp;&nbsp;&nbsp; 1587 | &nbsp;&nbsp; 1445619 |
| &nbsp;&nbsp;&nbsp; 1.50%, 12/01/35 | &nbsp;&nbsp;&nbsp; 4576 | &nbsp;&nbsp; 4165343 |
| &nbsp;&nbsp;&nbsp; 1.50%, 01/01/36 | &nbsp;&nbsp;&nbsp; 2995 | &nbsp;&nbsp; 2724047 |
| &nbsp;&nbsp;&nbsp; 1.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp; 95974 |
| &nbsp;&nbsp;&nbsp; 1.50%, 03/01/36 | &nbsp;&nbsp;&nbsp; 10953 | &nbsp;&nbsp; 9904001 |
| &nbsp;&nbsp;&nbsp; 1.50%, 06/01/36 | &nbsp;&nbsp;&nbsp; 1086 | &nbsp;&nbsp; 981588 |
| &nbsp;&nbsp;&nbsp; 1.50%, 07/01/36 | &nbsp;&nbsp;&nbsp; 774 | &nbsp;&nbsp; 701034 |
| &nbsp;&nbsp;&nbsp; 1.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 1510 | &nbsp;&nbsp; 1366264 |
| &nbsp;&nbsp;&nbsp; 1.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 6871 | &nbsp;&nbsp; 6208293 |
| &nbsp;&nbsp;&nbsp; 1.50%, 10/01/36 | &nbsp;&nbsp;&nbsp; 15937 | &nbsp;&nbsp; 14405220 |
| &nbsp;&nbsp;&nbsp; 1.50%, 11/01/36 | &nbsp;&nbsp;&nbsp; 11728 | &nbsp;&nbsp; 10600969 |
| &nbsp;&nbsp;&nbsp; 1.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 2039 | &nbsp;&nbsp; 1843223 |
| &nbsp;&nbsp;&nbsp; 1.50%, 01/01/37 | &nbsp;&nbsp;&nbsp; 20219 | &nbsp;&nbsp; 18235497 |
| &nbsp;&nbsp;&nbsp; 1.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 88269 | &nbsp;&nbsp; 79588369 |
| &nbsp;&nbsp;&nbsp; 1.50%, 03/01/37 | &nbsp;&nbsp;&nbsp; 94917 | &nbsp;&nbsp; 85494969 |
| &nbsp;&nbsp;&nbsp; 1.50%, 04/01/37 | &nbsp;&nbsp;&nbsp; 16286 | &nbsp;&nbsp; 14669299 |
| &nbsp;&nbsp;&nbsp; 1.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 1242 | &nbsp;&nbsp; 1118929 |
| &nbsp;&nbsp;&nbsp; 1.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 17798 | &nbsp;&nbsp; 16031436 |
| &nbsp;&nbsp;&nbsp; 1.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 4749 | &nbsp;&nbsp; 4281720 |
| &nbsp;&nbsp;&nbsp; 1.50%, 11/01/37 | &nbsp;&nbsp;&nbsp; 9734 | &nbsp;&nbsp; 8767588 |
| &nbsp;&nbsp;&nbsp; 1.50%, 12/16/40<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 28517 | &nbsp;&nbsp; 25686078 |
| &nbsp;&nbsp;&nbsp; 1.50%, 11/01/50 | &nbsp;&nbsp;&nbsp; 48237 | &nbsp;&nbsp; 37529144 |
| &nbsp;&nbsp;&nbsp; 1.50%, 12/01/50 | &nbsp;&nbsp;&nbsp; 1352 | &nbsp;&nbsp; 1064852 |
| &nbsp;&nbsp;&nbsp; 1.50%, 01/01/51 | &nbsp;&nbsp;&nbsp; 22215 | &nbsp;&nbsp; 17281889 |
| &nbsp;&nbsp;&nbsp; 1.50%, 02/01/51 | &nbsp;&nbsp;&nbsp; 1177 | &nbsp;&nbsp; 917415 |
| &nbsp;&nbsp;&nbsp; 1.50%, 05/01/51 | &nbsp;&nbsp;&nbsp; 72131 | &nbsp;&nbsp; 56095703 |
| &nbsp;&nbsp;&nbsp; 1.50%, 07/01/51 | &nbsp;&nbsp;&nbsp; 61128 | &nbsp;&nbsp; 47538393 |
| &nbsp;&nbsp;&nbsp; 1.50%, 10/01/51 | &nbsp;&nbsp;&nbsp; 2064 | &nbsp;&nbsp; 1604696 |
| &nbsp;&nbsp;&nbsp; 1.50%, 11/01/51 | &nbsp;&nbsp;&nbsp; 87479 | &nbsp;&nbsp; 68011613 |
| &nbsp;&nbsp;&nbsp; 1.50%, 12/11/55 | &nbsp;&nbsp;&nbsp; 22925 | &nbsp;&nbsp; 17771068 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/26 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 19780 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/28 | &nbsp;&nbsp;&nbsp; 3551 | &nbsp;&nbsp; 3481322 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/28 | &nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp; 58554 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/28 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13533 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2738 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/29 | &nbsp;&nbsp;&nbsp; $70 | &nbsp;&nbsp; $68551 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/30 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 18068 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/01/30 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 28024 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/30 | &nbsp;&nbsp;&nbsp; 761 | &nbsp;&nbsp; 735482 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/30 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 14871 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/31 | &nbsp;&nbsp;&nbsp; 3557 | &nbsp;&nbsp; 3458882 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/31 | &nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp; 188718 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/32 | &nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp; 78837 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/32 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 18415 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp; 118089 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/01/32 | &nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp; 64972 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/32 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10920 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5211 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/01/35 | &nbsp;&nbsp;&nbsp; 1832 | &nbsp;&nbsp; 1710697 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 22492 | &nbsp;&nbsp; 20996737 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/35 | &nbsp;&nbsp;&nbsp; 15068 | &nbsp;&nbsp; 14074291 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 7671 | &nbsp;&nbsp; 7147248 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/35 | &nbsp;&nbsp;&nbsp; 27847 | &nbsp;&nbsp; 25982768 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/35 | &nbsp;&nbsp;&nbsp; 38528 | &nbsp;&nbsp; 35956119 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/01/35 | &nbsp;&nbsp;&nbsp; 79128 | &nbsp;&nbsp; 73758278 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 35789 | &nbsp;&nbsp; 33335629 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/36 | &nbsp;&nbsp;&nbsp; 154709 | &nbsp;&nbsp; 144246652 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/36 | &nbsp;&nbsp;&nbsp; 99863 | &nbsp;&nbsp; 92739589 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/01/36 | &nbsp;&nbsp;&nbsp; 12963 | &nbsp;&nbsp; 12025586 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/36 | &nbsp;&nbsp;&nbsp; 117020 | &nbsp;&nbsp; 108728346 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/01/36 | &nbsp;&nbsp;&nbsp; 98481 | &nbsp;&nbsp; 91347408 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; 37783 | &nbsp;&nbsp; 35033649 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/36 | &nbsp;&nbsp;&nbsp; 63172 | &nbsp;&nbsp; 58572847 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/36 | &nbsp;&nbsp;&nbsp; 29158 | &nbsp;&nbsp; 26999704 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 63271 | &nbsp;&nbsp; 58628985 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/01/36 | &nbsp;&nbsp;&nbsp; 66490 | &nbsp;&nbsp; 61583980 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 146292 | &nbsp;&nbsp; 135559215 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 96464 | &nbsp;&nbsp; 89389062 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/37 | &nbsp;&nbsp;&nbsp; 50208 | &nbsp;&nbsp; 46451213 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/01/37 | &nbsp;&nbsp;&nbsp; 99526 | &nbsp;&nbsp; 91987452 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/37 | &nbsp;&nbsp;&nbsp; 28155 | &nbsp;&nbsp; 26022072 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 78258 | &nbsp;&nbsp; 72404116 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/37 | &nbsp;&nbsp;&nbsp; 2577 | &nbsp;&nbsp; 2381489 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/37 | &nbsp;&nbsp;&nbsp; 5025 | &nbsp;&nbsp; 4644331 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 11347 | &nbsp;&nbsp; 10506794 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/16/40 | &nbsp;&nbsp;&nbsp; 168596 | &nbsp;&nbsp; 155839159 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/50 | &nbsp;&nbsp;&nbsp; 43514 | &nbsp;&nbsp; 35906586 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/01/50 | &nbsp;&nbsp;&nbsp; 71274 | &nbsp;&nbsp; 58784328 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/50 | &nbsp;&nbsp;&nbsp; 64349 | &nbsp;&nbsp; 53066009 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/50 | &nbsp;&nbsp;&nbsp; 50885 | &nbsp;&nbsp; 41934859 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/01/50 | &nbsp;&nbsp;&nbsp; 67557 | &nbsp;&nbsp; 55785723 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/50 | &nbsp;&nbsp;&nbsp; 139084 | &nbsp;&nbsp; 115157798 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/50 | &nbsp;&nbsp;&nbsp; 70415 | &nbsp;&nbsp; 58246184 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/01/50 | &nbsp;&nbsp;&nbsp; 173477 | &nbsp;&nbsp; 143586611 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/51 | &nbsp;&nbsp;&nbsp; 67513 | &nbsp;&nbsp; 55865437 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/51 | &nbsp;&nbsp;&nbsp; 541883 | &nbsp;&nbsp; 445714090 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/51 | &nbsp;&nbsp;&nbsp; 434027 | &nbsp;&nbsp; 357709633 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/01/51 | &nbsp;&nbsp;&nbsp; 651665 | &nbsp;&nbsp; 535930959 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/51<sup>(d)</sup> | &nbsp;&nbsp;&nbsp; 507152 | &nbsp;&nbsp; 417123663 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/51 | &nbsp;&nbsp;&nbsp; 172262 | &nbsp;&nbsp; 141889089 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/01/51 | &nbsp;&nbsp;&nbsp; 177387 | &nbsp;&nbsp; 146159089 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/51 | &nbsp;&nbsp;&nbsp; 487506 | &nbsp;&nbsp; 401603612 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/51 | &nbsp;&nbsp;&nbsp; 82696 | &nbsp;&nbsp; 67955008 |
| &nbsp;&nbsp;&nbsp; 2.00%, 09/01/51 | &nbsp;&nbsp;&nbsp; 171511 | &nbsp;&nbsp; 140880482 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/51 | &nbsp;&nbsp;&nbsp; 395013 | &nbsp;&nbsp; 324825832 |
| &nbsp;&nbsp;&nbsp; 2.00%, 11/01/51 | &nbsp;&nbsp;&nbsp; 458387 | &nbsp;&nbsp; 376814427 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/01/51 | &nbsp;&nbsp;&nbsp; $668546 | &nbsp;&nbsp; $548752771 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/52 | &nbsp;&nbsp;&nbsp; 263670 | &nbsp;&nbsp; 216087342 |
| &nbsp;&nbsp;&nbsp; 2.00%, 02/01/52 | &nbsp;&nbsp;&nbsp; 543258 | &nbsp;&nbsp; 444954159 |
| &nbsp;&nbsp;&nbsp; 2.00%, 03/01/52 | &nbsp;&nbsp;&nbsp; 219190 | &nbsp;&nbsp; 179556576 |
| &nbsp;&nbsp;&nbsp; 2.00%, 04/01/52 | &nbsp;&nbsp;&nbsp; 236004 | &nbsp;&nbsp; 193684502 |
| &nbsp;&nbsp;&nbsp; 2.00%, 05/01/52 | &nbsp;&nbsp;&nbsp; 120966 | &nbsp;&nbsp; 99443136 |
| &nbsp;&nbsp;&nbsp; 2.00%, 06/01/52 | &nbsp;&nbsp;&nbsp; 99435 | &nbsp;&nbsp; 81600592 |
| &nbsp;&nbsp;&nbsp; 2.00%, 07/01/52 | &nbsp;&nbsp;&nbsp; 9781 | &nbsp;&nbsp; 8014851 |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/01/52 | &nbsp;&nbsp;&nbsp; 5931 | &nbsp;&nbsp; 4855995 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/52 | &nbsp;&nbsp;&nbsp; 38213 | &nbsp;&nbsp; 31338278 |
| &nbsp;&nbsp;&nbsp; 2.00%, 12/13/53 | &nbsp;&nbsp;&nbsp; 359071 | &nbsp;&nbsp; 292091382 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1236 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/27 | &nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp; 72796 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/27 | &nbsp;&nbsp;&nbsp; 366 | &nbsp;&nbsp; 361497 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/27 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4804 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 464 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/27 | &nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp; 133959 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/27 | &nbsp;&nbsp;&nbsp; 469 | &nbsp;&nbsp; 462461 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/27 | &nbsp;&nbsp;&nbsp; 251 | &nbsp;&nbsp; 247837 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/27 | &nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp; 95842 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/28 | &nbsp;&nbsp;&nbsp; 820 | &nbsp;&nbsp; 807531 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/28 | &nbsp;&nbsp;&nbsp; 324 | &nbsp;&nbsp; 318865 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/28 | &nbsp;&nbsp;&nbsp; 860 | &nbsp;&nbsp; 847432 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/28 | &nbsp;&nbsp;&nbsp; 614 | &nbsp;&nbsp; 604015 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/28 | &nbsp;&nbsp;&nbsp; 237 | &nbsp;&nbsp; 233683 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/28 | &nbsp;&nbsp;&nbsp; 545 | &nbsp;&nbsp; 536099 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/28 | &nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp; 137831 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/28 | &nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp; 145885 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/28 | &nbsp;&nbsp;&nbsp; 869 | &nbsp;&nbsp; 853301 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/28 | &nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp; 92919 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/28 | &nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp; 31695 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/29 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5518 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/29 | &nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp; 67959 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/29 | &nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp; 95120 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/29 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4993 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/29 | &nbsp;&nbsp;&nbsp; 329 | &nbsp;&nbsp; 321776 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/30 | &nbsp;&nbsp;&nbsp; 894 | &nbsp;&nbsp; 873334 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/30 | &nbsp;&nbsp;&nbsp; 1637 | &nbsp;&nbsp; 1594987 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/30 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3480 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/30 | &nbsp;&nbsp;&nbsp; 639 | &nbsp;&nbsp; 623722 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/30 | &nbsp;&nbsp;&nbsp; 5891 | &nbsp;&nbsp; 5741206 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/30 | &nbsp;&nbsp;&nbsp; 13224 | &nbsp;&nbsp; 12883236 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/30 | &nbsp;&nbsp;&nbsp; 4753 | &nbsp;&nbsp; 4631227 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/30 | &nbsp;&nbsp;&nbsp; 1934 | &nbsp;&nbsp; 1892878 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/30 | &nbsp;&nbsp;&nbsp; 553 | &nbsp;&nbsp; 537156 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/30 | &nbsp;&nbsp;&nbsp; 869 | &nbsp;&nbsp; 844570 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/30 | &nbsp;&nbsp;&nbsp; 203 | &nbsp;&nbsp; 197732 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/30 | &nbsp;&nbsp;&nbsp; 451 | &nbsp;&nbsp; 438858 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/31 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 21166 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/31 | &nbsp;&nbsp;&nbsp; 588 | &nbsp;&nbsp; 572782 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/31 | &nbsp;&nbsp;&nbsp; 1052 | &nbsp;&nbsp; 1026920 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/31 | &nbsp;&nbsp;&nbsp; 1202 | &nbsp;&nbsp; 1168458 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/31 | &nbsp;&nbsp;&nbsp; 1632 | &nbsp;&nbsp; 1584302 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/31 | &nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp; 368451 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/31 | &nbsp;&nbsp;&nbsp; 1302 | &nbsp;&nbsp; 1262976 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; 968 | &nbsp;&nbsp; 938009 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/31 | &nbsp;&nbsp;&nbsp; 1291 | &nbsp;&nbsp; 1251405 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/31 | &nbsp;&nbsp;&nbsp; 5245 | &nbsp;&nbsp; 5104890 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/31 | &nbsp;&nbsp;&nbsp; 4734 | &nbsp;&nbsp; 4592217 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 2220 | &nbsp;&nbsp; 2150147 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 6487 | &nbsp;&nbsp; 6283775 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; $6430 | &nbsp;&nbsp; $6231904 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/32 | &nbsp;&nbsp;&nbsp; 3332 | &nbsp;&nbsp; 3222270 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/32 | &nbsp;&nbsp;&nbsp; 6278 | &nbsp;&nbsp; 6086078 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 7964 | &nbsp;&nbsp; 7719802 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/32 | &nbsp;&nbsp;&nbsp; 778 | &nbsp;&nbsp; 753392 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 5051 | &nbsp;&nbsp; 4901638 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/32 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4995 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 512 | &nbsp;&nbsp; 493409 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/32 | &nbsp;&nbsp;&nbsp; 1409 | &nbsp;&nbsp; 1357923 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/32 | &nbsp;&nbsp;&nbsp; 968 | &nbsp;&nbsp; 930444 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/32 | &nbsp;&nbsp;&nbsp; 1621 | &nbsp;&nbsp; 1560886 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/33 | &nbsp;&nbsp;&nbsp; 10381 | &nbsp;&nbsp; 10092941 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/33 | &nbsp;&nbsp;&nbsp; 619 | &nbsp;&nbsp; 602453 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 315 | &nbsp;&nbsp; 302721 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/33 | &nbsp;&nbsp;&nbsp; 2588 | &nbsp;&nbsp; 2509680 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/34 | &nbsp;&nbsp;&nbsp; 229 | &nbsp;&nbsp; 219301 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/34 | &nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp; 61289 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/34 | &nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp; 123731 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/34 | &nbsp;&nbsp;&nbsp; 3722 | &nbsp;&nbsp; 3550518 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/34 | &nbsp;&nbsp;&nbsp; 4270 | &nbsp;&nbsp; 4079171 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/34 | &nbsp;&nbsp;&nbsp; 9620 | &nbsp;&nbsp; 9169738 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/34 | &nbsp;&nbsp;&nbsp; 3199 | &nbsp;&nbsp; 3044085 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/35 | &nbsp;&nbsp;&nbsp; 6214 | &nbsp;&nbsp; 5929402 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/35 | &nbsp;&nbsp;&nbsp; 7675 | &nbsp;&nbsp; 7391166 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/35 | &nbsp;&nbsp;&nbsp; 12611 | &nbsp;&nbsp; 12035442 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 23339 | &nbsp;&nbsp; 22234584 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 11659 | &nbsp;&nbsp; 11123880 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/35 | &nbsp;&nbsp;&nbsp; 15914 | &nbsp;&nbsp; 15170569 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/35 | &nbsp;&nbsp;&nbsp; 25648 | &nbsp;&nbsp; 24458193 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/35 | &nbsp;&nbsp;&nbsp; 18830 | &nbsp;&nbsp; 17931835 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/35 | &nbsp;&nbsp;&nbsp; 22070 | &nbsp;&nbsp; 21024563 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/35 | &nbsp;&nbsp;&nbsp; 17192 | &nbsp;&nbsp; 16379009 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/35 | &nbsp;&nbsp;&nbsp; 4425 | &nbsp;&nbsp; 4211565 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/35 | &nbsp;&nbsp;&nbsp; 42223 | &nbsp;&nbsp; 40147509 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/36 | &nbsp;&nbsp;&nbsp; 2514 | &nbsp;&nbsp; 2390871 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 6712 | &nbsp;&nbsp; 6383007 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/36 | &nbsp;&nbsp;&nbsp; 5231 | &nbsp;&nbsp; 4973692 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/36 | &nbsp;&nbsp;&nbsp; 2577 | &nbsp;&nbsp; 2449846 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/36 | &nbsp;&nbsp;&nbsp; 2646 | &nbsp;&nbsp; 2504941 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/36 | &nbsp;&nbsp;&nbsp; 14910 | &nbsp;&nbsp; 14156594 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/36 | &nbsp;&nbsp;&nbsp; 2573 | &nbsp;&nbsp; 2440749 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 28445 | &nbsp;&nbsp; 26943126 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 1080 | &nbsp;&nbsp; 1021392 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/36 | &nbsp;&nbsp;&nbsp; 36583 | &nbsp;&nbsp; 34646649 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 12249 | &nbsp;&nbsp; 11632609 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/37 | &nbsp;&nbsp;&nbsp; 4507 | &nbsp;&nbsp; 4278027 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 33502 | &nbsp;&nbsp; 31741909 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/37 | &nbsp;&nbsp;&nbsp; 122520 | &nbsp;&nbsp; 115969540 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/37 | &nbsp;&nbsp;&nbsp; 52340 | &nbsp;&nbsp; 49463605 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 45590 | &nbsp;&nbsp; 43067651 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/37 | &nbsp;&nbsp;&nbsp; 18900 | &nbsp;&nbsp; 17893404 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 14303 | &nbsp;&nbsp; 13512371 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 8152 | &nbsp;&nbsp; 7700736 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/37 | &nbsp;&nbsp;&nbsp; 3521 | &nbsp;&nbsp; 3326398 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/37 | &nbsp;&nbsp;&nbsp; 684 | &nbsp;&nbsp; 646578 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 2697 | &nbsp;&nbsp; 2552421 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/16/40 | &nbsp;&nbsp;&nbsp; 46791 | &nbsp;&nbsp; 44212301 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/42 | &nbsp;&nbsp;&nbsp; 290 | &nbsp;&nbsp; 260888 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/42 | &nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp; 151332 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/42 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 23513 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/43 | &nbsp;&nbsp;&nbsp; 666 | &nbsp;&nbsp; 600153 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/43 | &nbsp;&nbsp;&nbsp; $1692 | &nbsp;&nbsp; $1524157 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/43 | &nbsp;&nbsp;&nbsp; 748 | &nbsp;&nbsp; 674783 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/43 | &nbsp;&nbsp;&nbsp; 3543 | &nbsp;&nbsp; 3196294 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/43 | &nbsp;&nbsp;&nbsp; 362 | &nbsp;&nbsp; 326328 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/43 | &nbsp;&nbsp;&nbsp; 2089 | &nbsp;&nbsp; 1884696 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/43 | &nbsp;&nbsp;&nbsp; 258 | &nbsp;&nbsp; 232751 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/43 | &nbsp;&nbsp;&nbsp; 280 | &nbsp;&nbsp; 252690 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/45 | &nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp; 172666 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/45 | &nbsp;&nbsp;&nbsp; 226 | &nbsp;&nbsp; 198308 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/45 | &nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp; 30326 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/46 | &nbsp;&nbsp;&nbsp; 1425 | &nbsp;&nbsp; 1249971 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/46 | &nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp; 78147 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/46 | &nbsp;&nbsp;&nbsp; 257 | &nbsp;&nbsp; 225750 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/46 | &nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp; 114699 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/46 | &nbsp;&nbsp;&nbsp; 373 | &nbsp;&nbsp; 326681 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/46 | &nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp; 152343 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/46 | &nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp; 108015 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/46 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4502 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/46 | &nbsp;&nbsp;&nbsp; 3654 | &nbsp;&nbsp; 3205175 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/47 | &nbsp;&nbsp;&nbsp; 1001 | &nbsp;&nbsp; 857053 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/47 | &nbsp;&nbsp;&nbsp; 38983 | &nbsp;&nbsp; 33384659 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/47 | &nbsp;&nbsp;&nbsp; 2796 | &nbsp;&nbsp; 2453751 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/47 | &nbsp;&nbsp;&nbsp; 12134 | &nbsp;&nbsp; 10672117 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/48 | &nbsp;&nbsp;&nbsp; 3729 | &nbsp;&nbsp; 3272589 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/49 | &nbsp;&nbsp;&nbsp; 5327 | &nbsp;&nbsp; 4671306 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/49 | &nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp; 93942 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/49 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 22078 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/49 | &nbsp;&nbsp;&nbsp; 4699 | &nbsp;&nbsp; 4053211 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/49 | &nbsp;&nbsp;&nbsp; 1772 | &nbsp;&nbsp; 1528802 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/50 | &nbsp;&nbsp;&nbsp; 1533 | &nbsp;&nbsp; 1322031 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/50 | &nbsp;&nbsp;&nbsp; 27666 | &nbsp;&nbsp; 23862794 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/50 | &nbsp;&nbsp;&nbsp; 2104 | &nbsp;&nbsp; 1837892 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/50 | &nbsp;&nbsp;&nbsp; 51753 | &nbsp;&nbsp; 44667899 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/50 | &nbsp;&nbsp;&nbsp; 40611 | &nbsp;&nbsp; 35010752 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/50 | &nbsp;&nbsp;&nbsp; 57375 | &nbsp;&nbsp; 49599670 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/50 | &nbsp;&nbsp;&nbsp; 112326 | &nbsp;&nbsp; 97573077 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/50 | &nbsp;&nbsp;&nbsp; 213308 | &nbsp;&nbsp; 184903212 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/50 | &nbsp;&nbsp;&nbsp; 278892 | &nbsp;&nbsp; 240674852 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/50 | &nbsp;&nbsp;&nbsp; 339264 | &nbsp;&nbsp; 292819601 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/50 | &nbsp;&nbsp;&nbsp; 98462 | &nbsp;&nbsp; 84651261 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/51 | &nbsp;&nbsp;&nbsp; 170264 | &nbsp;&nbsp; 146380551 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/51 | &nbsp;&nbsp;&nbsp; 63803 | &nbsp;&nbsp; 55074082 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/51 | &nbsp;&nbsp;&nbsp; 42609 | &nbsp;&nbsp; 36378275 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/51 | &nbsp;&nbsp;&nbsp; 23161 | &nbsp;&nbsp; 19987738 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/51 | &nbsp;&nbsp;&nbsp; 86687 | &nbsp;&nbsp; 74651046 |
| &nbsp;&nbsp;&nbsp; 2.50%, 06/01/51 | &nbsp;&nbsp;&nbsp; 46541 | &nbsp;&nbsp; 40260886 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/51 | &nbsp;&nbsp;&nbsp; 270018 | &nbsp;&nbsp; 232195834 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/51 | &nbsp;&nbsp;&nbsp; 215412 | &nbsp;&nbsp; 185803136 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/51 | &nbsp;&nbsp;&nbsp; 212427 | &nbsp;&nbsp; 182843573 |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/51 | &nbsp;&nbsp;&nbsp; 227628 | &nbsp;&nbsp; 195695184 |
| &nbsp;&nbsp;&nbsp; 2.50%, 11/01/51 | &nbsp;&nbsp;&nbsp; 148243 | &nbsp;&nbsp; 127767727 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/01/51 | &nbsp;&nbsp;&nbsp; 347913 | &nbsp;&nbsp; 298850219 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/52 | &nbsp;&nbsp;&nbsp; 315483 | &nbsp;&nbsp; 270774066 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/52 | &nbsp;&nbsp;&nbsp; 186760 | &nbsp;&nbsp; 160301857 |
| &nbsp;&nbsp;&nbsp; 2.50%, 03/01/52 | &nbsp;&nbsp;&nbsp; 157406 | &nbsp;&nbsp; 135098011 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/01/52 | &nbsp;&nbsp;&nbsp; 317344 | &nbsp;&nbsp; 272428161 |
| &nbsp;&nbsp;&nbsp; 2.50%, 05/01/52 | &nbsp;&nbsp;&nbsp; 80648 | &nbsp;&nbsp; 69637359 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/52 | &nbsp;&nbsp;&nbsp; 85717 | &nbsp;&nbsp; 73341243 |
| &nbsp;&nbsp;&nbsp; 2.50%, 08/01/52 | &nbsp;&nbsp;&nbsp; 91183 | &nbsp;&nbsp; 78019413 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/52 | &nbsp;&nbsp;&nbsp; 76507 | &nbsp;&nbsp; 65563007 |
| &nbsp;&nbsp;&nbsp; 2.50%, 07/01/53 | &nbsp;&nbsp;&nbsp; 82713 | &nbsp;&nbsp; 70786259 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 2.50%, 10/01/53 | &nbsp;&nbsp;&nbsp; $5894 | &nbsp;&nbsp; $5044094 |
| &nbsp;&nbsp;&nbsp; 2.50%, 12/11/55 | &nbsp;&nbsp;&nbsp; 338040 | &nbsp;&nbsp; 287557793 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/26 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1921 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/26 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6977 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 263 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/26 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4034 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 736 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/26 | &nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp; 105692 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/26 | &nbsp;&nbsp;&nbsp; 203 | &nbsp;&nbsp; 201319 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/27 | &nbsp;&nbsp;&nbsp; 215 | &nbsp;&nbsp; 213444 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/27 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6891 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 291 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/27 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 20058 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/27 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10772 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/27 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 28087 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/27 | &nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp; 121283 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/27 | &nbsp;&nbsp;&nbsp; 258 | &nbsp;&nbsp; 255292 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/27 | &nbsp;&nbsp;&nbsp; 456 | &nbsp;&nbsp; 451273 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 478 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/27 | &nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp; 84797 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/27 | &nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp; 761546 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/28 | &nbsp;&nbsp;&nbsp; 220 | &nbsp;&nbsp; 217285 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/28 | &nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp; 40064 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/28 | &nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp; 150603 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/28 | &nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp; 91455 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/28 | &nbsp;&nbsp;&nbsp; 551 | &nbsp;&nbsp; 543584 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/28 | &nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp; 73283 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/28 | &nbsp;&nbsp;&nbsp; 604 | &nbsp;&nbsp; 596921 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/28 | &nbsp;&nbsp;&nbsp; 181 | &nbsp;&nbsp; 176960 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 266 | &nbsp;&nbsp; 262375 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/29 | &nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp; 124597 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/29 | &nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp; 165156 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/29 | &nbsp;&nbsp;&nbsp; 1337 | &nbsp;&nbsp; 1317524 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/29 | &nbsp;&nbsp;&nbsp; 468 | &nbsp;&nbsp; 461690 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/29 | &nbsp;&nbsp;&nbsp; 257 | &nbsp;&nbsp; 253909 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/29 | &nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp; 251198 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/29 | &nbsp;&nbsp;&nbsp; 444 | &nbsp;&nbsp; 437379 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/29 | &nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp; 150120 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/29 | &nbsp;&nbsp;&nbsp; 1119 | &nbsp;&nbsp; 1101149 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/29 | &nbsp;&nbsp;&nbsp; 1717 | &nbsp;&nbsp; 1689436 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/29 | &nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp; 100838 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/30 | &nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp; 230890 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/30 | &nbsp;&nbsp;&nbsp; 888 | &nbsp;&nbsp; 873304 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/30 | &nbsp;&nbsp;&nbsp; 7546 | &nbsp;&nbsp; 7437568 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/30 | &nbsp;&nbsp;&nbsp; 3336 | &nbsp;&nbsp; 3276171 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/30 | &nbsp;&nbsp;&nbsp; 1979 | &nbsp;&nbsp; 1944624 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/30 | &nbsp;&nbsp;&nbsp; 674 | &nbsp;&nbsp; 662723 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/30 | &nbsp;&nbsp;&nbsp; 2075 | &nbsp;&nbsp; 2040481 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/30 | &nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp; 209939 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/30 | &nbsp;&nbsp;&nbsp; 1051 | &nbsp;&nbsp; 1031528 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/30 | &nbsp;&nbsp;&nbsp; 1072 | &nbsp;&nbsp; 1053926 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/30 | &nbsp;&nbsp;&nbsp; 706 | &nbsp;&nbsp; 693347 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/31 | &nbsp;&nbsp;&nbsp; 1831 | &nbsp;&nbsp; 1800605 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/31 | &nbsp;&nbsp;&nbsp; 2294 | &nbsp;&nbsp; 2253238 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/31 | &nbsp;&nbsp;&nbsp; 4489 | &nbsp;&nbsp; 4406955 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/31 | &nbsp;&nbsp;&nbsp; 574 | &nbsp;&nbsp; 562652 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/31 | &nbsp;&nbsp;&nbsp; 4377 | &nbsp;&nbsp; 4296695 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/31 | &nbsp;&nbsp;&nbsp; 2640 | &nbsp;&nbsp; 2591697 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/31 | &nbsp;&nbsp;&nbsp; 369 | &nbsp;&nbsp; 361420 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/31 | &nbsp;&nbsp;&nbsp; $60 | &nbsp;&nbsp; $58645 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/31 | &nbsp;&nbsp;&nbsp; 3396 | &nbsp;&nbsp; 3329752 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/31 | &nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp; 206273 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/31 | &nbsp;&nbsp;&nbsp; 1399 | &nbsp;&nbsp; 1373909 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/32 | &nbsp;&nbsp;&nbsp; 3284 | &nbsp;&nbsp; 3216466 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/32 | &nbsp;&nbsp;&nbsp; 5250 | &nbsp;&nbsp; 5146060 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 1742 | &nbsp;&nbsp; 1705043 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/32 | &nbsp;&nbsp;&nbsp; 1723 | &nbsp;&nbsp; 1682591 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/32 | &nbsp;&nbsp;&nbsp; 569 | &nbsp;&nbsp; 558432 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/32 | &nbsp;&nbsp;&nbsp; 3240 | &nbsp;&nbsp; 3175084 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/32 | &nbsp;&nbsp;&nbsp; 346 | &nbsp;&nbsp; 338420 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/32 | &nbsp;&nbsp;&nbsp; 1610 | &nbsp;&nbsp; 1572837 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/32 | &nbsp;&nbsp;&nbsp; 3937 | &nbsp;&nbsp; 3862266 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/32 | &nbsp;&nbsp;&nbsp; 392 | &nbsp;&nbsp; 381926 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 1923 | &nbsp;&nbsp; 1878581 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/32 | &nbsp;&nbsp;&nbsp; 8106 | &nbsp;&nbsp; 7922108 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/33 | &nbsp;&nbsp;&nbsp; 1062 | &nbsp;&nbsp; 1035984 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/33 | &nbsp;&nbsp;&nbsp; 1675 | &nbsp;&nbsp; 1634747 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/33 | &nbsp;&nbsp;&nbsp; 648 | &nbsp;&nbsp; 631139 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/33 | &nbsp;&nbsp;&nbsp; 263 | &nbsp;&nbsp; 257133 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/33 | &nbsp;&nbsp;&nbsp; 1323 | &nbsp;&nbsp; 1285284 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/33 | &nbsp;&nbsp;&nbsp; 258 | &nbsp;&nbsp; 249826 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/33 | &nbsp;&nbsp;&nbsp; 6070 | &nbsp;&nbsp; 5897507 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/33 | &nbsp;&nbsp;&nbsp; 694 | &nbsp;&nbsp; 680947 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 3347 | &nbsp;&nbsp; 3259166 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp; 64208 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/34 | &nbsp;&nbsp;&nbsp; 2763 | &nbsp;&nbsp; 2706018 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/34 | &nbsp;&nbsp;&nbsp; 285 | &nbsp;&nbsp; 275950 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/34 | &nbsp;&nbsp;&nbsp; 1638 | &nbsp;&nbsp; 1591541 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/34 | &nbsp;&nbsp;&nbsp; 6101 | &nbsp;&nbsp; 5926504 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/34 | &nbsp;&nbsp;&nbsp; 1707 | &nbsp;&nbsp; 1661840 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/34 | &nbsp;&nbsp;&nbsp; 9549 | &nbsp;&nbsp; 9269872 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/34 | &nbsp;&nbsp;&nbsp; 1800 | &nbsp;&nbsp; 1747045 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/34 | &nbsp;&nbsp;&nbsp; 4709 | &nbsp;&nbsp; 4567095 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/34 | &nbsp;&nbsp;&nbsp; 914 | &nbsp;&nbsp; 886713 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/35 | &nbsp;&nbsp;&nbsp; 3400 | &nbsp;&nbsp; 3297684 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/35 | &nbsp;&nbsp;&nbsp; 7507 | &nbsp;&nbsp; 7269287 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/35 | &nbsp;&nbsp;&nbsp; 12970 | &nbsp;&nbsp; 12567462 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/35 | &nbsp;&nbsp;&nbsp; 8356 | &nbsp;&nbsp; 8109013 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/35 | &nbsp;&nbsp;&nbsp; 17349 | &nbsp;&nbsp; 16823954 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/35 | &nbsp;&nbsp;&nbsp; 2351 | &nbsp;&nbsp; 2280052 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 10895 | &nbsp;&nbsp; 10561697 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/35 | &nbsp;&nbsp;&nbsp; 403 | &nbsp;&nbsp; 390985 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp; 250783 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/35 | &nbsp;&nbsp;&nbsp; 3970 | &nbsp;&nbsp; 3847537 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/35 | &nbsp;&nbsp;&nbsp; 8458 | &nbsp;&nbsp; 8233988 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 1570 | &nbsp;&nbsp; 1521797 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/36 | &nbsp;&nbsp;&nbsp; 685 | &nbsp;&nbsp; 659195 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/36 | &nbsp;&nbsp;&nbsp; 1095 | &nbsp;&nbsp; 1054939 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/36 | &nbsp;&nbsp;&nbsp; 1260 | &nbsp;&nbsp; 1220828 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; 482 | &nbsp;&nbsp; 466366 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/36 | &nbsp;&nbsp;&nbsp; 1661 | &nbsp;&nbsp; 1597000 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 5268 | &nbsp;&nbsp; 5046059 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 4243 | &nbsp;&nbsp; 4050149 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/37 | &nbsp;&nbsp;&nbsp; 67545 | &nbsp;&nbsp; 65325510 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/37 | &nbsp;&nbsp;&nbsp; 10556 | &nbsp;&nbsp; 10159350 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/37 | &nbsp;&nbsp;&nbsp; 18301 | &nbsp;&nbsp; 17700062 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 23197 | &nbsp;&nbsp; 22439494 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/37 | &nbsp;&nbsp;&nbsp; 4999 | &nbsp;&nbsp; 4832733 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/37 | &nbsp;&nbsp;&nbsp; 1592 | &nbsp;&nbsp; 1531993 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/37 | &nbsp;&nbsp;&nbsp; 21505 | &nbsp;&nbsp; 20696598 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/38 | &nbsp;&nbsp;&nbsp; $4998 | &nbsp;&nbsp; $4810274 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/16/40 | &nbsp;&nbsp;&nbsp; 123445 | &nbsp;&nbsp; 118795074 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/41 | &nbsp;&nbsp;&nbsp; 538 | &nbsp;&nbsp; 489431 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/42 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 16672 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/42 | &nbsp;&nbsp;&nbsp; 741 | &nbsp;&nbsp; 689215 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/42 | &nbsp;&nbsp;&nbsp; 2460 | &nbsp;&nbsp; 2288321 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/42 | &nbsp;&nbsp;&nbsp; 2911 | &nbsp;&nbsp; 2706937 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/42 | &nbsp;&nbsp;&nbsp; 13362 | &nbsp;&nbsp; 12421675 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/42 | &nbsp;&nbsp;&nbsp; 22729 | &nbsp;&nbsp; 21129612 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/43 | &nbsp;&nbsp;&nbsp; 11687 | &nbsp;&nbsp; 10865225 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/43 | &nbsp;&nbsp;&nbsp; 5038 | &nbsp;&nbsp; 4680402 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/43 | &nbsp;&nbsp;&nbsp; 8305 | &nbsp;&nbsp; 7648551 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/43 | &nbsp;&nbsp;&nbsp; 8680 | &nbsp;&nbsp; 8042260 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/43 | &nbsp;&nbsp;&nbsp; 8299 | &nbsp;&nbsp; 7672701 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/43 | &nbsp;&nbsp;&nbsp; 3487 | &nbsp;&nbsp; 3225717 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/43 | &nbsp;&nbsp;&nbsp; 2751 | &nbsp;&nbsp; 2542149 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/43 | &nbsp;&nbsp;&nbsp; 8546 | &nbsp;&nbsp; 7898450 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/43 | &nbsp;&nbsp;&nbsp; 13798 | &nbsp;&nbsp; 12756484 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/43 | &nbsp;&nbsp;&nbsp; 454 | &nbsp;&nbsp; 419688 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/43 | &nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp; 36533 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/43 | &nbsp;&nbsp;&nbsp; 476 | &nbsp;&nbsp; 439200 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/44 | &nbsp;&nbsp;&nbsp; 10438 | &nbsp;&nbsp; 9647759 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/44 | &nbsp;&nbsp;&nbsp; 9850 | &nbsp;&nbsp; 9113794 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/44 | &nbsp;&nbsp;&nbsp; 35002 | &nbsp;&nbsp; 32351527 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/44 | &nbsp;&nbsp;&nbsp; 24538 | &nbsp;&nbsp; 22680383 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/44 | &nbsp;&nbsp;&nbsp; 14443 | &nbsp;&nbsp; 13348540 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/44 | &nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp; 100495 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/45 | &nbsp;&nbsp;&nbsp; 3168 | &nbsp;&nbsp; 2927723 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/45 | &nbsp;&nbsp;&nbsp; 2557 | &nbsp;&nbsp; 2345919 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/45 | &nbsp;&nbsp;&nbsp; 678 | &nbsp;&nbsp; 619577 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/45 | &nbsp;&nbsp;&nbsp; 1923 | &nbsp;&nbsp; 1770466 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/45 | &nbsp;&nbsp;&nbsp; 12336 | &nbsp;&nbsp; 11344236 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/45 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 16034 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/45 | &nbsp;&nbsp;&nbsp; 4256 | &nbsp;&nbsp; 3928472 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/45 | &nbsp;&nbsp;&nbsp; 5113 | &nbsp;&nbsp; 4717505 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/45 | &nbsp;&nbsp;&nbsp; 661 | &nbsp;&nbsp; 606982 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/45 | &nbsp;&nbsp;&nbsp; 343 | &nbsp;&nbsp; 315773 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/45 | &nbsp;&nbsp;&nbsp; 598 | &nbsp;&nbsp; 548366 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/46 | &nbsp;&nbsp;&nbsp; 3093 | &nbsp;&nbsp; 2832230 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/46 | &nbsp;&nbsp;&nbsp; 1211 | &nbsp;&nbsp; 1109261 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/46 | &nbsp;&nbsp;&nbsp; 517 | &nbsp;&nbsp; 473342 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/46 | &nbsp;&nbsp;&nbsp; 2338 | &nbsp;&nbsp; 2136686 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/46 | &nbsp;&nbsp;&nbsp; 2466 | &nbsp;&nbsp; 2236594 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/46 | &nbsp;&nbsp;&nbsp; 16697 | &nbsp;&nbsp; 15369155 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/46 | &nbsp;&nbsp;&nbsp; 52474 | &nbsp;&nbsp; 48047415 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/46 | &nbsp;&nbsp;&nbsp; 18859 | &nbsp;&nbsp; 17273549 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/46 | &nbsp;&nbsp;&nbsp; 12057 | &nbsp;&nbsp; 11013556 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/46 | &nbsp;&nbsp;&nbsp; 33702 | &nbsp;&nbsp; 30728615 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/46 | &nbsp;&nbsp;&nbsp; 45781 | &nbsp;&nbsp; 41758967 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/46 | &nbsp;&nbsp;&nbsp; 71002 | &nbsp;&nbsp; 64655278 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/47 | &nbsp;&nbsp;&nbsp; 39580 | &nbsp;&nbsp; 36124473 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/47 | &nbsp;&nbsp;&nbsp; 72333 | &nbsp;&nbsp; 66448285 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/47 | &nbsp;&nbsp;&nbsp; 14455 | &nbsp;&nbsp; 13189353 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/47 | &nbsp;&nbsp;&nbsp; 22083 | &nbsp;&nbsp; 20012751 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/47 | &nbsp;&nbsp;&nbsp; 724 | &nbsp;&nbsp; 657879 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/47 | &nbsp;&nbsp;&nbsp; 12789 | &nbsp;&nbsp; 11633397 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/47 | &nbsp;&nbsp;&nbsp; 858 | &nbsp;&nbsp; 780523 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/47 | &nbsp;&nbsp;&nbsp; 328 | &nbsp;&nbsp; 297894 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/47 | &nbsp;&nbsp;&nbsp; 271 | &nbsp;&nbsp; 249231 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/47 | &nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp; 130873 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/47 | &nbsp;&nbsp;&nbsp; 26508 | &nbsp;&nbsp; 24247217 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/48 | &nbsp;&nbsp;&nbsp; $29098 | &nbsp;&nbsp; $26402149 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/48 | &nbsp;&nbsp;&nbsp; 28677 | &nbsp;&nbsp; 26305706 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/48 | &nbsp;&nbsp;&nbsp; 8159 | &nbsp;&nbsp; 7541773 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/48 | &nbsp;&nbsp;&nbsp; 208 | &nbsp;&nbsp; 188512 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/48 | &nbsp;&nbsp;&nbsp; 2127 | &nbsp;&nbsp; 1935158 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/48 | &nbsp;&nbsp;&nbsp; 32697 | &nbsp;&nbsp; 30018359 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/48 | &nbsp;&nbsp;&nbsp; 29623 | &nbsp;&nbsp; 26929322 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/49 | &nbsp;&nbsp;&nbsp; 42902 | &nbsp;&nbsp; 39024921 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/49 | &nbsp;&nbsp;&nbsp; 1830 | &nbsp;&nbsp; 1664841 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/49 | &nbsp;&nbsp;&nbsp; 3187 | &nbsp;&nbsp; 2892717 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/49 | &nbsp;&nbsp;&nbsp; 9275 | &nbsp;&nbsp; 8417094 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/49 | &nbsp;&nbsp;&nbsp; 1676 | &nbsp;&nbsp; 1513846 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/49 | &nbsp;&nbsp;&nbsp; 1688 | &nbsp;&nbsp; 1513306 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/49 | &nbsp;&nbsp;&nbsp; 14688 | &nbsp;&nbsp; 13278567 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/49 | &nbsp;&nbsp;&nbsp; 15276 | &nbsp;&nbsp; 13716865 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/49 | &nbsp;&nbsp;&nbsp; 28010 | &nbsp;&nbsp; 25174645 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/49 | &nbsp;&nbsp;&nbsp; 22423 | &nbsp;&nbsp; 20225887 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/49 | &nbsp;&nbsp;&nbsp; 21004 | &nbsp;&nbsp; 18981755 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/50 | &nbsp;&nbsp;&nbsp; 92088 | &nbsp;&nbsp; 83067788 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/50 | &nbsp;&nbsp;&nbsp; 59862 | &nbsp;&nbsp; 54160435 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/50 | &nbsp;&nbsp;&nbsp; 88011 | &nbsp;&nbsp; 79602665 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/50 | &nbsp;&nbsp;&nbsp; 17015 | &nbsp;&nbsp; 15374267 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/50 | &nbsp;&nbsp;&nbsp; 14671 | &nbsp;&nbsp; 13273877 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/50 | &nbsp;&nbsp;&nbsp; 40335 | &nbsp;&nbsp; 36410478 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/50 | &nbsp;&nbsp;&nbsp; 137810 | &nbsp;&nbsp; 124973503 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/50 | &nbsp;&nbsp;&nbsp; 101393 | &nbsp;&nbsp; 91193168 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/50 | &nbsp;&nbsp;&nbsp; 10153 | &nbsp;&nbsp; 9107840 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/50 | &nbsp;&nbsp;&nbsp; 65973 | &nbsp;&nbsp; 59571022 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/50 | &nbsp;&nbsp;&nbsp; 41007 | &nbsp;&nbsp; 37110750 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/50 | &nbsp;&nbsp;&nbsp; 5655 | &nbsp;&nbsp; 5061040 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/51 | &nbsp;&nbsp;&nbsp; 13219 | &nbsp;&nbsp; 11972654 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/51 | &nbsp;&nbsp;&nbsp; 101719 | &nbsp;&nbsp; 90621263 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/51 | &nbsp;&nbsp;&nbsp; 31108 | &nbsp;&nbsp; 27911850 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/51 | &nbsp;&nbsp;&nbsp; 26571 | &nbsp;&nbsp; 23751965 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/51 | &nbsp;&nbsp;&nbsp; 23158 | &nbsp;&nbsp; 20952752 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/51 | &nbsp;&nbsp;&nbsp; 29773 | &nbsp;&nbsp; 26828499 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/51 | &nbsp;&nbsp;&nbsp; 53533 | &nbsp;&nbsp; 48117948 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/51 | &nbsp;&nbsp;&nbsp; 17671 | &nbsp;&nbsp; 15877697 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/51 | &nbsp;&nbsp;&nbsp; 3536 | &nbsp;&nbsp; 3180114 |
| &nbsp;&nbsp;&nbsp; 3.00%, 10/01/51 | &nbsp;&nbsp;&nbsp; 60001 | &nbsp;&nbsp; 53385975 |
| &nbsp;&nbsp;&nbsp; 3.00%, 11/01/51 | &nbsp;&nbsp;&nbsp; 44582 | &nbsp;&nbsp; 40209720 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/01/51 | &nbsp;&nbsp;&nbsp; 34348 | &nbsp;&nbsp; 30835884 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/52 | &nbsp;&nbsp;&nbsp; 16905 | &nbsp;&nbsp; 15128485 |
| &nbsp;&nbsp;&nbsp; 3.00%, 02/01/52 | &nbsp;&nbsp;&nbsp; 17873 | &nbsp;&nbsp; 16023981 |
| &nbsp;&nbsp;&nbsp; 3.00%, 03/01/52 | &nbsp;&nbsp;&nbsp; 13736 | &nbsp;&nbsp; 12349812 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/52 | &nbsp;&nbsp;&nbsp; 42426 | &nbsp;&nbsp; 38178434 |
| &nbsp;&nbsp;&nbsp; 3.00%, 05/01/52 | &nbsp;&nbsp;&nbsp; 163458 | &nbsp;&nbsp; 147376758 |
| &nbsp;&nbsp;&nbsp; 3.00%, 06/01/52 | &nbsp;&nbsp;&nbsp; 10271 | &nbsp;&nbsp; 9157813 |
| &nbsp;&nbsp;&nbsp; 3.00%, 07/01/52 | &nbsp;&nbsp;&nbsp; 19130 | &nbsp;&nbsp; 17157003 |
| &nbsp;&nbsp;&nbsp; 3.00%, 08/01/52 | &nbsp;&nbsp;&nbsp; 66044 | &nbsp;&nbsp; 59017972 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/11/55 | &nbsp;&nbsp;&nbsp; 157125 | &nbsp;&nbsp; 139529369 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 947 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 672 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 298 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1236 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 148 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 885 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 757 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/26 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7997 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 421 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 52 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/26 | &nbsp;&nbsp;&nbsp; $2 | &nbsp;&nbsp; $2272 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/26 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1322 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 247 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 413 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/26 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7167 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 278 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 381 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/26 | &nbsp;&nbsp;&nbsp; 401 | &nbsp;&nbsp; 399770 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/26 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9656 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/26 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3309 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 178 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/27 | &nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp; 42077 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/27 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1661 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/27 | &nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp; 56834 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/27 | &nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp; 57489 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/27 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13480 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/28 | &nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp; 64159 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/28 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 23461 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/28 | &nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp; 147491 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/28 | &nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp; 132517 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/28 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 22168 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/28 | &nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp; 40434 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/29 | &nbsp;&nbsp;&nbsp; 464 | &nbsp;&nbsp; 460709 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/29 | &nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp; 126012 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/29 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 19404 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1814 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/29 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7361 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/29 | &nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp; 76260 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/29 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7282 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/29 | &nbsp;&nbsp;&nbsp; 596 | &nbsp;&nbsp; 590716 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/29 | &nbsp;&nbsp;&nbsp; 403 | &nbsp;&nbsp; 400047 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/30 | &nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp; 88061 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/30 | &nbsp;&nbsp;&nbsp; 180 | &nbsp;&nbsp; 178438 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/30 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp; 98944 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/30 | &nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp; 142482 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/31 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 15012 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/31 | &nbsp;&nbsp;&nbsp; 717 | &nbsp;&nbsp; 711151 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/31 | &nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp; 191719 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/31 | &nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp; 100486 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/31 | &nbsp;&nbsp;&nbsp; 2400 | &nbsp;&nbsp; 2378543 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/31 | &nbsp;&nbsp;&nbsp; 796 | &nbsp;&nbsp; 788978 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; 540 | &nbsp;&nbsp; 534729 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/31 | &nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp; 43937 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/31 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3322 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 430 | &nbsp;&nbsp; 425433 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 2069 | &nbsp;&nbsp; 2047557 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 464 | &nbsp;&nbsp; 458777 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/32 | &nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp; 231862 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/32 | &nbsp;&nbsp;&nbsp; 957 | &nbsp;&nbsp; 945480 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 2252 | &nbsp;&nbsp; 2225316 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/32 | &nbsp;&nbsp;&nbsp; 1917 | &nbsp;&nbsp; 1894006 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 1438 | &nbsp;&nbsp; 1420771 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/32 | &nbsp;&nbsp;&nbsp; 580 | &nbsp;&nbsp; 572706 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp; 210988 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/32 | &nbsp;&nbsp;&nbsp; 2162 | &nbsp;&nbsp; 2137980 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/32 | &nbsp;&nbsp;&nbsp; 1067 | &nbsp;&nbsp; 1053677 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/33 | &nbsp;&nbsp;&nbsp; 402 | &nbsp;&nbsp; 397475 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/33 | &nbsp;&nbsp;&nbsp; 1090 | &nbsp;&nbsp; 1075869 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/33 | &nbsp;&nbsp;&nbsp; 5635 | &nbsp;&nbsp; 5555058 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 1239 | &nbsp;&nbsp; 1221022 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/33 | &nbsp;&nbsp;&nbsp; 1535 | &nbsp;&nbsp; 1514209 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/33 | &nbsp;&nbsp;&nbsp; $938 | &nbsp;&nbsp; $924438 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/33 | &nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp; 180147 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/33 | &nbsp;&nbsp;&nbsp; 226 | &nbsp;&nbsp; 222041 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/33 | &nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp; 302555 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/34 | &nbsp;&nbsp;&nbsp; 1624 | &nbsp;&nbsp; 1599733 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/34 | &nbsp;&nbsp;&nbsp; 758 | &nbsp;&nbsp; 746107 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/34 | &nbsp;&nbsp;&nbsp; 2429 | &nbsp;&nbsp; 2385549 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/34 | &nbsp;&nbsp;&nbsp; 6215 | &nbsp;&nbsp; 6111681 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/34 | &nbsp;&nbsp;&nbsp; 4025 | &nbsp;&nbsp; 3951009 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/34 | &nbsp;&nbsp;&nbsp; 1445 | &nbsp;&nbsp; 1418633 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/34 | &nbsp;&nbsp;&nbsp; 2456 | &nbsp;&nbsp; 2417579 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/34 | &nbsp;&nbsp;&nbsp; 533 | &nbsp;&nbsp; 522528 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/34 | &nbsp;&nbsp;&nbsp; 265 | &nbsp;&nbsp; 259467 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/34 | &nbsp;&nbsp;&nbsp; 1181 | &nbsp;&nbsp; 1159041 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/34 | &nbsp;&nbsp;&nbsp; 5212 | &nbsp;&nbsp; 5115307 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/34 | &nbsp;&nbsp;&nbsp; 4908 | &nbsp;&nbsp; 4819028 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/35 | &nbsp;&nbsp;&nbsp; 203 | &nbsp;&nbsp; 200083 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/35 | &nbsp;&nbsp;&nbsp; 2182 | &nbsp;&nbsp; 2141627 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/35 | &nbsp;&nbsp;&nbsp; 2574 | &nbsp;&nbsp; 2519431 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 604 | &nbsp;&nbsp; 591874 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 3689 | &nbsp;&nbsp; 3620225 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/35 | &nbsp;&nbsp;&nbsp; 5544 | &nbsp;&nbsp; 5435098 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/35 | &nbsp;&nbsp;&nbsp; 2067 | &nbsp;&nbsp; 2025094 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/35 | &nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp; 548408 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/35 | &nbsp;&nbsp;&nbsp; 1722 | &nbsp;&nbsp; 1686793 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/35 | &nbsp;&nbsp;&nbsp; 1245 | &nbsp;&nbsp; 1219760 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 2930 | &nbsp;&nbsp; 2869115 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp; 284059 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/37 | &nbsp;&nbsp;&nbsp; 3656 | &nbsp;&nbsp; 3585948 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 14932 | &nbsp;&nbsp; 14551629 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 5071 | &nbsp;&nbsp; 4949447 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/37 | &nbsp;&nbsp;&nbsp; 3731 | &nbsp;&nbsp; 3637129 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 1302 | &nbsp;&nbsp; 1268539 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/38 | &nbsp;&nbsp;&nbsp; 2190 | &nbsp;&nbsp; 2126901 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 1280 | &nbsp;&nbsp; 1243113 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/38 | &nbsp;&nbsp;&nbsp; 18202 | &nbsp;&nbsp; 17738513 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/40 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 11517 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/40 | &nbsp;&nbsp;&nbsp; 201 | &nbsp;&nbsp; 192286 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/40 | &nbsp;&nbsp;&nbsp; 438 | &nbsp;&nbsp; 419569 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/16/40 | &nbsp;&nbsp;&nbsp; 55548 | &nbsp;&nbsp; 54022541 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/41 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 31287 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/41 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10194 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/41 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 25690 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/41 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 15826 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/41 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7276 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/41 | &nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp; 123673 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/41 | &nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp; 122301 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/42 | &nbsp;&nbsp;&nbsp; 720 | &nbsp;&nbsp; 687392 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/42 | &nbsp;&nbsp;&nbsp; 675 | &nbsp;&nbsp; 644031 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/42 | &nbsp;&nbsp;&nbsp; 9445 | &nbsp;&nbsp; 9018250 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/42 | &nbsp;&nbsp;&nbsp; 258 | &nbsp;&nbsp; 246354 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/42 | &nbsp;&nbsp;&nbsp; 1946 | &nbsp;&nbsp; 1866251 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/42 | &nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp; 150280 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/42 | &nbsp;&nbsp;&nbsp; 1551 | &nbsp;&nbsp; 1480832 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/42 | &nbsp;&nbsp;&nbsp; 10782 | &nbsp;&nbsp; 10301841 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/42 | &nbsp;&nbsp;&nbsp; 3238 | &nbsp;&nbsp; 3095020 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/42 | &nbsp;&nbsp;&nbsp; 9155 | &nbsp;&nbsp; 8741368 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/42 | &nbsp;&nbsp;&nbsp; 1272 | &nbsp;&nbsp; 1215971 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/42 | &nbsp;&nbsp;&nbsp; 8239 | &nbsp;&nbsp; 7872940 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/43 | &nbsp;&nbsp;&nbsp; 613 | &nbsp;&nbsp; 588044 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/43 | &nbsp;&nbsp;&nbsp; 3877 | &nbsp;&nbsp; 3681381 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/43 | &nbsp;&nbsp;&nbsp; $478 | &nbsp;&nbsp; $458683 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/43 | &nbsp;&nbsp;&nbsp; 1249 | &nbsp;&nbsp; 1195418 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/43 | &nbsp;&nbsp;&nbsp; 6310 | &nbsp;&nbsp; 6036243 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/43 | &nbsp;&nbsp;&nbsp; 11314 | &nbsp;&nbsp; 10877196 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/43 | &nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp; 181230 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/43 | &nbsp;&nbsp;&nbsp; 180 | &nbsp;&nbsp; 171915 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/43 | &nbsp;&nbsp;&nbsp; 1584 | &nbsp;&nbsp; 1521056 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/43 | &nbsp;&nbsp;&nbsp; 179 | &nbsp;&nbsp; 171002 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/43 | &nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp; 130492 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/44 | &nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp; 221977 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/44 | &nbsp;&nbsp;&nbsp; 284 | &nbsp;&nbsp; 271762 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/44 | &nbsp;&nbsp;&nbsp; 5683 | &nbsp;&nbsp; 5454156 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/44 | &nbsp;&nbsp;&nbsp; 1578 | &nbsp;&nbsp; 1514826 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/44 | &nbsp;&nbsp;&nbsp; 580 | &nbsp;&nbsp; 554941 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/44 | &nbsp;&nbsp;&nbsp; 999 | &nbsp;&nbsp; 956709 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/44 | &nbsp;&nbsp;&nbsp; 3664 | &nbsp;&nbsp; 3472902 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/44 | &nbsp;&nbsp;&nbsp; 11483 | &nbsp;&nbsp; 10889534 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/44 | &nbsp;&nbsp;&nbsp; 769 | &nbsp;&nbsp; 726625 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/45 | &nbsp;&nbsp;&nbsp; 11357 | &nbsp;&nbsp; 10840683 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/45 | &nbsp;&nbsp;&nbsp; 8663 | &nbsp;&nbsp; 8247167 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/45 | &nbsp;&nbsp;&nbsp; 1621 | &nbsp;&nbsp; 1525112 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/45 | &nbsp;&nbsp;&nbsp; 1546 | &nbsp;&nbsp; 1472856 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/45 | &nbsp;&nbsp;&nbsp; 721 | &nbsp;&nbsp; 680674 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/45 | &nbsp;&nbsp;&nbsp; 4232 | &nbsp;&nbsp; 4030188 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/45 | &nbsp;&nbsp;&nbsp; 7003 | &nbsp;&nbsp; 6665845 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/45 | &nbsp;&nbsp;&nbsp; 16270 | &nbsp;&nbsp; 15498693 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/45 | &nbsp;&nbsp;&nbsp; 14512 | &nbsp;&nbsp; 13885659 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/45 | &nbsp;&nbsp;&nbsp; 3743 | &nbsp;&nbsp; 3571591 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/45 | &nbsp;&nbsp;&nbsp; 6705 | &nbsp;&nbsp; 6372138 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/45 | &nbsp;&nbsp;&nbsp; 5478 | &nbsp;&nbsp; 5169737 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/46 | &nbsp;&nbsp;&nbsp; 15884 | &nbsp;&nbsp; 15145143 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/46 | &nbsp;&nbsp;&nbsp; 25796 | &nbsp;&nbsp; 24345410 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/46 | &nbsp;&nbsp;&nbsp; 7611 | &nbsp;&nbsp; 7188995 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/46 | &nbsp;&nbsp;&nbsp; 11206 | &nbsp;&nbsp; 10666083 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/46 | &nbsp;&nbsp;&nbsp; 3671 | &nbsp;&nbsp; 3457091 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/46 | &nbsp;&nbsp;&nbsp; 7283 | &nbsp;&nbsp; 6881365 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/46 | &nbsp;&nbsp;&nbsp; 83493 | &nbsp;&nbsp; 79682906 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/46 | &nbsp;&nbsp;&nbsp; 2702 | &nbsp;&nbsp; 2555373 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/46 | &nbsp;&nbsp;&nbsp; 7621 | &nbsp;&nbsp; 7158013 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/46 | &nbsp;&nbsp;&nbsp; 13347 | &nbsp;&nbsp; 12628970 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/46 | &nbsp;&nbsp;&nbsp; 14903 | &nbsp;&nbsp; 14062818 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/46 | &nbsp;&nbsp;&nbsp; 39776 | &nbsp;&nbsp; 37716269 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/47 | &nbsp;&nbsp;&nbsp; 26089 | &nbsp;&nbsp; 24659944 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/47 | &nbsp;&nbsp;&nbsp; 16068 | &nbsp;&nbsp; 15148462 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/47 | &nbsp;&nbsp;&nbsp; 1758 | &nbsp;&nbsp; 1670114 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/47 | &nbsp;&nbsp;&nbsp; 6267 | &nbsp;&nbsp; 5909217 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/47 | &nbsp;&nbsp;&nbsp; 16341 | &nbsp;&nbsp; 15472438 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/47 | &nbsp;&nbsp;&nbsp; 4024 | &nbsp;&nbsp; 3804655 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/47 | &nbsp;&nbsp;&nbsp; 41174 | &nbsp;&nbsp; 39257106 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/47 | &nbsp;&nbsp;&nbsp; 32836 | &nbsp;&nbsp; 31023501 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/47 | &nbsp;&nbsp;&nbsp; 27459 | &nbsp;&nbsp; 25928845 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/47 | &nbsp;&nbsp;&nbsp; 7716 | &nbsp;&nbsp; 7276366 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/47 | &nbsp;&nbsp;&nbsp; 17759 | &nbsp;&nbsp; 16731558 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/47 | &nbsp;&nbsp;&nbsp; 28297 | &nbsp;&nbsp; 26710754 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/48 | &nbsp;&nbsp;&nbsp; 38902 | &nbsp;&nbsp; 36611392 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/48 | &nbsp;&nbsp;&nbsp; 24718 | &nbsp;&nbsp; 23289959 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/48 | &nbsp;&nbsp;&nbsp; 21651 | &nbsp;&nbsp; 20476103 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/48 | &nbsp;&nbsp;&nbsp; 8160 | &nbsp;&nbsp; 7691017 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/48 | &nbsp;&nbsp;&nbsp; 37055 | &nbsp;&nbsp; 35418301 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/48 | &nbsp;&nbsp;&nbsp; 5495 | &nbsp;&nbsp; 5172131 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/48 | &nbsp;&nbsp;&nbsp; 13391 | &nbsp;&nbsp; 12619416 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/48 | &nbsp;&nbsp;&nbsp; $883 | &nbsp;&nbsp; $823931 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/48 | &nbsp;&nbsp;&nbsp; 1112 | &nbsp;&nbsp; 1045515 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/48 | &nbsp;&nbsp;&nbsp; 26009 | &nbsp;&nbsp; 24584322 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/49 | &nbsp;&nbsp;&nbsp; 4456 | &nbsp;&nbsp; 4195757 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/49 | &nbsp;&nbsp;&nbsp; 3640 | &nbsp;&nbsp; 3419669 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/49 | &nbsp;&nbsp;&nbsp; 2645 | &nbsp;&nbsp; 2469691 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/49 | &nbsp;&nbsp;&nbsp; 5460 | &nbsp;&nbsp; 5088590 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/49 | &nbsp;&nbsp;&nbsp; 28800 | &nbsp;&nbsp; 27064677 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/49 | &nbsp;&nbsp;&nbsp; 70225 | &nbsp;&nbsp; 66151208 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/49 | &nbsp;&nbsp;&nbsp; 59316 | &nbsp;&nbsp; 55703722 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/49 | &nbsp;&nbsp;&nbsp; 15767 | &nbsp;&nbsp; 14650327 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/49 | &nbsp;&nbsp;&nbsp; 1101 | &nbsp;&nbsp; 1031072 |
| &nbsp;&nbsp;&nbsp; 3.50%, 11/01/49 | &nbsp;&nbsp;&nbsp; 10096 | &nbsp;&nbsp; 9507441 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/49 | &nbsp;&nbsp;&nbsp; 18409 | &nbsp;&nbsp; 17254434 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/50 | &nbsp;&nbsp;&nbsp; 6917 | &nbsp;&nbsp; 6500165 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/50 | &nbsp;&nbsp;&nbsp; 7253 | &nbsp;&nbsp; 6805147 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/50 | &nbsp;&nbsp;&nbsp; 4396 | &nbsp;&nbsp; 4150390 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/50 | &nbsp;&nbsp;&nbsp; 16591 | &nbsp;&nbsp; 15572055 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/50 | &nbsp;&nbsp;&nbsp; 3807 | &nbsp;&nbsp; 3590985 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/50 | &nbsp;&nbsp;&nbsp; 25486 | &nbsp;&nbsp; 23970742 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/50 | &nbsp;&nbsp;&nbsp; 3317 | &nbsp;&nbsp; 3124042 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/50 | &nbsp;&nbsp;&nbsp; 43828 | &nbsp;&nbsp; 41199441 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/50 | &nbsp;&nbsp;&nbsp; 35103 | &nbsp;&nbsp; 32838253 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/50 | &nbsp;&nbsp;&nbsp; 1707 | &nbsp;&nbsp; 1610378 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/50 | &nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp; 154775 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/51 | &nbsp;&nbsp;&nbsp; 27444 | &nbsp;&nbsp; 25776783 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/51 | &nbsp;&nbsp;&nbsp; 787 | &nbsp;&nbsp; 731073 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/51 | &nbsp;&nbsp;&nbsp; 3865 | &nbsp;&nbsp; 3629956 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/51 | &nbsp;&nbsp;&nbsp; 10354 | &nbsp;&nbsp; 9666826 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/51 | &nbsp;&nbsp;&nbsp; 8548 | &nbsp;&nbsp; 7940393 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/51 | &nbsp;&nbsp;&nbsp; 1110 | &nbsp;&nbsp; 1033430 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/51 | &nbsp;&nbsp;&nbsp; 6128 | &nbsp;&nbsp; 5706318 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/51 | &nbsp;&nbsp;&nbsp; 4418 | &nbsp;&nbsp; 4111571 |
| &nbsp;&nbsp;&nbsp; 3.50%, 10/01/51 | &nbsp;&nbsp;&nbsp; 54047 | &nbsp;&nbsp; 50772122 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/51 | &nbsp;&nbsp;&nbsp; 14602 | &nbsp;&nbsp; 13590391 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/52 | &nbsp;&nbsp;&nbsp; 33158 | &nbsp;&nbsp; 30973899 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/52 | &nbsp;&nbsp;&nbsp; 34527 | &nbsp;&nbsp; 32110441 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/52 | &nbsp;&nbsp;&nbsp; 14531 | &nbsp;&nbsp; 13483603 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/52 | &nbsp;&nbsp;&nbsp; 42784 | &nbsp;&nbsp; 39985431 |
| &nbsp;&nbsp;&nbsp; 3.50%, 05/01/52 | &nbsp;&nbsp;&nbsp; 39402 | &nbsp;&nbsp; 36622200 |
| &nbsp;&nbsp;&nbsp; 3.50%, 06/01/52 | &nbsp;&nbsp;&nbsp; 94161 | &nbsp;&nbsp; 87880021 |
| &nbsp;&nbsp;&nbsp; 3.50%, 07/01/52 | &nbsp;&nbsp;&nbsp; 7020 | &nbsp;&nbsp; 6542842 |
| &nbsp;&nbsp;&nbsp; 3.50%, 08/01/52 | &nbsp;&nbsp;&nbsp; 83964 | &nbsp;&nbsp; 78305270 |
| &nbsp;&nbsp;&nbsp; 3.50%, 09/01/52 | &nbsp;&nbsp;&nbsp; 50313 | &nbsp;&nbsp; 47001026 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/01/52 | &nbsp;&nbsp;&nbsp; 48011 | &nbsp;&nbsp; 44517997 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/53 | &nbsp;&nbsp;&nbsp; 12255 | &nbsp;&nbsp; 11458163 |
| &nbsp;&nbsp;&nbsp; 3.50%, 04/01/53 | &nbsp;&nbsp;&nbsp; 8642 | &nbsp;&nbsp; 8079805 |
| &nbsp;&nbsp;&nbsp; 3.50%, 12/11/55 | &nbsp;&nbsp;&nbsp; 96198 | &nbsp;&nbsp; 88968311 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/26 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 3701 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 202 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 671 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/26 | &nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp; 106921 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/26 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4585 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/26 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1019 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/26 | &nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp; 90683 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/27 | &nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp; 53122 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/27 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 496 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/29 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2676 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/30 | &nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp; 339328 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/31 | &nbsp;&nbsp;&nbsp; 215 | &nbsp;&nbsp; 214166 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/31 | &nbsp;&nbsp;&nbsp; $149 | &nbsp;&nbsp; $148932 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/31 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5923 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/31 | &nbsp;&nbsp;&nbsp; 518 | &nbsp;&nbsp; 517485 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/32 | &nbsp;&nbsp;&nbsp; 1347 | &nbsp;&nbsp; 1345336 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/32 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3407 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/32 | &nbsp;&nbsp;&nbsp; 674 | &nbsp;&nbsp; 673511 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/32 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3383 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/32 | &nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp; 167963 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/32 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8655 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/33 | &nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp; 62228 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/33 | &nbsp;&nbsp;&nbsp; 441 | &nbsp;&nbsp; 439893 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/33 | &nbsp;&nbsp;&nbsp; 661 | &nbsp;&nbsp; 659857 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/33 | &nbsp;&nbsp;&nbsp; 1082 | &nbsp;&nbsp; 1079753 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 585 | &nbsp;&nbsp; 584443 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp; 36068 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/33 | &nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp; 30170 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/34 | &nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp; 183025 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/34 | &nbsp;&nbsp;&nbsp; 416 | &nbsp;&nbsp; 415087 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/34 | &nbsp;&nbsp;&nbsp; 334 | &nbsp;&nbsp; 332812 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/34 | &nbsp;&nbsp;&nbsp; 357 | &nbsp;&nbsp; 355885 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/34 | &nbsp;&nbsp;&nbsp; 903 | &nbsp;&nbsp; 900205 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/34 | &nbsp;&nbsp;&nbsp; 788 | &nbsp;&nbsp; 786423 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/34 | &nbsp;&nbsp;&nbsp; 458 | &nbsp;&nbsp; 456320 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/34 | &nbsp;&nbsp;&nbsp; 2959 | &nbsp;&nbsp; 2951675 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/34 | &nbsp;&nbsp;&nbsp; 673 | &nbsp;&nbsp; 671706 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/35 | &nbsp;&nbsp;&nbsp; 998 | &nbsp;&nbsp; 991383 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/35 | &nbsp;&nbsp;&nbsp; 2299 | &nbsp;&nbsp; 2294060 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10365 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/37 | &nbsp;&nbsp;&nbsp; 2105 | &nbsp;&nbsp; 2085007 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/37 | &nbsp;&nbsp;&nbsp; 5906 | &nbsp;&nbsp; 5852029 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/37 | &nbsp;&nbsp;&nbsp; 7890 | &nbsp;&nbsp; 7816523 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/37 | &nbsp;&nbsp;&nbsp; 13217 | &nbsp;&nbsp; 13099006 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/37 | &nbsp;&nbsp;&nbsp; 8357 | &nbsp;&nbsp; 8280466 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/38 | &nbsp;&nbsp;&nbsp; 1777 | &nbsp;&nbsp; 1760923 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 1519 | &nbsp;&nbsp; 1505411 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/38 | &nbsp;&nbsp;&nbsp; 3426 | &nbsp;&nbsp; 3390987 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/38 | &nbsp;&nbsp;&nbsp; 1044 | &nbsp;&nbsp; 1030862 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/38 | &nbsp;&nbsp;&nbsp; 2399 | &nbsp;&nbsp; 2370340 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/38 | &nbsp;&nbsp;&nbsp; 1398 | &nbsp;&nbsp; 1381307 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/38 | &nbsp;&nbsp;&nbsp; 4922 | &nbsp;&nbsp; 4862236 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/38 | &nbsp;&nbsp;&nbsp; 1054 | &nbsp;&nbsp; 1040839 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/38 | &nbsp;&nbsp;&nbsp; 803 | &nbsp;&nbsp; 793672 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/39 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10663 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/39 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 23513 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/39 | &nbsp;&nbsp;&nbsp; 321 | &nbsp;&nbsp; 315789 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/39 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12480 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/39 | &nbsp;&nbsp;&nbsp; 212 | &nbsp;&nbsp; 208328 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/39 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 18787 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/39 | &nbsp;&nbsp;&nbsp; 395 | &nbsp;&nbsp; 389788 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/39 | &nbsp;&nbsp;&nbsp; 38204 | &nbsp;&nbsp; 37703792 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/39 | &nbsp;&nbsp;&nbsp; 47306 | &nbsp;&nbsp; 46686307 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/15/39<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 18900 | &nbsp;&nbsp; 18642563 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/40 | &nbsp;&nbsp;&nbsp; 13067 | &nbsp;&nbsp; 12895517 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/40 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13220 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/40 | &nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp; 28466 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/40 | &nbsp;&nbsp;&nbsp; 724 | &nbsp;&nbsp; 713389 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/40 | &nbsp;&nbsp;&nbsp; 637 | &nbsp;&nbsp; 626488 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/40 | &nbsp;&nbsp;&nbsp; 276 | &nbsp;&nbsp; 272068 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/40 | &nbsp;&nbsp;&nbsp; 3872 | &nbsp;&nbsp; 3811559 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/40 | &nbsp;&nbsp;&nbsp; 1469 | &nbsp;&nbsp; 1447134 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/41 | &nbsp;&nbsp;&nbsp; $7248 | &nbsp;&nbsp; $7134866 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/41 | &nbsp;&nbsp;&nbsp; 686 | &nbsp;&nbsp; 675040 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/41 | &nbsp;&nbsp;&nbsp; 549 | &nbsp;&nbsp; 540753 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/41 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 26959 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/41 | &nbsp;&nbsp;&nbsp; 871 | &nbsp;&nbsp; 857868 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/41 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1225 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/41 | &nbsp;&nbsp;&nbsp; 1630 | &nbsp;&nbsp; 1606479 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/41 | &nbsp;&nbsp;&nbsp; 2083 | &nbsp;&nbsp; 2051579 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/41 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp; 98029 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/41 | &nbsp;&nbsp;&nbsp; 618 | &nbsp;&nbsp; 609766 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/42 | &nbsp;&nbsp;&nbsp; 864 | &nbsp;&nbsp; 851289 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/42 | &nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp; 144678 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/42 | &nbsp;&nbsp;&nbsp; 4048 | &nbsp;&nbsp; 3980848 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/42 | &nbsp;&nbsp;&nbsp; 692 | &nbsp;&nbsp; 678450 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/42 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 26583 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/42 | &nbsp;&nbsp;&nbsp; 299 | &nbsp;&nbsp; 293983 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/42 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1898 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/42 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3829 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/42 | &nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp; 53234 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/43 | &nbsp;&nbsp;&nbsp; 1341 | &nbsp;&nbsp; 1319762 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/43 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14100 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/43 | &nbsp;&nbsp;&nbsp; 896 | &nbsp;&nbsp; 880475 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/43 | &nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp; 119129 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/43 | &nbsp;&nbsp;&nbsp; 236 | &nbsp;&nbsp; 231598 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/43 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3832 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/44 | &nbsp;&nbsp;&nbsp; 685 | &nbsp;&nbsp; 673141 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/44 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7738 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/44 | &nbsp;&nbsp;&nbsp; 824 | &nbsp;&nbsp; 809644 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/44 | &nbsp;&nbsp;&nbsp; 802 | &nbsp;&nbsp; 786383 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/44 | &nbsp;&nbsp;&nbsp; 7222 | &nbsp;&nbsp; 7105324 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/44 | &nbsp;&nbsp;&nbsp; 2076 | &nbsp;&nbsp; 2043793 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/44 | &nbsp;&nbsp;&nbsp; 5802 | &nbsp;&nbsp; 5697234 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/44 | &nbsp;&nbsp;&nbsp; 156 | &nbsp;&nbsp; 151715 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/44 | &nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp; 115692 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/44 | &nbsp;&nbsp;&nbsp; 10073 | &nbsp;&nbsp; 9872768 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/44 | &nbsp;&nbsp;&nbsp; 3749 | &nbsp;&nbsp; 3669604 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/44 | &nbsp;&nbsp;&nbsp; 2037 | &nbsp;&nbsp; 1983298 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/45 | &nbsp;&nbsp;&nbsp; 7098 | &nbsp;&nbsp; 6960255 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/45 | &nbsp;&nbsp;&nbsp; 5745 | &nbsp;&nbsp; 5637065 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/45 | &nbsp;&nbsp;&nbsp; 9449 | &nbsp;&nbsp; 9274661 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/45 | &nbsp;&nbsp;&nbsp; 721 | &nbsp;&nbsp; 702455 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/45 | &nbsp;&nbsp;&nbsp; 5191 | &nbsp;&nbsp; 5086493 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/45 | &nbsp;&nbsp;&nbsp; 10215 | &nbsp;&nbsp; 10011108 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/45 | &nbsp;&nbsp;&nbsp; 264 | &nbsp;&nbsp; 257111 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/45 | &nbsp;&nbsp;&nbsp; 10395 | &nbsp;&nbsp; 10131084 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/45 | &nbsp;&nbsp;&nbsp; 2428 | &nbsp;&nbsp; 2371233 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/45 | &nbsp;&nbsp;&nbsp; 5771 | &nbsp;&nbsp; 5626813 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/45 | &nbsp;&nbsp;&nbsp; 631 | &nbsp;&nbsp; 614147 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/46 | &nbsp;&nbsp;&nbsp; 1634 | &nbsp;&nbsp; 1592556 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/46 | &nbsp;&nbsp;&nbsp; 3034 | &nbsp;&nbsp; 2963202 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/46 | &nbsp;&nbsp;&nbsp; 7976 | &nbsp;&nbsp; 7781200 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/46 | &nbsp;&nbsp;&nbsp; 4897 | &nbsp;&nbsp; 4764263 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/46 | &nbsp;&nbsp;&nbsp; 6555 | &nbsp;&nbsp; 6374087 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/46 | &nbsp;&nbsp;&nbsp; 11297 | &nbsp;&nbsp; 11061227 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/46 | &nbsp;&nbsp;&nbsp; 1126 | &nbsp;&nbsp; 1093993 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/46 | &nbsp;&nbsp;&nbsp; 6308 | &nbsp;&nbsp; 6142087 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/46 | &nbsp;&nbsp;&nbsp; 10681 | &nbsp;&nbsp; 10431996 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/46 | &nbsp;&nbsp;&nbsp; 2206 | &nbsp;&nbsp; 2161345 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/46 | &nbsp;&nbsp;&nbsp; 15540 | &nbsp;&nbsp; 15195912 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/47 | &nbsp;&nbsp;&nbsp; 3310 | &nbsp;&nbsp; 3221929 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/47 | &nbsp;&nbsp;&nbsp; 2375 | &nbsp;&nbsp; 2313112 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/47 | &nbsp;&nbsp;&nbsp; $6502 | &nbsp;&nbsp; $6327646 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/47 | &nbsp;&nbsp;&nbsp; 20407 | &nbsp;&nbsp; 19796993 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/47 | &nbsp;&nbsp;&nbsp; 8374 | &nbsp;&nbsp; 8143341 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/47 | &nbsp;&nbsp;&nbsp; 29062 | &nbsp;&nbsp; 28265684 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/47 | &nbsp;&nbsp;&nbsp; 10647 | &nbsp;&nbsp; 10349652 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/47 | &nbsp;&nbsp;&nbsp; 19378 | &nbsp;&nbsp; 18803485 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/47 | &nbsp;&nbsp;&nbsp; 21505 | &nbsp;&nbsp; 20884213 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/47 | &nbsp;&nbsp;&nbsp; 21890 | &nbsp;&nbsp; 21207101 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/47 | &nbsp;&nbsp;&nbsp; 18037 | &nbsp;&nbsp; 17541741 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/47 | &nbsp;&nbsp;&nbsp; 7120 | &nbsp;&nbsp; 6923877 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/48 | &nbsp;&nbsp;&nbsp; 7252 | &nbsp;&nbsp; 7028845 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/48 | &nbsp;&nbsp;&nbsp; 31336 | &nbsp;&nbsp; 30405713 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/48 | &nbsp;&nbsp;&nbsp; 2362 | &nbsp;&nbsp; 2288769 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/48 | &nbsp;&nbsp;&nbsp; 13570 | &nbsp;&nbsp; 13144290 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/48 | &nbsp;&nbsp;&nbsp; 4867 | &nbsp;&nbsp; 4695448 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/48 | &nbsp;&nbsp;&nbsp; 2305 | &nbsp;&nbsp; 2238151 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/48 | &nbsp;&nbsp;&nbsp; 8495 | &nbsp;&nbsp; 8238432 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/48 | &nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp; 3396813 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/48 | &nbsp;&nbsp;&nbsp; 14381 | &nbsp;&nbsp; 13899397 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/48 | &nbsp;&nbsp;&nbsp; 20841 | &nbsp;&nbsp; 20087241 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/48 | &nbsp;&nbsp;&nbsp; 25879 | &nbsp;&nbsp; 25009328 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/48 | &nbsp;&nbsp;&nbsp; 9171 | &nbsp;&nbsp; 8897350 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/49 | &nbsp;&nbsp;&nbsp; 24391 | &nbsp;&nbsp; 23685011 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/49 | &nbsp;&nbsp;&nbsp; 5328 | &nbsp;&nbsp; 5157967 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/49 | &nbsp;&nbsp;&nbsp; 24358 | &nbsp;&nbsp; 23501877 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/49 | &nbsp;&nbsp;&nbsp; 22939 | &nbsp;&nbsp; 22184224 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/49 | &nbsp;&nbsp;&nbsp; 14703 | &nbsp;&nbsp; 14302876 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/49 | &nbsp;&nbsp;&nbsp; 29940 | &nbsp;&nbsp; 28998791 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/49 | &nbsp;&nbsp;&nbsp; 19644 | &nbsp;&nbsp; 19166664 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/49 | &nbsp;&nbsp;&nbsp; 547 | &nbsp;&nbsp; 527672 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/49 | &nbsp;&nbsp;&nbsp; 20905 | &nbsp;&nbsp; 20270365 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/49 | &nbsp;&nbsp;&nbsp; 17697 | &nbsp;&nbsp; 17268984 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/49 | &nbsp;&nbsp;&nbsp; 40298 | &nbsp;&nbsp; 38715395 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/49 | &nbsp;&nbsp;&nbsp; 16783 | &nbsp;&nbsp; 16255059 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/50 | &nbsp;&nbsp;&nbsp; 22924 | &nbsp;&nbsp; 22153142 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/50 | &nbsp;&nbsp;&nbsp; 1139 | &nbsp;&nbsp; 1101569 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/50 | &nbsp;&nbsp;&nbsp; 3125 | &nbsp;&nbsp; 3012066 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/50 | &nbsp;&nbsp;&nbsp; 7541 | &nbsp;&nbsp; 7289814 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/50 | &nbsp;&nbsp;&nbsp; 12703 | &nbsp;&nbsp; 12246923 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/50 | &nbsp;&nbsp;&nbsp; 1460 | &nbsp;&nbsp; 1402427 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/50 | &nbsp;&nbsp;&nbsp; 632 | &nbsp;&nbsp; 610089 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/50 | &nbsp;&nbsp;&nbsp; 9480 | &nbsp;&nbsp; 9145343 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/50 | &nbsp;&nbsp;&nbsp; 6884 | &nbsp;&nbsp; 6627934 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/51 | &nbsp;&nbsp;&nbsp; 651 | &nbsp;&nbsp; 627619 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/51 | &nbsp;&nbsp;&nbsp; 727 | &nbsp;&nbsp; 701217 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/51 | &nbsp;&nbsp;&nbsp; 18395 | &nbsp;&nbsp; 17773949 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/51 | &nbsp;&nbsp;&nbsp; 18467 | &nbsp;&nbsp; 17813898 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/51 | &nbsp;&nbsp;&nbsp; 13500 | &nbsp;&nbsp; 13006384 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/51 | &nbsp;&nbsp;&nbsp; 6899 | &nbsp;&nbsp; 6655029 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/51 | &nbsp;&nbsp;&nbsp; 7929 | &nbsp;&nbsp; 7643941 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/51 | &nbsp;&nbsp;&nbsp; 1684 | &nbsp;&nbsp; 1620719 |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/52 | &nbsp;&nbsp;&nbsp; 2379 | &nbsp;&nbsp; 2272842 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/52 | &nbsp;&nbsp;&nbsp; 29753 | &nbsp;&nbsp; 28598867 |
| &nbsp;&nbsp;&nbsp; 4.00%, 06/01/52 | &nbsp;&nbsp;&nbsp; 103793 | &nbsp;&nbsp; 99976244 |
| &nbsp;&nbsp;&nbsp; 4.00%, 07/01/52 | &nbsp;&nbsp;&nbsp; 24929 | &nbsp;&nbsp; 23980669 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/52 | &nbsp;&nbsp;&nbsp; 102250 | &nbsp;&nbsp; 98056223 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/52 | &nbsp;&nbsp;&nbsp; 13338 | &nbsp;&nbsp; 12796301 |
| &nbsp;&nbsp;&nbsp; 4.00%, 10/01/52 | &nbsp;&nbsp;&nbsp; 76192 | &nbsp;&nbsp; 73053105 |
| &nbsp;&nbsp;&nbsp; 4.00%, 11/01/52 | &nbsp;&nbsp;&nbsp; 25881 | &nbsp;&nbsp; 24793693 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/52 | &nbsp;&nbsp;&nbsp; 11825 | &nbsp;&nbsp; 11313658 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/53 | &nbsp;&nbsp;&nbsp; 2221 | &nbsp;&nbsp; 2141583 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/53 | &nbsp;&nbsp;&nbsp; $70416 | &nbsp;&nbsp; $67939666 |
| &nbsp;&nbsp;&nbsp; 4.00%, 03/01/53 | &nbsp;&nbsp;&nbsp; 18459 | &nbsp;&nbsp; 17655218 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/01/53 | &nbsp;&nbsp;&nbsp; 15417 | &nbsp;&nbsp; 14801783 |
| &nbsp;&nbsp;&nbsp; 4.00%, 05/01/53 | &nbsp;&nbsp;&nbsp; 50704 | &nbsp;&nbsp; 48634375 |
| &nbsp;&nbsp;&nbsp; 4.00%, 09/01/53 | &nbsp;&nbsp;&nbsp; 10197 | &nbsp;&nbsp; 9796298 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/01/53 | &nbsp;&nbsp;&nbsp; 22447 | &nbsp;&nbsp; 21416700 |
| &nbsp;&nbsp;&nbsp; 4.00%, 12/11/55 | &nbsp;&nbsp;&nbsp; 98700 | &nbsp;&nbsp; 93995533 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 182 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/26 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5869 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/27 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6101 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 180 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; 752 | &nbsp;&nbsp; 758350 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 265 | &nbsp;&nbsp; 268125 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/33 | &nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp; 29875 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/33 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 19001 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4206 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/33 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9621 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/33 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 14762 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/33 | &nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp; 195027 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/34 | &nbsp;&nbsp;&nbsp; 868 | &nbsp;&nbsp; 879356 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/34 | &nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp; 247191 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1246 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 413 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/34 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4783 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/34 | &nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp; 66996 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/34 | &nbsp;&nbsp;&nbsp; 743 | &nbsp;&nbsp; 748929 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/34 | &nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp; 76472 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1164 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/35 | &nbsp;&nbsp;&nbsp; 709 | &nbsp;&nbsp; 715234 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 278 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1185 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 145 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 296 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 704 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/35 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4806 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/35 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1160 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/35 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 22699 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 295 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1286 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2196 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2123 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 413 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/38 | &nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp; 95215 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/38 | &nbsp;&nbsp;&nbsp; 4028 | &nbsp;&nbsp; 4047754 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 959 | &nbsp;&nbsp; 963045 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/38 | &nbsp;&nbsp;&nbsp; 14513 | &nbsp;&nbsp; 14582064 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/38 | &nbsp;&nbsp;&nbsp; 7930 | &nbsp;&nbsp; 7995436 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2190 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/39 | &nbsp;&nbsp;&nbsp; 4279 | &nbsp;&nbsp; 4298783 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 265 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/39 | &nbsp;&nbsp;&nbsp; 514 | &nbsp;&nbsp; 519010 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/39 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp; 33448 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/39 | &nbsp;&nbsp;&nbsp; 1024 | &nbsp;&nbsp; 1034041 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/39 | &nbsp;&nbsp;&nbsp; 1522 | &nbsp;&nbsp; 1528211 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/39 | &nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp; 109087 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/39 | &nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp; 119786 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/39 | &nbsp;&nbsp;&nbsp; 1729 | &nbsp;&nbsp; 1743923 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/39 | &nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp; 51847 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/39 | &nbsp;&nbsp;&nbsp; 3716 | &nbsp;&nbsp; 3748936 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/39 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 21879 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/39 | &nbsp;&nbsp;&nbsp; 13838 | &nbsp;&nbsp; 13848126 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/40 | &nbsp;&nbsp;&nbsp; $1183 | &nbsp;&nbsp; $1192056 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/40 | &nbsp;&nbsp;&nbsp; 215 | &nbsp;&nbsp; 218049 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/40 | &nbsp;&nbsp;&nbsp; 184 | &nbsp;&nbsp; 184996 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/40 | &nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp; 75321 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/40 | &nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp; 111432 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/40 | &nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp; 20052 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/40 | &nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp; 37747 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/40 | &nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp; 91575 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/40 | &nbsp;&nbsp;&nbsp; 1534 | &nbsp;&nbsp; 1544606 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/40 | &nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp; 201902 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/40 | &nbsp;&nbsp;&nbsp; 1553 | &nbsp;&nbsp; 1564152 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/41 | &nbsp;&nbsp;&nbsp; 1518 | &nbsp;&nbsp; 1528365 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/41 | &nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp; 293807 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/41 | &nbsp;&nbsp;&nbsp; 1604 | &nbsp;&nbsp; 1614669 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/41 | &nbsp;&nbsp;&nbsp; 10514 | &nbsp;&nbsp; 10581547 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/41 | &nbsp;&nbsp;&nbsp; 9387 | &nbsp;&nbsp; 9444845 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/41 | &nbsp;&nbsp;&nbsp; 3801 | &nbsp;&nbsp; 3825345 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/41 | &nbsp;&nbsp;&nbsp; 236 | &nbsp;&nbsp; 237750 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/41 | &nbsp;&nbsp;&nbsp; 2532 | &nbsp;&nbsp; 2546309 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/41 | &nbsp;&nbsp;&nbsp; 3893 | &nbsp;&nbsp; 3920536 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/41 | &nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp; 72971 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/41 | &nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp; 211016 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/41 | &nbsp;&nbsp;&nbsp; 1925 | &nbsp;&nbsp; 1939633 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/42 | &nbsp;&nbsp;&nbsp; 2036 | &nbsp;&nbsp; 2047056 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/42 | &nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp; 78462 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/42 | &nbsp;&nbsp;&nbsp; 2116 | &nbsp;&nbsp; 2128210 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/42 | &nbsp;&nbsp;&nbsp; 1120 | &nbsp;&nbsp; 1125476 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/42 | &nbsp;&nbsp;&nbsp; 1400 | &nbsp;&nbsp; 1409703 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/43 | &nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp; 106946 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/43 | &nbsp;&nbsp;&nbsp; 1913 | &nbsp;&nbsp; 1926203 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/43 | &nbsp;&nbsp;&nbsp; 565 | &nbsp;&nbsp; 567634 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/43 | &nbsp;&nbsp;&nbsp; 1599 | &nbsp;&nbsp; 1603410 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/43 | &nbsp;&nbsp;&nbsp; 974 | &nbsp;&nbsp; 980125 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/44 | &nbsp;&nbsp;&nbsp; 209 | &nbsp;&nbsp; 208764 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/44 | &nbsp;&nbsp;&nbsp; 385 | &nbsp;&nbsp; 386568 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/44 | &nbsp;&nbsp;&nbsp; 5476 | &nbsp;&nbsp; 5508134 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/44 | &nbsp;&nbsp;&nbsp; 7580 | &nbsp;&nbsp; 7629503 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/44 | &nbsp;&nbsp;&nbsp; 408 | &nbsp;&nbsp; 410538 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/44 | &nbsp;&nbsp;&nbsp; 1094 | &nbsp;&nbsp; 1098343 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/44 | &nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp; 144675 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/44 | &nbsp;&nbsp;&nbsp; 805 | &nbsp;&nbsp; 808342 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/44 | &nbsp;&nbsp;&nbsp; 4662 | &nbsp;&nbsp; 4676720 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/44 | &nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp; 151988 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/44 | &nbsp;&nbsp;&nbsp; 7543 | &nbsp;&nbsp; 7583140 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/44 | &nbsp;&nbsp;&nbsp; 5425 | &nbsp;&nbsp; 5451167 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/45 | &nbsp;&nbsp;&nbsp; 661 | &nbsp;&nbsp; 663877 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/45 | &nbsp;&nbsp;&nbsp; 6692 | &nbsp;&nbsp; 6717691 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/45 | &nbsp;&nbsp;&nbsp; 844 | &nbsp;&nbsp; 846329 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/45 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4239 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/45 | &nbsp;&nbsp;&nbsp; 1663 | &nbsp;&nbsp; 1670359 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/45 | &nbsp;&nbsp;&nbsp; 274 | &nbsp;&nbsp; 275023 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/45 | &nbsp;&nbsp;&nbsp; 4131 | &nbsp;&nbsp; 4151867 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/45 | &nbsp;&nbsp;&nbsp; 324 | &nbsp;&nbsp; 324586 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/45 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp; 100173 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/46 | &nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp; 76471 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/46 | &nbsp;&nbsp;&nbsp; 5168 | &nbsp;&nbsp; 5195582 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/46 | &nbsp;&nbsp;&nbsp; 15635 | &nbsp;&nbsp; 15746696 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/46 | &nbsp;&nbsp;&nbsp; 3751 | &nbsp;&nbsp; 3759381 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/46 | &nbsp;&nbsp;&nbsp; 676 | &nbsp;&nbsp; 675934 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/46 | &nbsp;&nbsp;&nbsp; 860 | &nbsp;&nbsp; 865153 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/46 | &nbsp;&nbsp;&nbsp; 756 | &nbsp;&nbsp; 754708 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/46 | &nbsp;&nbsp;&nbsp; $4949 | &nbsp;&nbsp; $4955976 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/46 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 469 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/46 | &nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp; 136044 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/46 | &nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp; 598480 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/46 | &nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp; 66679 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/46 | &nbsp;&nbsp;&nbsp; 382 | &nbsp;&nbsp; 381287 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/47 | &nbsp;&nbsp;&nbsp; 513 | &nbsp;&nbsp; 512445 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/47 | &nbsp;&nbsp;&nbsp; 347 | &nbsp;&nbsp; 345448 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/47 | &nbsp;&nbsp;&nbsp; 937 | &nbsp;&nbsp; 934393 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/47 | &nbsp;&nbsp;&nbsp; 10562 | &nbsp;&nbsp; 10580379 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/47 | &nbsp;&nbsp;&nbsp; 1301 | &nbsp;&nbsp; 1298780 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/47 | &nbsp;&nbsp;&nbsp; 6420 | &nbsp;&nbsp; 6398194 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/47 | &nbsp;&nbsp;&nbsp; 1742 | &nbsp;&nbsp; 1734315 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/47 | &nbsp;&nbsp;&nbsp; 3549 | &nbsp;&nbsp; 3545121 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/47 | &nbsp;&nbsp;&nbsp; 2763 | &nbsp;&nbsp; 2754573 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/47 | &nbsp;&nbsp;&nbsp; 5113 | &nbsp;&nbsp; 5098695 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/47 | &nbsp;&nbsp;&nbsp; 1698 | &nbsp;&nbsp; 1692801 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/47 | &nbsp;&nbsp;&nbsp; 588 | &nbsp;&nbsp; 586223 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/48 | &nbsp;&nbsp;&nbsp; 1299 | &nbsp;&nbsp; 1294732 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/48 | &nbsp;&nbsp;&nbsp; 3932 | &nbsp;&nbsp; 3920700 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/48 | &nbsp;&nbsp;&nbsp; 438 | &nbsp;&nbsp; 437558 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/48 | &nbsp;&nbsp;&nbsp; 8920 | &nbsp;&nbsp; 8874633 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/48 | &nbsp;&nbsp;&nbsp; 3936 | &nbsp;&nbsp; 3919047 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/48 | &nbsp;&nbsp;&nbsp; 2804 | &nbsp;&nbsp; 2789653 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/48 | &nbsp;&nbsp;&nbsp; 2916 | &nbsp;&nbsp; 2899103 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/48 | &nbsp;&nbsp;&nbsp; 22438 | &nbsp;&nbsp; 22331989 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/48 | &nbsp;&nbsp;&nbsp; 8963 | &nbsp;&nbsp; 8923574 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/48 | &nbsp;&nbsp;&nbsp; 11455 | &nbsp;&nbsp; 11396127 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/48 | &nbsp;&nbsp;&nbsp; 6542 | &nbsp;&nbsp; 6510716 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/48 | &nbsp;&nbsp;&nbsp; 30956 | &nbsp;&nbsp; 30799904 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/49 | &nbsp;&nbsp;&nbsp; 13817 | &nbsp;&nbsp; 13750651 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/49 | &nbsp;&nbsp;&nbsp; 12066 | &nbsp;&nbsp; 12005949 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/49 | &nbsp;&nbsp;&nbsp; 7368 | &nbsp;&nbsp; 7316069 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/49 | &nbsp;&nbsp;&nbsp; 7693 | &nbsp;&nbsp; 7655622 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/49 | &nbsp;&nbsp;&nbsp; 9012 | &nbsp;&nbsp; 8963906 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/49 | &nbsp;&nbsp;&nbsp; 1510 | &nbsp;&nbsp; 1500233 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/49 | &nbsp;&nbsp;&nbsp; 2793 | &nbsp;&nbsp; 2774359 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/49 | &nbsp;&nbsp;&nbsp; 1755 | &nbsp;&nbsp; 1741690 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/49 | &nbsp;&nbsp;&nbsp; 5102 | &nbsp;&nbsp; 5069619 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/49 | &nbsp;&nbsp;&nbsp; 1707 | &nbsp;&nbsp; 1695841 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/49 | &nbsp;&nbsp;&nbsp; 17629 | &nbsp;&nbsp; 17564975 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/49 | &nbsp;&nbsp;&nbsp; 9118 | &nbsp;&nbsp; 9098613 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/50 | &nbsp;&nbsp;&nbsp; 1307 | &nbsp;&nbsp; 1299285 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/50 | &nbsp;&nbsp;&nbsp; 15968 | &nbsp;&nbsp; 15880491 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/50 | &nbsp;&nbsp;&nbsp; 6390 | &nbsp;&nbsp; 6339471 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/50 | &nbsp;&nbsp;&nbsp; 30265 | &nbsp;&nbsp; 30161898 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/50 | &nbsp;&nbsp;&nbsp; 15775 | &nbsp;&nbsp; 15649202 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/50 | &nbsp;&nbsp;&nbsp; 426 | &nbsp;&nbsp; 422824 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/50 | &nbsp;&nbsp;&nbsp; 468 | &nbsp;&nbsp; 464818 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/50 | &nbsp;&nbsp;&nbsp; 27986 | &nbsp;&nbsp; 27827523 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/50 | &nbsp;&nbsp;&nbsp; 298 | &nbsp;&nbsp; 296233 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/51 | &nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp; 168159 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/51 | &nbsp;&nbsp;&nbsp; 9241 | &nbsp;&nbsp; 9184106 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/51 | &nbsp;&nbsp;&nbsp; 13760 | &nbsp;&nbsp; 13646155 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/52 | &nbsp;&nbsp;&nbsp; 3165 | &nbsp;&nbsp; 3147725 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/52 | &nbsp;&nbsp;&nbsp; 30795 | &nbsp;&nbsp; 30424330 |
| &nbsp;&nbsp;&nbsp; 4.50%, 07/01/52 | &nbsp;&nbsp;&nbsp; 78471 | &nbsp;&nbsp; 77261653 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/52 | &nbsp;&nbsp;&nbsp; 42637 | &nbsp;&nbsp; 42009462 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/01/52 | &nbsp;&nbsp;&nbsp; 72426 | &nbsp;&nbsp; 71265271 |
| &nbsp;&nbsp;&nbsp; 4.50%, 10/01/52 | &nbsp;&nbsp;&nbsp; 98476 | &nbsp;&nbsp; 97023110 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/52 | &nbsp;&nbsp;&nbsp; 14994 | &nbsp;&nbsp; 14835778 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/52 | &nbsp;&nbsp;&nbsp; $44303 | &nbsp;&nbsp; $43735865 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/53 | &nbsp;&nbsp;&nbsp; 18107 | &nbsp;&nbsp; 17806644 |
| &nbsp;&nbsp;&nbsp; 4.50%, 02/01/53 | &nbsp;&nbsp;&nbsp; 18511 | &nbsp;&nbsp; 18188781 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/53 | &nbsp;&nbsp;&nbsp; 25231 | &nbsp;&nbsp; 24793914 |
| &nbsp;&nbsp;&nbsp; 4.50%, 04/01/53 | &nbsp;&nbsp;&nbsp; 29156 | &nbsp;&nbsp; 28785031 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/53 | &nbsp;&nbsp;&nbsp; 7703 | &nbsp;&nbsp; 7582796 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/53 | &nbsp;&nbsp;&nbsp; 2209 | &nbsp;&nbsp; 2179386 |
| &nbsp;&nbsp;&nbsp; 4.50%, 08/01/53 | &nbsp;&nbsp;&nbsp; 3648 | &nbsp;&nbsp; 3598687 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/53 | &nbsp;&nbsp;&nbsp; 7636 | &nbsp;&nbsp; 7528417 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/54 | &nbsp;&nbsp;&nbsp; 41745 | &nbsp;&nbsp; 41038306 |
| &nbsp;&nbsp;&nbsp; 4.50%, 03/01/54 | &nbsp;&nbsp;&nbsp; 1846 | &nbsp;&nbsp; 1813207 |
| &nbsp;&nbsp;&nbsp; 4.50%, 05/01/54 | &nbsp;&nbsp;&nbsp; 11209 | &nbsp;&nbsp; 11101766 |
| &nbsp;&nbsp;&nbsp; 4.50%, 11/01/54 | &nbsp;&nbsp;&nbsp; 1884 | &nbsp;&nbsp; 1844248 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/54 | &nbsp;&nbsp;&nbsp; 36175 | &nbsp;&nbsp; 35450852 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/55 | &nbsp;&nbsp;&nbsp; 11929 | &nbsp;&nbsp; 11731727 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/11/55 | &nbsp;&nbsp;&nbsp; 134744 | &nbsp;&nbsp; 131894121 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 991 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1898 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/33 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12469 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 773 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/33 | &nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp; 56066 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/33 | &nbsp;&nbsp;&nbsp; 195 | &nbsp;&nbsp; 199423 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 253 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/33 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 16464 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 397 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 884 | &nbsp;&nbsp; 903833 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1773 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/34 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13911 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/34 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10617 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/34 | &nbsp;&nbsp;&nbsp; 408 | &nbsp;&nbsp; 417079 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 401 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/34 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5121 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/34 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14718 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2527 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/34 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6008 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/34 | &nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp; 136197 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/35 | &nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp; 99787 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/35 | &nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp; 450553 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/35 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 27085 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/35 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6991 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/35 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4767 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/35 | &nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp; 51476 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 568 | &nbsp;&nbsp; 582258 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 457 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/35 | &nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp; 45781 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 321 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp; 85934 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 386 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/35 | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 31613 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/35 | &nbsp;&nbsp;&nbsp; 272 | &nbsp;&nbsp; 279262 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 331 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/35 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2815 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10328 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/36 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5398 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/36 | &nbsp;&nbsp;&nbsp; 339 | &nbsp;&nbsp; 347920 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 209 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 629 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/36 | &nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp; 266007 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/36 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 27303 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13820 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 507 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; $2 | &nbsp;&nbsp; $1643 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1144 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 447 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10288 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/37 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6105 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1291 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/37 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6055 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4552 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/37 | &nbsp;&nbsp;&nbsp; 241 | &nbsp;&nbsp; 246310 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2742 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 431 | &nbsp;&nbsp; 442001 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/38 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 28154 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 929 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/38 | &nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp; 61444 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 937 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/38 | &nbsp;&nbsp;&nbsp; 757 | &nbsp;&nbsp; 770543 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 163 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1648 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/38 | &nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp; 61643 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 448 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/38 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3896 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/39 | &nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp; 142967 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/39 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 9860 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/39 | &nbsp;&nbsp;&nbsp; 280 | &nbsp;&nbsp; 288611 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 382 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/39 | &nbsp;&nbsp;&nbsp; 2386 | &nbsp;&nbsp; 2452205 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 731 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/39 | &nbsp;&nbsp;&nbsp; 469 | &nbsp;&nbsp; 481652 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/39 | &nbsp;&nbsp;&nbsp; 431 | &nbsp;&nbsp; 441014 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/39 | &nbsp;&nbsp;&nbsp; 1529 | &nbsp;&nbsp; 1554483 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/39 | &nbsp;&nbsp;&nbsp; 2461 | &nbsp;&nbsp; 2528311 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/39 | &nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp; 322312 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/39 | &nbsp;&nbsp;&nbsp; 289 | &nbsp;&nbsp; 296997 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/39 | &nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp; 43682 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/39 | &nbsp;&nbsp;&nbsp; 956 | &nbsp;&nbsp; 981847 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/40 | &nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp; 75413 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/40 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 33525 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/40 | &nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp; 167004 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/40 | &nbsp;&nbsp;&nbsp; 615 | &nbsp;&nbsp; 632378 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/40 | &nbsp;&nbsp;&nbsp; 6584 | &nbsp;&nbsp; 6762792 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/40 | &nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp; 153315 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/40 | &nbsp;&nbsp;&nbsp; 714 | &nbsp;&nbsp; 734473 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/40 | &nbsp;&nbsp;&nbsp; 3671 | &nbsp;&nbsp; 3772383 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/40 | &nbsp;&nbsp;&nbsp; 486 | &nbsp;&nbsp; 497922 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/40 | &nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp; 113340 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/40 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12984 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/40 | &nbsp;&nbsp;&nbsp; 846 | &nbsp;&nbsp; 868816 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/41 | &nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp; 126463 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/41 | &nbsp;&nbsp;&nbsp; 332 | &nbsp;&nbsp; 340831 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/41 | &nbsp;&nbsp;&nbsp; 1147 | &nbsp;&nbsp; 1178286 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/41 | &nbsp;&nbsp;&nbsp; 1630 | &nbsp;&nbsp; 1675951 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/41 | &nbsp;&nbsp;&nbsp; 5139 | &nbsp;&nbsp; 5283409 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/41 | &nbsp;&nbsp;&nbsp; 736 | &nbsp;&nbsp; 757303 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/41 | &nbsp;&nbsp;&nbsp; 328 | &nbsp;&nbsp; 336065 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/41 | &nbsp;&nbsp;&nbsp; 871 | &nbsp;&nbsp; 896749 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/41 | &nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp; 82793 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/42 | &nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp; 315085 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/43 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 17870 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/43 | &nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp; 246083 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/43 | &nbsp;&nbsp;&nbsp; 756 | &nbsp;&nbsp; 774599 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/43 | &nbsp;&nbsp;&nbsp; $39 | &nbsp;&nbsp; $40130 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/43 | &nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp; 91865 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/44 | &nbsp;&nbsp;&nbsp; 1136 | &nbsp;&nbsp; 1171231 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/44 | &nbsp;&nbsp;&nbsp; 369 | &nbsp;&nbsp; 380588 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/44 | &nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp; 139566 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/44 | &nbsp;&nbsp;&nbsp; 724 | &nbsp;&nbsp; 744418 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/44 | &nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp; 110841 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/44 | &nbsp;&nbsp;&nbsp; 609 | &nbsp;&nbsp; 628364 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/44 | &nbsp;&nbsp;&nbsp; 22367 | &nbsp;&nbsp; 22919916 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/45 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5017 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/45 | &nbsp;&nbsp;&nbsp; 2334 | &nbsp;&nbsp; 2397543 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/47 | &nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp; 46181 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/47 | &nbsp;&nbsp;&nbsp; 362 | &nbsp;&nbsp; 370957 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/47 | &nbsp;&nbsp;&nbsp; 414 | &nbsp;&nbsp; 425418 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/47 | &nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp; 144795 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/47 | &nbsp;&nbsp;&nbsp; 631 | &nbsp;&nbsp; 640647 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/47 | &nbsp;&nbsp;&nbsp; 337 | &nbsp;&nbsp; 342773 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/47 | &nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp; 66246 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/48 | &nbsp;&nbsp;&nbsp; 351 | &nbsp;&nbsp; 356753 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/48 | &nbsp;&nbsp;&nbsp; 1160 | &nbsp;&nbsp; 1179101 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/48 | &nbsp;&nbsp;&nbsp; 1360 | &nbsp;&nbsp; 1386375 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/48 | &nbsp;&nbsp;&nbsp; 1320 | &nbsp;&nbsp; 1343713 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/48 | &nbsp;&nbsp;&nbsp; 2628 | &nbsp;&nbsp; 2678315 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/48 | &nbsp;&nbsp;&nbsp; 4280 | &nbsp;&nbsp; 4359310 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/48 | &nbsp;&nbsp;&nbsp; 4031 | &nbsp;&nbsp; 4106900 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/48 | &nbsp;&nbsp;&nbsp; 2297 | &nbsp;&nbsp; 2344139 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/48 | &nbsp;&nbsp;&nbsp; 10207 | &nbsp;&nbsp; 10383917 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/48 | &nbsp;&nbsp;&nbsp; 1042 | &nbsp;&nbsp; 1058673 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/49 | &nbsp;&nbsp;&nbsp; 8196 | &nbsp;&nbsp; 8344072 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/49 | &nbsp;&nbsp;&nbsp; 4076 | &nbsp;&nbsp; 4148616 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/49 | &nbsp;&nbsp;&nbsp; 10344 | &nbsp;&nbsp; 10512336 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/49 | &nbsp;&nbsp;&nbsp; 12817 | &nbsp;&nbsp; 13039772 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/49 | &nbsp;&nbsp;&nbsp; 1760 | &nbsp;&nbsp; 1789762 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/49 | &nbsp;&nbsp;&nbsp; 6126 | &nbsp;&nbsp; 6235802 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/49 | &nbsp;&nbsp;&nbsp; 13234 | &nbsp;&nbsp; 13526489 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/49 | &nbsp;&nbsp;&nbsp; 9563 | &nbsp;&nbsp; 9733837 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/49 | &nbsp;&nbsp;&nbsp; 19249 | &nbsp;&nbsp; 19576588 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/49 | &nbsp;&nbsp;&nbsp; 594 | &nbsp;&nbsp; 603466 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/49 | &nbsp;&nbsp;&nbsp; 985 | &nbsp;&nbsp; 1001702 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/50 | &nbsp;&nbsp;&nbsp; 1351 | &nbsp;&nbsp; 1372706 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/50 | &nbsp;&nbsp;&nbsp; 739 | &nbsp;&nbsp; 741329 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/50 | &nbsp;&nbsp;&nbsp; 470 | &nbsp;&nbsp; 472091 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/50 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 23124 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/50 | &nbsp;&nbsp;&nbsp; 2844 | &nbsp;&nbsp; 2891988 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/51 | &nbsp;&nbsp;&nbsp; 1095 | &nbsp;&nbsp; 1101128 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/52 | &nbsp;&nbsp;&nbsp; 5894 | &nbsp;&nbsp; 5919689 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/52 | &nbsp;&nbsp;&nbsp; 37101 | &nbsp;&nbsp; 37284684 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/52 | &nbsp;&nbsp;&nbsp; 50964 | &nbsp;&nbsp; 51511724 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/52 | &nbsp;&nbsp;&nbsp; 71826 | &nbsp;&nbsp; 72255868 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/52 | &nbsp;&nbsp;&nbsp; 38562 | &nbsp;&nbsp; 38809285 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/52 | &nbsp;&nbsp;&nbsp; 136294 | &nbsp;&nbsp; 137266197 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/52 | &nbsp;&nbsp;&nbsp; 45022 | &nbsp;&nbsp; 45338116 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/53 | &nbsp;&nbsp;&nbsp; 94602 | &nbsp;&nbsp; 95303394 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/53 | &nbsp;&nbsp;&nbsp; 7440 | &nbsp;&nbsp; 7486838 |
| &nbsp;&nbsp;&nbsp; 5.00%, 04/01/53 | &nbsp;&nbsp;&nbsp; 33988 | &nbsp;&nbsp; 34089379 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/53 | &nbsp;&nbsp;&nbsp; 105886 | &nbsp;&nbsp; 106235065 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/53 | &nbsp;&nbsp;&nbsp; 126407 | &nbsp;&nbsp; 127311353 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/01/53 | &nbsp;&nbsp;&nbsp; 24978 | &nbsp;&nbsp; 25179725 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/53 | &nbsp;&nbsp;&nbsp; 31398 | &nbsp;&nbsp; 31529297 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/53 | &nbsp;&nbsp;&nbsp; 11335 | &nbsp;&nbsp; 11355040 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/53 | &nbsp;&nbsp;&nbsp; 76639 | &nbsp;&nbsp; 77087583 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/53 | &nbsp;&nbsp;&nbsp; $25908 | &nbsp;&nbsp; $25952598 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/53 | &nbsp;&nbsp;&nbsp; 5178 | &nbsp;&nbsp; 5182839 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/54 | &nbsp;&nbsp;&nbsp; 32363 | &nbsp;&nbsp; 32407863 |
| &nbsp;&nbsp;&nbsp; 5.00%, 03/01/54 | &nbsp;&nbsp;&nbsp; 12470 | &nbsp;&nbsp; 12556838 |
| &nbsp;&nbsp;&nbsp; 5.00%, 06/01/54 | &nbsp;&nbsp;&nbsp; 6444 | &nbsp;&nbsp; 6455788 |
| &nbsp;&nbsp;&nbsp; 5.00%, 08/01/54 | &nbsp;&nbsp;&nbsp; 27713 | &nbsp;&nbsp; 27903733 |
| &nbsp;&nbsp;&nbsp; 5.00%, 09/01/54 | &nbsp;&nbsp;&nbsp; 5612 | &nbsp;&nbsp; 5659206 |
| &nbsp;&nbsp;&nbsp; 5.00%, 10/01/54 | &nbsp;&nbsp;&nbsp; 67491 | &nbsp;&nbsp; 67394660 |
| &nbsp;&nbsp;&nbsp; 5.00%, 11/01/54 | &nbsp;&nbsp;&nbsp; 97347 | &nbsp;&nbsp; 97504466 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/01/54 | &nbsp;&nbsp;&nbsp; 28952 | &nbsp;&nbsp; 28998620 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/55 | &nbsp;&nbsp;&nbsp; 77048 | &nbsp;&nbsp; 77197577 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/55 | &nbsp;&nbsp;&nbsp; 40331 | &nbsp;&nbsp; 40397783 |
| &nbsp;&nbsp;&nbsp; 5.00%, 12/11/55 | &nbsp;&nbsp;&nbsp; 73197 | &nbsp;&nbsp; 73041522 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/28 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp; 34590 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 831 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5153 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 299 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/32 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3709 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 967 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 192 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/32 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3139 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/33 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 18575 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2789 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 308 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/33 | &nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp; 14158 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 786 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp; 35293 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1179 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/33 | &nbsp;&nbsp;&nbsp; 319 | &nbsp;&nbsp; 329596 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/33 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 22059 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/33 | &nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp; 65288 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 982 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/33 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2609 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/33 | &nbsp;&nbsp;&nbsp; 278 | &nbsp;&nbsp; 286542 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 347 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/33 | &nbsp;&nbsp;&nbsp; 642 | &nbsp;&nbsp; 663562 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 353 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 565 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/34 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 22211 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/34 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14114 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 328 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/34 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5739 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/34 | &nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp; 32536 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/34 | &nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp; 30952 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/34 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13626 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 436 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/34 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6236 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/34 | &nbsp;&nbsp;&nbsp; 496 | &nbsp;&nbsp; 516033 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 456 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/34 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13724 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 325 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/34 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8829 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/35 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 25175 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/35 | &nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp; 44965 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/35 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 18152 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12924 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 198 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7105 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/35 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $775 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 504 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/35 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12543 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/35 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14534 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/35 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6570 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/35 | &nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp; 130726 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 732 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/35 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9114 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/35 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 26053 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/35 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 22044 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/35 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/36 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6671 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp; 50149 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 503 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/36 | &nbsp;&nbsp;&nbsp; 832 | &nbsp;&nbsp; 867693 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/36 | &nbsp;&nbsp;&nbsp; 209 | &nbsp;&nbsp; 217604 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 428 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/36 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7633 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 17447 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 1150 | &nbsp;&nbsp; 1189711 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/36 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3766 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/36 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11977 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 466 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 15907 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 190 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/37 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 17757 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 389 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp; 40386 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/37 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 27118 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/37 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5331 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp; 172058 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 313 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/37 | &nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp; 97013 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 276 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 12475 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1031 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 1089 | &nbsp;&nbsp; 1135191 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 375 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1437 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 601 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/37 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6375 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp; 36656 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 166 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/38 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10141 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 21697 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/38 | &nbsp;&nbsp;&nbsp; 471 | &nbsp;&nbsp; 492164 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 293 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/38 | &nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp; 42373 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/38 | &nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp; 155133 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp; 166361 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1276 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/38 | &nbsp;&nbsp;&nbsp; 283 | &nbsp;&nbsp; 296663 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 577 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/38 | &nbsp;&nbsp;&nbsp; 467 | &nbsp;&nbsp; 487854 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/38 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4854 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2623 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/38 | &nbsp;&nbsp;&nbsp; 621 | &nbsp;&nbsp; 648649 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 296 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/38 | &nbsp;&nbsp;&nbsp; $22 | &nbsp;&nbsp; $21970 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/39 | &nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp; 29885 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/39 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 26072 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/39 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8311 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/39 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14492 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/39 | &nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp; 101483 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/39 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 10969 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/39 | &nbsp;&nbsp;&nbsp; 3018 | &nbsp;&nbsp; 3119998 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/39 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 18225 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/39 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4496 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/39 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21443 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/39 | &nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp; 49920 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/40 | &nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp; 25295 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/40 | &nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp; 94328 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/40 | &nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp; 50232 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/40 | &nbsp;&nbsp;&nbsp; 1061 | &nbsp;&nbsp; 1107689 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/40 | &nbsp;&nbsp;&nbsp; 2496 | &nbsp;&nbsp; 2605723 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/41 | &nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp; 204769 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/41 | &nbsp;&nbsp;&nbsp; 4475 | &nbsp;&nbsp; 4648029 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/44 | &nbsp;&nbsp;&nbsp; 3662 | &nbsp;&nbsp; 3831706 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/47 | &nbsp;&nbsp;&nbsp; 1153 | &nbsp;&nbsp; 1201544 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/48 | &nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp; 60332 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/48 | &nbsp;&nbsp;&nbsp; 1568 | &nbsp;&nbsp; 1623784 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/48 | &nbsp;&nbsp;&nbsp; 1494 | &nbsp;&nbsp; 1545904 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/49 | &nbsp;&nbsp;&nbsp; 2367 | &nbsp;&nbsp; 2449522 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/49 | &nbsp;&nbsp;&nbsp; 336 | &nbsp;&nbsp; 347152 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/49 | &nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp; 84220 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/49 | &nbsp;&nbsp;&nbsp; 7224 | &nbsp;&nbsp; 7474526 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/52 | &nbsp;&nbsp;&nbsp; 71962 | &nbsp;&nbsp; 73890556 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/52 | &nbsp;&nbsp;&nbsp; 30409 | &nbsp;&nbsp; 31158630 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/52 | &nbsp;&nbsp;&nbsp; 1203 | &nbsp;&nbsp; 1235632 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/52 | &nbsp;&nbsp;&nbsp; 44164 | &nbsp;&nbsp; 45154199 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/52 | &nbsp;&nbsp;&nbsp; 105664 | &nbsp;&nbsp; 107904845 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/53 | &nbsp;&nbsp;&nbsp; 71645 | &nbsp;&nbsp; 73057296 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/53 | &nbsp;&nbsp;&nbsp; 122924 | &nbsp;&nbsp; 125583489 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/53 | &nbsp;&nbsp;&nbsp; 56110 | &nbsp;&nbsp; 57019391 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/53 | &nbsp;&nbsp;&nbsp; 77396 | &nbsp;&nbsp; 79126473 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/53 | &nbsp;&nbsp;&nbsp; 212627 | &nbsp;&nbsp; 216065574 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/53 | &nbsp;&nbsp;&nbsp; 116460 | &nbsp;&nbsp; 119076506 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/53 | &nbsp;&nbsp;&nbsp; 82085 | &nbsp;&nbsp; 83666665 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/53 | &nbsp;&nbsp;&nbsp; 51927 | &nbsp;&nbsp; 52808770 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/53 | &nbsp;&nbsp;&nbsp; 120394 | &nbsp;&nbsp; 122481618 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/53 | &nbsp;&nbsp;&nbsp; 76894 | &nbsp;&nbsp; 78322453 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/53 | &nbsp;&nbsp;&nbsp; 58354 | &nbsp;&nbsp; 59674739 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/54 | &nbsp;&nbsp;&nbsp; 93759 | &nbsp;&nbsp; 95216750 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/54 | &nbsp;&nbsp;&nbsp; 83631 | &nbsp;&nbsp; 85059691 |
| &nbsp;&nbsp;&nbsp; 5.50%, 04/01/54 | &nbsp;&nbsp;&nbsp; 83835 | &nbsp;&nbsp; 85314699 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/54 | &nbsp;&nbsp;&nbsp; 72289 | &nbsp;&nbsp; 73858758 |
| &nbsp;&nbsp;&nbsp; 5.50%, 06/01/54 | &nbsp;&nbsp;&nbsp; 49409 | &nbsp;&nbsp; 50130263 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/01/54 | &nbsp;&nbsp;&nbsp; 8831 | &nbsp;&nbsp; 9048659 |
| &nbsp;&nbsp;&nbsp; 5.50%, 08/01/54 | &nbsp;&nbsp;&nbsp; 80823 | &nbsp;&nbsp; 82429698 |
| &nbsp;&nbsp;&nbsp; 5.50%, 09/01/54 | &nbsp;&nbsp;&nbsp; 51176 | &nbsp;&nbsp; 52532649 |
| &nbsp;&nbsp;&nbsp; 5.50%, 10/01/54 | &nbsp;&nbsp;&nbsp; 79283 | &nbsp;&nbsp; 80543059 |
| &nbsp;&nbsp;&nbsp; 5.50%, 11/01/54 | &nbsp;&nbsp;&nbsp; 143854 | &nbsp;&nbsp; 147299254 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/01/54 | &nbsp;&nbsp;&nbsp; 9280 | &nbsp;&nbsp; 9470761 |
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/54 | &nbsp;&nbsp;&nbsp; 151679 | &nbsp;&nbsp; 153591070 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/55 | &nbsp;&nbsp;&nbsp; 49484 | &nbsp;&nbsp; 50117785 |
| &nbsp;&nbsp;&nbsp; 5.50%, 02/01/55 | &nbsp;&nbsp;&nbsp; 42224 | &nbsp;&nbsp; 43001364 |
| &nbsp;&nbsp;&nbsp; 5.50%, 03/01/55 | &nbsp;&nbsp;&nbsp; 22856 | &nbsp;&nbsp; 23314318 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 3 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/28 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $282 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 355 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 537 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 878 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 814 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 307 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 701 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 484 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 881 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 446 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 574 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 742 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 685 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/31 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3013 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 251 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1258 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 550 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 172 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 367 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1514 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/32 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 19437 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/32 | &nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp; 13182 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 527 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/33 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 13159 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/33 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2766 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 325 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/33 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 10672 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1222 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1455 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/33 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 713 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/33 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11846 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2404 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/34 | &nbsp;&nbsp;&nbsp; 833 | &nbsp;&nbsp; 869915 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/34 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1748 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/34 | &nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp; 108239 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/34 | &nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp; 198950 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 412 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/34 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8944 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/34 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8938 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/34 | &nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp; 60309 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 349 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 373 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/34 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3449 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/35 | &nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp; 18561 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/35 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 7822 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/35 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2088 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/35 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5217 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/35 | &nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp; 55558 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/35 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8377 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/35 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 26121 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/35 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 28705 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4181 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1497 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 614 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 488 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/36 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 14336 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/36 | &nbsp;&nbsp;&nbsp; $318 | &nbsp;&nbsp; $334403 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 6810 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/36 | &nbsp;&nbsp;&nbsp; 310 | &nbsp;&nbsp; 327478 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/36 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12362 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp; 16739 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1028 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/36 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8120 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2301 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp; 58477 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 762 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/37 | &nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp; 19786 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 233 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/37 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12807 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 18775 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/37 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 16911 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 807 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/37 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9154 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 919 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/37 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9107 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/37 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2811 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 244 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/37 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 25758 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/37 | &nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp; 21304 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 218 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/38 | &nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp; 70938 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 26820 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 243 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/38 | &nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp; 269799 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/38 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 18409 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/38 | &nbsp;&nbsp;&nbsp; 591 | &nbsp;&nbsp; 625064 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/38 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp; 12762 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/38 | &nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp; 77187 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/38 | &nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp; 17977 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 239 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/38 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11225 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/38 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8509 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/38 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4661 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/39 | &nbsp;&nbsp;&nbsp; 1515 | &nbsp;&nbsp; 1586999 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/39 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1184 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/39 | &nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp; 145937 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/40 | &nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp; 24599 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/40 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3385 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/40 | &nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp; 33252 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/41 | &nbsp;&nbsp;&nbsp; 443 | &nbsp;&nbsp; 467830 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/49 | &nbsp;&nbsp;&nbsp; 684 | &nbsp;&nbsp; 722989 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/52 | &nbsp;&nbsp;&nbsp; 17805 | &nbsp;&nbsp; 18308332 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/53 | &nbsp;&nbsp;&nbsp; 94701 | &nbsp;&nbsp; 97673835 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/53 | &nbsp;&nbsp;&nbsp; 98483 | &nbsp;&nbsp; 101449850 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/53 | &nbsp;&nbsp;&nbsp; 1706 | &nbsp;&nbsp; 1755018 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/53 | &nbsp;&nbsp;&nbsp; 2670 | &nbsp;&nbsp; 2802768 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/53 | &nbsp;&nbsp;&nbsp; 5220 | &nbsp;&nbsp; 5450896 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/53 | &nbsp;&nbsp;&nbsp; 9522 | &nbsp;&nbsp; 9853579 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/53 | &nbsp;&nbsp;&nbsp; 141313 | &nbsp;&nbsp; 146532862 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/53 | &nbsp;&nbsp;&nbsp; 142887 | &nbsp;&nbsp; 147815303 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/53 | &nbsp;&nbsp;&nbsp; 51114 | &nbsp;&nbsp; 52740707 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/53 | &nbsp;&nbsp;&nbsp; 188251 | &nbsp;&nbsp; 194142226 |
| &nbsp;&nbsp;&nbsp; 6.00%, 11/01/53 | &nbsp;&nbsp;&nbsp; 101275 | &nbsp;&nbsp; 104092056 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/53 | &nbsp;&nbsp;&nbsp; 29176 | &nbsp;&nbsp; 30112087 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/54 | &nbsp;&nbsp;&nbsp; 30741 | &nbsp;&nbsp; 31700648 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/54 | &nbsp;&nbsp;&nbsp; 44670 | &nbsp;&nbsp; 45997881 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/54 | &nbsp;&nbsp;&nbsp; 74415 | &nbsp;&nbsp; 77007266 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/54 | &nbsp;&nbsp;&nbsp; $33117 | &nbsp;&nbsp; $34114813 |
| &nbsp;&nbsp;&nbsp; 6.00%, 06/01/54 | &nbsp;&nbsp;&nbsp; 47489 | &nbsp;&nbsp; 48769485 |
| &nbsp;&nbsp;&nbsp; 6.00%, 07/01/54 | &nbsp;&nbsp;&nbsp; 102935 | &nbsp;&nbsp; 106089047 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/54 | &nbsp;&nbsp;&nbsp; 211420 | &nbsp;&nbsp; 218013247 |
| &nbsp;&nbsp;&nbsp; 6.00%, 09/01/54 | &nbsp;&nbsp;&nbsp; 195838 | &nbsp;&nbsp; 201632593 |
| &nbsp;&nbsp;&nbsp; 6.00%, 10/01/54 | &nbsp;&nbsp;&nbsp; 96783 | &nbsp;&nbsp; 99370690 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/01/54 | &nbsp;&nbsp;&nbsp; 4067 | &nbsp;&nbsp; 4174663 |
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/54 | &nbsp;&nbsp;&nbsp; 188775 | &nbsp;&nbsp; 193277123 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/55 | &nbsp;&nbsp;&nbsp; 29052 | &nbsp;&nbsp; 29957408 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/55 | &nbsp;&nbsp;&nbsp; 18766 | &nbsp;&nbsp; 19524146 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/01/55 | &nbsp;&nbsp;&nbsp; 89648 | &nbsp;&nbsp; 93172740 |
| &nbsp;&nbsp;&nbsp; 6.00%, 04/01/55 | &nbsp;&nbsp;&nbsp; 26311 | &nbsp;&nbsp; 27249835 |
| &nbsp;&nbsp;&nbsp; 6.00%, 05/01/55 | &nbsp;&nbsp;&nbsp; 19135 | &nbsp;&nbsp; 19760841 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/25 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 411 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 253 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 339 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 327 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/28 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2423 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 411 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 474 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 167 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 442 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 640 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 804 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/29 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1205 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 406 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 470 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 854 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/29 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4424 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 904 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 235 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 561 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 672 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 930 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1465 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 751 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 677 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 541 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/31 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2183 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/31 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 2598 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 255 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/31 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1107 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 334 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/31 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1885 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 519 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/32 | &nbsp;&nbsp;&nbsp; $2 | &nbsp;&nbsp; $1604 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/32 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 5855 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 380 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1326 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 723 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1180 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3478 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 337 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 777 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/32 | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp; 8185 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/32 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7324 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 159 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 241 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/33 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 3934 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 577 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2370 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/33 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3497 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/34 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 4780 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/34 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 144 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/34 | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp; 7836 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/34 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5619 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/34 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 8929 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1507 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/34 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 706 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/35 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1805 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2573 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 330 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 829 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 387 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 805 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp; 26947 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 189 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp; 106668 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 439 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/36 | &nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp; 22522 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 307 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 26649 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/36 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 570 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/37 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5847 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 457 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1287 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 387 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp; 28298 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 877 | &nbsp;&nbsp; 941650 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/37 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6871 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/37 | &nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp; 61509 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 927 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/37 | &nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp; 9213 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 178 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp; 35327 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 621 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/38 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp; 4404 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3792 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 359 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/38 | &nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp; 11157 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/38 | &nbsp;&nbsp;&nbsp; $34 | &nbsp;&nbsp; $37412 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/38 | &nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp; 11610 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3969 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/38 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3708 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/39 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6629 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/39 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1734 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/39 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1709 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/39 | &nbsp;&nbsp;&nbsp; 804 | &nbsp;&nbsp; 863944 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/40 | &nbsp;&nbsp;&nbsp; 537 | &nbsp;&nbsp; 576213 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/53 | &nbsp;&nbsp;&nbsp; 4815 | &nbsp;&nbsp; 5016150 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/53 | &nbsp;&nbsp;&nbsp; 60699 | &nbsp;&nbsp; 64054459 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/53 | &nbsp;&nbsp;&nbsp; 8877 | &nbsp;&nbsp; 9226685 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/53 | &nbsp;&nbsp;&nbsp; 8757 | &nbsp;&nbsp; 9199179 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/53 | &nbsp;&nbsp;&nbsp; 65299 | &nbsp;&nbsp; 68596080 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/53 | &nbsp;&nbsp;&nbsp; 26119 | &nbsp;&nbsp; 27241494 |
| &nbsp;&nbsp;&nbsp; 6.50%, 10/01/53 | &nbsp;&nbsp;&nbsp; 123800 | &nbsp;&nbsp; 129821133 |
| &nbsp;&nbsp;&nbsp; 6.50%, 11/01/53 | &nbsp;&nbsp;&nbsp; 100591 | &nbsp;&nbsp; 104860799 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/01/53 | &nbsp;&nbsp;&nbsp; 116851 | &nbsp;&nbsp; 122289543 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/54 | &nbsp;&nbsp;&nbsp; 54623 | &nbsp;&nbsp; 57241918 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/54 | &nbsp;&nbsp;&nbsp; 52959 | &nbsp;&nbsp; 55726351 |
| &nbsp;&nbsp;&nbsp; 6.50%, 03/01/54 | &nbsp;&nbsp;&nbsp; 55428 | &nbsp;&nbsp; 57419744 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/54 | &nbsp;&nbsp;&nbsp; 19746 | &nbsp;&nbsp; 20615664 |
| &nbsp;&nbsp;&nbsp; 6.50%, 05/01/54 | &nbsp;&nbsp;&nbsp; 33070 | &nbsp;&nbsp; 34401685 |
| &nbsp;&nbsp;&nbsp; 6.50%, 06/01/54 | &nbsp;&nbsp;&nbsp; 1364 | &nbsp;&nbsp; 1439861 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/54 | &nbsp;&nbsp;&nbsp; 28431 | &nbsp;&nbsp; 29567724 |
| &nbsp;&nbsp;&nbsp; 6.50%, 08/01/54 | &nbsp;&nbsp;&nbsp; 24887 | &nbsp;&nbsp; 25938819 |
| &nbsp;&nbsp;&nbsp; 6.50%, 09/01/54 | &nbsp;&nbsp;&nbsp; 11598 | &nbsp;&nbsp; 12060271 |
| &nbsp;&nbsp;&nbsp; 6.50%, 12/15/54<sup>(c)</sup> | &nbsp;&nbsp;&nbsp; 28650 | &nbsp;&nbsp; 29678689 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/55 | &nbsp;&nbsp;&nbsp; 26096 | &nbsp;&nbsp; 27190916 |
| &nbsp;&nbsp;&nbsp; 6.50%, 04/01/55 | &nbsp;&nbsp;&nbsp; 22796 | &nbsp;&nbsp; 23713528 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 253 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 188 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 464 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 219 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 473 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 441 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp; 7.00%, 02/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 283 |
| &nbsp;&nbsp;&nbsp; 7.00%, 11/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1931 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/01/32 | &nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp; 13869 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1862 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 370 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 253 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/32 | &nbsp;&nbsp;&nbsp; $0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; $480 |
| &nbsp;&nbsp;&nbsp; 7.00%, 10/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 446 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/32 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2525 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1536 |
| &nbsp;&nbsp;&nbsp; 7.00%, 07/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 674 |
| &nbsp;&nbsp;&nbsp; 7.00%, 08/01/36 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 606 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/37 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 1032 |
| &nbsp;&nbsp;&nbsp; 7.00%, 03/01/37 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2364 |
| &nbsp;&nbsp;&nbsp; 7.00%, 04/01/37 | &nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp; 278495 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/37 | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp; 3216 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 663 |
| &nbsp;&nbsp;&nbsp; 7.00%, 06/01/37 | &nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp; 5821 |
| &nbsp;&nbsp;&nbsp; 7.00%, 09/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 421 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/37 | &nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp; 6456 |
| &nbsp;&nbsp;&nbsp; 7.00%, 05/01/38 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 372 |
| &nbsp;&nbsp;&nbsp; 7.00%, 12/01/38 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 2680 |
| &nbsp;&nbsp;&nbsp; 7.00%, 01/01/39 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp; 7.50%, 05/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp; 7.50%, 04/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; 7.50%, 11/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 159 |
| &nbsp;&nbsp;&nbsp; 7.50%, 08/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; 7.50%, 09/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 607 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 311 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 791 |
| &nbsp;&nbsp;&nbsp; 7.50%, 01/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 117 |
| &nbsp;&nbsp;&nbsp; 7.50%, 05/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 454 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/31 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 378 |
| &nbsp;&nbsp;&nbsp; 7.50%, 07/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp; 7.50%, 10/01/32 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp; 7.50%, 03/01/33 | &nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp; 1790 |
| &nbsp;&nbsp;&nbsp; 7.50%, 06/01/33 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp; 7.50%, 12/01/37 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp; 8.00%, 08/01/27 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp; 8.00%, 06/01/28 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; 8.00%, 08/01/29 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 368 |
| &nbsp;&nbsp;&nbsp; 8.00%, 04/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp; 8.00%, 06/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp; 8.00%, 10/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp; 8.50%, 12/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; 8.50%, 04/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 280 |
| &nbsp;&nbsp;&nbsp; 8.50%, 05/01/32 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp; 780 |
| &nbsp;&nbsp;&nbsp; 9.00%, 11/01/26 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp; 9.00%, 10/01/30 | &nbsp;&nbsp;&nbsp; 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp; 51 |
|  |  | &nbsp;&nbsp; 40549806595 |
| **Total Long-Term Investments — 102.9%** <br>**(Cost: $41,710,166,451)** | **Total Long-Term Investments — 102.9%** <br>**(Cost: $41,710,166,451)** | &nbsp;&nbsp; 40549806595 |

---

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**(Percentages shown are based on Net Assets)**

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
| **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 4.3%** | **Money Market Funds — 4.3%** | **Money Market Funds — 4.3%** |
| &nbsp;&nbsp;&nbsp; BlackRock Cash Funds: Institutional, SL <br> Agency Shares, 4.11%<sup>(e)(f)(g)</sup><br>| &nbsp;&nbsp;&nbsp; 1673799363 | &nbsp;&nbsp; $1674636263 |
| &nbsp;&nbsp;&nbsp; BlackRock Cash Funds: Treasury, SL Agency <br> Shares, 3.94%<sup>(e)(f)</sup><br>| &nbsp;&nbsp;&nbsp; 100000 | &nbsp;&nbsp; 100000 |
| **Total Short-Term Securities — 4.3%** <br>**(Cost: $1,673,761,172)** | **Total Short-Term Securities — 4.3%** <br>**(Cost: $1,673,761,172)** | &nbsp;&nbsp; 1674736263 |
| **Total Investments Before TBA Sales Commitments — 107.2%** <br>**(Cost: $43,383,927,623)** | **Total Investments Before TBA Sales Commitments — 107.2%** <br>**(Cost: $43,383,927,623)** | &nbsp;&nbsp; 42224542858 |
|  | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>|  |
| **TBA Sales Commitments**<sup>(c)</sup> | **TBA Sales Commitments**<sup>(c)</sup> | **TBA Sales Commitments**<sup>(c)</sup> |
| **Mortgage-Backed Securities — (3.7)%** | **Mortgage-Backed Securities — (3.7)%** | **Mortgage-Backed Securities — (3.7)%** |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association, <br> 3.50%, 12/18/55<br>| &nbsp;&nbsp;&nbsp; $(20000)<br>| &nbsp;&nbsp; (18332031)<br>|
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 12/11/55 | &nbsp;&nbsp;&nbsp; (22925)<br>| &nbsp;&nbsp; (17771068)<br>|
| &nbsp;&nbsp;&nbsp; 2.00%, 12/16/40 | &nbsp;&nbsp;&nbsp; (50000)<br>| &nbsp;&nbsp; (46216800)<br>|
| &nbsp;&nbsp;&nbsp; 2.00%, 12/13/53 | &nbsp;&nbsp;&nbsp; (350000)<br>| &nbsp;&nbsp; (284712449)<br>|
| &nbsp;&nbsp;&nbsp; 2.50%, 12/16/40 | &nbsp;&nbsp;&nbsp; (25000)<br>| &nbsp;&nbsp; (23622225)<br>|
| &nbsp;&nbsp;&nbsp; 2.50%, 12/11/55 | &nbsp;&nbsp;&nbsp; (325000)<br>| &nbsp;&nbsp; (276465160)<br>|
| &nbsp;&nbsp;&nbsp; 3.00%, 12/16/40 | &nbsp;&nbsp;&nbsp; (105000)<br>| &nbsp;&nbsp; (101044860)<br>|

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp; *Par* <br>*(000*<br> *)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/11/55 | &nbsp;&nbsp;&nbsp; (150000)<br>| &nbsp;&nbsp; $(133202262)<br>|
| &nbsp;&nbsp;&nbsp; 3.50%, 12/16/40 | &nbsp;&nbsp;&nbsp; (40000)<br>| &nbsp;&nbsp; (38901520)<br>|
| &nbsp;&nbsp;&nbsp; 3.50%, 12/11/55 | &nbsp;&nbsp;&nbsp; (90000)<br>| &nbsp;&nbsp; (83236118)<br>|
| &nbsp;&nbsp;&nbsp; 4.00%, 12/11/55 | &nbsp;&nbsp;&nbsp; (75000)<br>| &nbsp;&nbsp; (71425177)<br>|
| &nbsp;&nbsp;&nbsp; 4.50%, 12/11/55 | &nbsp;&nbsp;&nbsp; (125000)<br>| &nbsp;&nbsp; (122356210)<br>|
| &nbsp;&nbsp;&nbsp; 5.00%, 12/11/55 | &nbsp;&nbsp;&nbsp; (60000)<br>| &nbsp;&nbsp; (59872554)<br>|
| &nbsp;&nbsp;&nbsp; 5.50%, 12/15/54 | &nbsp;&nbsp;&nbsp; (80000)<br>| &nbsp;&nbsp; (81008482)<br>|
| &nbsp;&nbsp;&nbsp; 6.00%, 12/15/54 | &nbsp;&nbsp;&nbsp; (90000)<br>| &nbsp;&nbsp; (92146423)<br>|
| **Total TBA Sales Commitments — (3.7)%** <br>**(Proceeds: $(1442316404))** | **Total TBA Sales Commitments — (3.7)%** <br>**(Proceeds: $(1442316404))** | &nbsp;&nbsp; (1450313339)<br>|
| **Total Investments, Net of TBA Sales Commitments — 103.5%** <br>**(Cost: $41,941,611,219)** | **Total Investments, Net of TBA Sales Commitments — 103.5%** <br>**(Cost: $41,941,611,219)** | &nbsp;&nbsp; 40774229519 |
| **Liabilities in Excess of Other Assets — (3.5)%** | **Liabilities in Excess of Other Assets — (3.5)%** | &nbsp;&nbsp; (1368825810)<br>|
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | &nbsp;&nbsp; $39405403709 |

---

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

<sup>(a)</sup> Rounds to less than 1,000.

<sup>(b)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. 

<sup>(c)</sup> Represents or includes a TBA transaction.

<sup>(d)</sup> All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. 

<sup>(e)</sup> Affiliate of the Fund.

<sup>(f)</sup> Annualized 7-day yield as of period end.

<sup>(g)</sup> All or a portion of this security represents an investment of TBA cash collateral.

**Affiliates**

Investments in issuers considered to be affiliate(s) of the Fund during the period ended November 30, 2025 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at* <br>*02/28/25*<br>| *Purchases* <br>*at Cost*<br>| *Proceeds* <br>*from Sales*<br>| &nbsp;&nbsp; *Net Realized* <br>*Gain (Loss)*<br>| *Change in* <br>*Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>| *Value at* <br>*11/30/25*<br>| *Shares* <br>*Held at* <br>*11/30/25*<br>| *Income* | *Capital* <br>*Gain* <br>*Distributions* <br>*from* <br>*Underlying* <br>*Funds*<br>|
| &nbsp;&nbsp;&nbsp; BlackRock Cash Funds: Institu-<br> tional, SL Agency Shares<br>| $1790973834 | $— | &nbsp;&nbsp; $(116499996 )<sup>(a)</sup><br>| $161602 | $823 | $1674636263 | 1673799363 | $54941142 | $— |
| &nbsp;&nbsp;&nbsp; BlackRock Cash Funds: Trea-<br> sury, SL Agency Shares<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100000 | 0 <br><sup>(a)</sup><br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100000 | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
|  |  |  |  | $161602 | $823 | $1674736263 |  | $54944312 | $— |

---

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

<sup>(a)</sup> Represents net amount purchased (sold).

**Fair Value Hierarchy as of Period End** 

Various inputs are used in determining the fair value of financial instruments at the measurement date. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

• Level 1 – Unadjusted price quotations in active markets/exchanges that the Fund has the ability to access for identical assets or liabilities;

• Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 – Inputs that are unobservable and significant to the entire fair value measurement for the asset or liability (including the Valuation Committee's assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is

------

Schedule of Investments (unaudited)(continued)

November 30, 2025

**iShares® MBS ETF**

**Fair Value Hierarchy as of Period End (continued)**

determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund's policy regarding valuation of financial instruments, refer to its most recent financial statements.

The following table summarizes the Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| Assets  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency Obligations | &nbsp;&nbsp; $— | &nbsp;&nbsp; $40549806595 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $40549806595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | &nbsp;&nbsp; 1674736263 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 1674736263 |
| Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sales Commitments | &nbsp;&nbsp; — | &nbsp;&nbsp; (1450313339)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (1450313339)<br>|
|  | &nbsp;&nbsp; $1674736263 | &nbsp;&nbsp; $39099493256 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $40774229519 |

---

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

---

| | |
|:---|:---|
| **Portfolio Abbreviation** | **Portfolio Abbreviation** |
| TBA | To-Be-Announced |

---

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

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-09729

- **c. CIK number of Registrant:** 0001100663

- **d. LEI of Registrant:** 5493000860OXIC4B5K91

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

  - **Street Address 1:** 400 Howard Street

  - **City:** San Francisco

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94105

  - **Telephone number:** 800-474-2737

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

- **a. Name of Series:** iShares MBS ETF

- **b. EDGAR series identifier (if any):** S000013702

- **c. LEI of Series:** 549300M0TH0IE2E6RP07

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2025-11-30

**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:** $41932089305.54

**Total Liabilities:** $2526540805.75

**Net Assets:** $39405548499.79

**Cash Not Reported:** $1452106.60

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 818.89000000 | **1-Year:** 335085.54000000 | **5-Year:** 15031449.04000000 | **10-Year:** 5056549.30000000 | **30-Year:** 0.00000000

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

- **3-Month:** 23916.60000000 | **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 C000037544 | 1.22%                | 0.87%                | 0.61%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $13857660.15             | $333862749.44                              |
| Month 2  | $-14112629.91            | $229567567.98                              |
| Month 3  | $-77265602.83            | $179977061.79                              |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. MBS Index

- **Index Identifier:** LUMSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0124C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28517209 | PA      | $25686077.52   | 0.07%             | 2040-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0204C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   93595791 | PA      | $86513959.07   | 0.22%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9071000 | PA      | $7378933.21    | 0.02%             | 2053-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21791000 | PA      | $20590076.20   | 0.05%             | 2040-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13040000 | PA      | $11092632.87   | 0.03%             | 2055-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0304C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18445000 | PA      | $17750213.74   | 0.05%             | 2040-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7125000 | PA      | $6327107.45    | 0.02%             | 2055-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0324C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15548000 | PA      | $15121020.82   | 0.04%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6198000 | PA      | $5732193.96    | 0.01%             | 2055-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0404C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18900000 | PA      | $18642563.10   | 0.05%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23700000 | PA      | $22570355.85   | 0.06%             | 2055-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9744000 | PA      | $9537911.28    | 0.02%             | 2055-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13197000 | PA      | $13168968.25   | 0.03%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11679000 | PA      | $11826225.82   | 0.03%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   88775000 | PA      | $90892208.29   | 0.23%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA            | CUSIP: 01F0626C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28650000 | PA      | $29678689.42   | 0.08%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32245000 | PA      | $29555817.30   | 0.08%             | 2055-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H0406C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10600000 | PA      | $10048763.32   | 0.03%             | 2055-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25032000 | PA      | $24479046.87   | 0.06%             | 2055-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   79462000 | PA      | $79366446.95   | 0.20%             | 2055-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  302933000 | PA      | $305925266.15  | 0.78%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae                                       | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  230961000 | PA      | $235395508.94  | 0.60%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283G3Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        161 | PA      | $163.89        | 0.00%             | 2027-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283G4J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $23.30         | 0.00%             | 2027-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283G5H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.21          | 0.00%             | 2026-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283G5P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $80.99         | 0.00%             | 2027-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GRG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.52          | 0.00%             | 2026-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GUL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $52.60         | 0.00%             | 2026-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GX44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $4.83          | 0.00%             | 2027-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GYD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $37.68         | 0.00%             | 2027-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.60         | 0.00%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283GZR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $20.51         | 0.00%             | 2027-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H3M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7726 | PA      | $7999.51       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H4T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1063 | PA      | $1126.63       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3297 | PA      | $3433.36       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     580489 | PA      | $604460.31     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1049 | PA      | $1105.80       | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3107 | PA      | $3235.36       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180204 | PA      | $187645.54     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     238257 | PA      | $248096.05     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H6H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        610 | PA      | $626.17        | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283H7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        312 | PA      | $322.44        | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HAV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $157.68        | 0.00%             | 2028-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HBT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        400 | PA      | $406.33        | 0.00%             | 2028-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HC94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $21.93         | 0.00%             | 2028-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         59 | PA      | $61.02         | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HER2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        583 | PA      | $595.57        | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HFT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        881 | PA      | $906.39        | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HGE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $25.74         | 0.00%             | 2029-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HH81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        315 | PA      | $324.34        | 0.00%             | 2030-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        262 | PA      | $276.04        | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HJ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $30.21         | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HJB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $14.79         | 0.00%             | 2031-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HJM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        189 | PA      | $198.60        | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HK53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        405 | PA      | $419.56        | 0.00%             | 2031-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HN43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        883 | PA      | $927.86        | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HP74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4867 | PA      | $5037.52       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HQ32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1437 | PA      | $1510.35       | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HQB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        589 | PA      | $605.61        | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HS71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $67.67         | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        108 | PA      | $113.77        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        344 | PA      | $362.40        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HT21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        712 | PA      | $734.90        | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HTE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1582 | PA      | $1662.66       | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         86 | PA      | $89.64         | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HUK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        416 | PA      | $438.26        | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HVE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2061 | PA      | $2142.83       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HWY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9332 | PA      | $9662.37       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HWZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        383 | PA      | $398.56        | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HXM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        409 | PA      | $419.21        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HXS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1785 | PA      | $1828.57       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HYG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        392 | PA      | $390.16        | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40150 | PA      | $41572.68      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31283HZH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12659 | PA      | $13107.83      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287L6A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4405 | PA      | $4622.88       | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287L7D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        251 | PA      | $265.86        | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287MA42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        583 | PA      | $603.47        | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287MRT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $73.02         | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287N6S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1182 | PA      | $1223.42       | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287NCG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        818 | PA      | $873.47        | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287NG85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $31.20         | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287NNC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4110 | PA      | $4254.18       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287P5L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $34.76         | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287PCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        128 | PA      | $132.34        | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287PCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $111.19        | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QAB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        145 | PA      | $150.80        | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        867 | PA      | $913.88        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QKW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        314 | PA      | $330.44        | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QPV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $66.78         | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QQD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        470 | PA      | $488.81        | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287QUF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1042 | PA      | $1097.94       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287RD89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1603 | PA      | $1690.08       | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287RP94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $34.38         | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287S7D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        256 | PA      | $270.87        | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287UF72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        297 | PA      | $313.83        | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287V2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        264 | PA      | $278.01        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287VUX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        725 | PA      | $763.86        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287X6D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        103 | PA      | $106.21        | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XCC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        398 | PA      | $419.10        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         69 | PA      | $72.93         | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XG59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        322 | PA      | $339.46        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287XSW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1026 | PA      | $1033.80       | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31287YND2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        234 | PA      | $242.60        | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288AZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        598 | PA      | $617.85        | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288BGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        258 | PA      | $268.35        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288BLY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        707 | PA      | $734.86        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288BMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        151 | PA      | $157.33        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288CLY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20509 | PA      | $21330.42      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288CZZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10167 | PA      | $10572.90      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288D4Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2301 | PA      | $2425.64       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288D5W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19265 | PA      | $19889.16      | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288D7L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        145 | PA      | $151.16        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288DFN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1600 | PA      | $1685.50       | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288DS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7970 | PA      | $8288.07       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288DVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1607 | PA      | $1670.98       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288FE59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3684 | PA      | $3831.92       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288G3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4786 | PA      | $4955.17       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288GCW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        210 | PA      | $218.01        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288H7C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $100.25        | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288HEJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $85.47         | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288HEK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $350.93        | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288HRJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        615 | PA      | $629.81        | 0.00%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31288HSW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1691 | PA      | $1751.12       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128CUWB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     468993 | PA      | $455879.07     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128CUWF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     949297 | PA      | $923699.40     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128F7MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.79          | 0.00%             | 2026-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128F9EL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.05          | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FABA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $41.89         | 0.00%             | 2026-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FCMJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $9.72          | 0.00%             | 2026-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FMVS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $3.84          | 0.00%             | 2027-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128FYZP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $34.71         | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0A94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        181 | PA      | $185.43        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0AK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1256 | PA      | $1290.23       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0MG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16408 | PA      | $17122.21      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0SZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        508 | PA      | $522.11        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        952 | PA      | $992.96        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K1HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        417 | PA      | $428.75        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K1K83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2044 | PA      | $2099.98       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K1W80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6765 | PA      | $6949.08       | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K26E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        868 | PA      | $914.49        | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K2B99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        595 | PA      | $611.00        | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K2HR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5513 | PA      | $5753.00       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K2RW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        637 | PA      | $665.23        | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K35Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        956 | PA      | $983.02        | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K36Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1281 | PA      | $1337.07       | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K3G35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1622 | PA      | $1695.48       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K3GR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3913 | PA      | $4125.92       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K3XA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3831 | PA      | $3997.81       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K4AB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        720 | PA      | $751.86        | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K4L45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        365 | PA      | $391.15        | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K4LW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        601 | PA      | $628.15        | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K5US9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $100.14        | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K64X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        147 | PA      | $154.55        | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K6G87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5384 | PA      | $5617.78       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K6VS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2796 | PA      | $2872.51       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K6XV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7506 | PA      | $7710.26       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        851 | PA      | $874.34        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7J90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        534 | PA      | $560.25        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7M54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3213 | PA      | $3432.83       | 0.00%             | 2035-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7MY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6815 | PA      | $6898.43       | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7QC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70277 | PA      | $73328.76      | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5144 | PA      | $5325.93       | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7XS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        629 | PA      | $658.11        | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7Y69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1106 | PA      | $1135.95       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7ZC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1288 | PA      | $1323.60       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K7ZV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3095 | PA      | $3179.92       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K85E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2192 | PA      | $2309.34       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K85V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        276 | PA      | $283.94        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8AJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        967 | PA      | $978.34        | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        799 | PA      | $834.14        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8EE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        971 | PA      | $997.35        | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8FG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        735 | PA      | $755.30        | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8GL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4637 | PA      | $4764.19       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8NN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        526 | PA      | $540.66        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8NP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         60 | PA      | $61.58         | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8TH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        310 | PA      | $318.22        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K8YN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18106 | PA      | $18893.15      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128K96B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8404 | PA      | $8775.15       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KAL66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1053 | PA      | $1127.97       | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KALZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        776 | PA      | $820.59        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KC2B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5193 | PA      | $5493.05       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KCVK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1037 | PA      | $1096.68       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KD4K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1362 | PA      | $1440.29       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KDSF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        368 | PA      | $388.57        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KEH48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13757 | PA      | $14550.55      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KEMP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20147 | PA      | $21586.94      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KEVP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $131.21        | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KFLQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7666 | PA      | $8213.78       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KGHY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4363 | PA      | $4554.76       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KGKW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        447 | PA      | $489.21        | 0.00%             | 2036-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KGKY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1870 | PA      | $1954.14       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KHEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2484 | PA      | $2595.26       | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KHFE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1005 | PA      | $1063.25       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KJEL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        117 | PA      | $122.76        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KJN81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15776 | PA      | $16687.39      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KJXJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        257 | PA      | $271.22        | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KKPU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1060 | PA      | $1107.47       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KKQV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1167 | PA      | $1233.91       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KKZZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1661 | PA      | $1735.99       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KLAK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5829 | PA      | $6094.03       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KLMJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2294 | PA      | $2397.15       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KQDT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2283 | PA      | $2386.50       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KQM45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        103 | PA      | $107.83        | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRJD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        394 | PA      | $421.43        | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRJH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4058 | PA      | $4163.09       | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRJV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7354 | PA      | $7657.83       | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3997 | PA      | $4228.02       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KRWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21423 | PA      | $22009.69      | 0.00%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KT4S6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        228 | PA      | $238.25        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KTA26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2986 | PA      | $3168.59       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KTQP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1267 | PA      | $1344.31       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KUJJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3297 | PA      | $3498.57       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KUM79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        785 | PA      | $833.37        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KUTP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        192 | PA      | $203.55        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KWFU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        683 | PA      | $724.77        | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KWUZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1070 | PA      | $1135.95       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KWYR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        400 | PA      | $424.78        | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXBQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1312 | PA      | $1392.24       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXMQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3224 | PA      | $3422.00       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXS85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4132 | PA      | $4441.51       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXSN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        269 | PA      | $284.93        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KXUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        448 | PA      | $475.35        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128KYNT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $60.72         | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L0P71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1138 | PA      | $1190.10       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L0RF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        248 | PA      | $263.15        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L1JW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11562 | PA      | $12270.92      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L1KZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $52.70         | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L1WP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        788 | PA      | $835.86        | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        821 | PA      | $871.25        | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3PV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2518 | PA      | $2706.58       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3232 | PA      | $3379.16       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3UQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2843 | PA      | $2972.10       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L3XR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        492 | PA      | $521.77        | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L4SK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6797 | PA      | $7213.05       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L5D65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2991 | PA      | $3077.00       | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L5LH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        743 | PA      | $799.22        | 0.00%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L5P70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10000 | PA      | $10750.02      | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L6QZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2637 | PA      | $2712.14       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L6YE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4607 | PA      | $4739.26       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L6Z44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12238 | PA      | $13163.02      | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L8Y33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18513 | PA      | $19050.36      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L8YM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3340 | PA      | $3436.75       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L95V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3984 | PA      | $4168.15       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L9HC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3226 | PA      | $3319.26       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128L9PU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        243 | PA      | $254.70        | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LA7C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1482 | PA      | $1550.74       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LA7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1029 | PA      | $1077.01       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LABC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        845 | PA      | $869.52        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LAFG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20627 | PA      | $21888.99      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LAV80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        110 | PA      | $114.60        | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LAWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3161 | PA      | $3307.05       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LAX21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1791 | PA      | $1843.18       | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LBPF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $138.85        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LBU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1315 | PA      | $1376.24       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LC4U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2986 | PA      | $3116.42       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10747 | PA      | $11242.95      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCJM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25712 | PA      | $26774.10      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8603 | PA      | $8958.41       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCNH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8389 | PA      | $8901.76       | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LCY91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6751 | PA      | $7062.39       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LDC69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2069 | PA      | $2155.05       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LDCM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9544 | PA      | $9985.01       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LDH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69952 | PA      | $72994.15      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LDT38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        141 | PA      | $147.89        | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128LLDM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10248 | PA      | $10430.25      | 0.00%             | 2042-01-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXAK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     353795 | PA      | $369183.52     | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8367 | PA      | $8595.70       | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     829154 | PA      | $865217.87     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        284 | PA      | $297.31        | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        263 | PA      | $275.58        | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3194 | PA      | $3271.27       | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     900481 | PA      | $925141.04     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     320409 | PA      | $328703.49     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     286718 | PA      | $294140.20     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        885 | PA      | $895.30        | 0.00%             | 2035-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1001 | PA      | $1049.30       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3199 | PA      | $3331.42       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXBX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     207415 | PA      | $215979.86     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        772 | PA      | $781.24        | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1207 | PA      | $1236.26       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2633 | PA      | $2705.53       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXCU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3427 | PA      | $3520.67       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXE89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        732 | PA      | $752.46        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXEC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1010 | PA      | $1054.08       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXEL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3169 | PA      | $3220.16       | 0.00%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15078 | PA      | $15491.22      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12599 | PA      | $12943.71      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXGT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2749 | PA      | $2868.56       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXH86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        271 | PA      | $282.66        | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXJN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        748 | PA      | $780.49        | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXKW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1057 | PA      | $1113.99       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXMK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     234734 | PA      | $245288.01     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     401356 | PA      | $419400.68     | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXQE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17475 | PA      | $18260.84      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXR36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        985 | PA      | $997.67        | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11864 | PA      | $12199.26      | 0.00%             | 2036-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXRW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        248 | PA      | $254.71        | 0.00%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1284 | PA      | $1375.88       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1248 | PA      | $1320.31       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176256 | PA      | $186424.48     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5620 | PA      | $5943.74       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128LXUW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        517 | PA      | $564.94        | 0.00%             | 2036-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M43K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5108 | PA      | $5340.51       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M43N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        579 | PA      | $599.46        | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M47B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61286 | PA      | $63951.45      | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4B51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3476 | PA      | $3632.22       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4B77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23544 | PA      | $24902.16      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4CL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345967 | PA      | $355440.92     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4EK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3293 | PA      | $3599.36       | 0.00%             | 2036-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4EM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3378 | PA      | $3465.22       | 0.00%             | 2034-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4FF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4460 | PA      | $4514.26       | 0.00%             | 2036-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4G56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        162 | PA      | $169.29        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4GU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        573 | PA      | $605.76        | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5615 | PA      | $5768.46       | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4KL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157574 | PA      | $166665.14     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4L76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11782 | PA      | $12354.63      | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4LV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17938 | PA      | $18718.43      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4LW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        346 | PA      | $359.99        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4M67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9871 | PA      | $10319.15      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4M91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1404 | PA      | $1467.54       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4QW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12830 | PA      | $13181.13      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4S46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10724 | PA      | $11211.30      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4UM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        890 | PA      | $944.19        | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4UV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3215 | PA      | $3412.21       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4V67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3382 | PA      | $3535.79       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4W41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95328 | PA      | $98705.33      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4WP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10411 | PA      | $10709.26      | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4WW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17194 | PA      | $17975.24      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4XV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        854 | PA      | $893.28        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4YG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1479 | PA      | $1546.00       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M4YN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        499 | PA      | $534.44        | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M55X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275422 | PA      | $288152.20     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5DD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1539 | PA      | $1607.82       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5ED8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5559 | PA      | $5811.26       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5EW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        829 | PA      | $880.13        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4456 | PA      | $4729.00       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5H37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3409 | PA      | $3618.14       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5HZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2936 | PA      | $3016.40       | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5K58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17188 | PA      | $18241.86      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5K90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1238 | PA      | $1331.25       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5M56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8521 | PA      | $8892.03       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5NE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20865 | PA      | $21436.65      | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        740 | PA      | $773.11        | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5NM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1565 | PA      | $1635.61       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5NN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1282 | PA      | $1360.59       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5PR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4284 | PA      | $4546.95       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5PW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2081 | PA      | $2238.71       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5Q52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1104 | PA      | $1171.67       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5R93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        428 | PA      | $447.13        | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5RA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2828 | PA      | $3001.72       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5S84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1474 | PA      | $1585.44       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5SG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19245 | PA      | $20424.11      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5SP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3330 | PA      | $3533.75       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5TK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36276 | PA      | $37329.34      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5U57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13884 | PA      | $14487.75      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5VF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        157 | PA      | $168.92        | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5VU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8109 | PA      | $8477.20       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5VY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        986 | PA      | $1046.56       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5WC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3473 | PA      | $3630.38       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M5XF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     814573 | PA      | $838231.78     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M62Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1755 | PA      | $1890.38       | 0.00%             | 2038-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M62T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3543 | PA      | $3702.37       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M64L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        918 | PA      | $974.63        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M64P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1891 | PA      | $1999.66       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M66J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2634 | PA      | $2755.94       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M66S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        341 | PA      | $344.22        | 0.00%             | 2038-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2559 | PA      | $2715.45       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6AP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175482 | PA      | $183586.65     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6AX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10825 | PA      | $11316.24      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6DY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7252 | PA      | $7586.97       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6EC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     254120 | PA      | $261079.68     | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6ET1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22185 | PA      | $23541.82      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6FG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3591 | PA      | $3694.81       | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6HU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1053 | PA      | $1134.99       | 0.00%             | 2038-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6JV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1070 | PA      | $1082.24       | 0.00%             | 2038-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6LV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7151 | PA      | $7588.88       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6MQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2841 | PA      | $2972.38       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6MW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23096 | PA      | $24162.86      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6MZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1576 | PA      | $1672.07       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6N38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7687 | PA      | $8157.46       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6NS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41202 | PA      | $43106.61      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6P85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        181 | PA      | $189.43        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5726 | PA      | $5990.83       | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6RL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1189 | PA      | $1223.99       | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6RS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58970 | PA      | $61648.70      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6RU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        481 | PA      | $495.02        | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6SL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     341112 | PA      | $350880.32     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6UE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2248 | PA      | $2385.06       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6VF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2386 | PA      | $2496.16       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6VG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        359 | PA      | $369.51        | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6VH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4293 | PA      | $4417.80       | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6VJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2103 | PA      | $2163.94       | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6WE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5548 | PA      | $5849.44       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6XE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        490 | PA      | $520.11        | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6XU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9399 | PA      | $9807.97       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6Y93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4011 | PA      | $4256.89       | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6YJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     562416 | PA      | $578299.38     | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6ZF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1980 | PA      | $2101.83       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M6ZQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6948 | PA      | $7147.40       | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M73E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18575 | PA      | $18732.21      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M74J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2392 | PA      | $2412.75       | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M74Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18645 | PA      | $18802.67      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M75T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48600 | PA      | $49979.16      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M75Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15070 | PA      | $15196.51      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M76T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11800 | PA      | $11900.29      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M76V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33136 | PA      | $33417.41      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7A97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226070 | PA      | $232544.37     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7AX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21733 | PA      | $22736.81      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7AZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1157 | PA      | $1227.35       | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7B88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        736 | PA      | $769.71        | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7BK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179713 | PA      | $187529.80     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7CC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15217 | PA      | $15371.65      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5353 | PA      | $5413.72       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7DJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78846 | PA      | $81136.14      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7E28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17882 | PA      | $18400.82      | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7E36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     268265 | PA      | $275611.46     | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7E44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17285 | PA      | $17787.17      | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7EM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3537 | PA      | $3639.61       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7F35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        468 | PA      | $472.57        | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7FG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1372 | PA      | $1435.43       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7FY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4009 | PA      | $4191.52       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7GG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23779 | PA      | $24069.15      | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7H74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7712 | PA      | $7935.44       | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7HB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     360147 | PA      | $370008.84     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7HT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12353 | PA      | $12711.80      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7KJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16992 | PA      | $17162.24      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7KL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12679 | PA      | $12985.43      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7KY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2075 | PA      | $2232.25       | 0.00%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7L46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5563 | PA      | $5618.92       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     246833 | PA      | $252798.40     | 0.00%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1575842 | PA      | $1591568.81    | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7MK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8210 | PA      | $8291.82       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7MQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5658 | PA      | $5883.42       | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7NY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        800 | PA      | $823.65        | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58476 | PA      | $59061.86      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7S64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2531 | PA      | $2556.65       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14438 | PA      | $15093.37      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7TS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19134 | PA      | $19682.09      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3481 | PA      | $3641.71       | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16741 | PA      | $16908.35      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7X35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31620 | PA      | $33119.56      | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7XB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33535 | PA      | $34495.66      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7XG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     219660 | PA      | $229540.79     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7XY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96014 | PA      | $96971.17      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7Y59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        440 | PA      | $452.68        | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7YJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        581 | PA      | $616.54        | 0.00%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7YK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     917050 | PA      | $954917.02     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7ZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1220 | PA      | $1230.75       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7ZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        787 | PA      | $823.25        | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M7ZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17188 | PA      | $17982.14      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M82F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14411 | PA      | $14533.52      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M82Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33839 | PA      | $33367.65      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M83F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25242 | PA      | $26135.92      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M83H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24225 | PA      | $23888.15      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M84T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18396 | PA      | $18132.79      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M85S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     774801 | PA      | $810054.60     | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M86F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11211 | PA      | $11517.93      | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M86L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2410 | PA      | $2515.16       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M86U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19486 | PA      | $20035.50      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8A20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23112 | PA      | $23307.74      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8A87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4329 | PA      | $4528.45       | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8014 | PA      | $8383.82       | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8AZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33595 | PA      | $33877.98      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8CE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5872 | PA      | $6013.57       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8CF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     222366 | PA      | $228455.06     | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8CY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5551 | PA      | $5712.07       | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8FK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1927 | PA      | $2038.67       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8FM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67923 | PA      | $71059.88      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8GE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53848 | PA      | $53074.23      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8GX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        283 | PA      | $299.19        | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2180 | PA      | $2148.53       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8HQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93401 | PA      | $92064.56      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8NC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2682 | PA      | $2845.79       | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8NX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37934 | PA      | $38255.90      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8PN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23743 | PA      | $24810.42      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8Q23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2154 | PA      | $2216.96       | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8RA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43251 | PA      | $43604.06      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8UE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2273325 | PA      | $2292572.83    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8VG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23023 | PA      | $22694.51      | 0.00%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8W67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11307 | PA      | $12115.21      | 0.00%             | 2039-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8XX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19672 | PA      | $20563.12      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8YY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31716 | PA      | $33025.74      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8Z72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92760 | PA      | $95385.41      | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M8ZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22590 | PA      | $22742.36      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M92T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155364 | PA      | $156048.20     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9AV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2666 | PA      | $2684.30       | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9DE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     578187 | PA      | $552702.88     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9DZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8854 | PA      | $9096.90       | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9FH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170743 | PA      | $175701.38     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9FS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     891930 | PA      | $943473.12     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9GS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2188537 | PA      | $2250756.39    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9K84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25230 | PA      | $25944.62      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9KG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3826 | PA      | $3864.05       | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9KW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91377 | PA      | $92288.61      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9NX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134783 | PA      | $125442.40     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9PY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25896 | PA      | $23357.04      | 0.00%             | 2043-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9RS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     219970 | PA      | $198724.27     | 0.00%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9SS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     901921 | PA      | $865483.82     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9TA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     911715 | PA      | $823660.36     | 0.00%             | 2043-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9UC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19522 | PA      | $19242.79      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9VE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14752 | PA      | $15170.86      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9VQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11632 | PA      | $11139.22      | 0.00%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9X64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7844 | PA      | $7258.77       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9XA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6121 | PA      | $6387.72       | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9XS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7090 | PA      | $7412.26       | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9YH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112196 | PA      | $112689.96     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28215 | PA      | $29015.52      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MACH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72193 | PA      | $72509.93      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     677526 | PA      | $665909.03     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MAET2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     515544 | PA      | $506348.23     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MAFA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3365669 | PA      | $3225275.11    | 0.01%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MAFM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     307107 | PA      | $308459.24     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MC3E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        846 | PA      | $842.72        | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MC5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        118 | PA      | $118.04        | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MCYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        886 | PA      | $884.04        | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MD5D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     365053 | PA      | $358815.80     | 0.00%             | 2029-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDDW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1370 | PA      | $1361.04       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDEX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25174 | PA      | $25077.62      | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDGE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38224 | PA      | $37897.00      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDLH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18071 | PA      | $17904.20      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDMZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $48.09         | 0.00%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5674 | PA      | $5624.48       | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDRM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94326 | PA      | $93349.63      | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MDTZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10452 | PA      | $10293.33      | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128ME3Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21650 | PA      | $21242.80      | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128ME7E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39497 | PA      | $38719.91      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEBV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     368949 | PA      | $363563.04     | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MECV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     688777 | PA      | $679353.68     | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEE49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85540 | PA      | $83582.84      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEHX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95062 | PA      | $93661.60      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22762 | PA      | $22528.54      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MERD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        392 | PA      | $391.75        | 0.00%             | 2025-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MES77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26004 | PA      | $25776.11      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEX22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     323681 | PA      | $314617.83     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MEYY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        933 | PA      | $927.16        | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFBC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1439997 | PA      | $1413176.08    | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66971 | PA      | $66307.70      | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFDB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10216661 | PA      | $9895359.64    | 0.03%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFDL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242842 | PA      | $240310.94     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFE46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     566617 | PA      | $547470.57     | 0.00%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFEK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     429856 | PA      | $426484.90     | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFH35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     405618 | PA      | $391546.64     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1749488 | PA      | $1688930.93    | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFHK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2450507 | PA      | $2424296.46    | 0.01%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFKN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1018062 | PA      | $993662.39     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFKU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1107380 | PA      | $1069046.88    | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFKV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     924842 | PA      | $891465.79     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFKW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1000413 | PA      | $964628.93     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFNY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     523646 | PA      | $512121.23     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFQB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3138134 | PA      | $3055578.12    | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFQV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259681 | PA      | $249989.29     | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFRQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     153981 | PA      | $148545.10     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFRU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     885276 | PA      | $865511.68     | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFSF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1589719 | PA      | $1566682.05    | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFSX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69130 | PA      | $67965.80      | 0.00%             | 2031-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFYU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $50.22         | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MFZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1007513 | PA      | $981438.68     | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2411366 | PA      | $2269922.94    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     376137 | PA      | $364581.61     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     577318 | PA      | $559581.53     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9432809 | PA      | $8879511.54    | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76768 | PA      | $74409.66      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88202 | PA      | $83028.69      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     341573 | PA      | $331078.99     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ2W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     452408 | PA      | $425870.87     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52491 | PA      | $49412.22      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1505464 | PA      | $1459213.41    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8182 | PA      | $7702.16       | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2387141 | PA      | $2313802.65    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4171728 | PA      | $3927027.97    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     678535 | PA      | $638222.71     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ3Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     197606 | PA      | $201154.16     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1517328 | PA      | $1467835.46    | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     585844 | PA      | $596362.77     | 0.00%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     279434 | PA      | $253388.93     | 0.00%             | 2048-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     988770 | PA      | $956518.29     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     488689 | PA      | $497463.46     | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ4X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     837292 | PA      | $834000.60     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ5C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1841836 | PA      | $1781758.51    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ5E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111188 | PA      | $113084.72     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ5H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     181456 | PA      | $175537.27     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ5W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     559979 | PA      | $507786.00     | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJ6A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43201 | PA      | $43937.86      | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJA42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3186 | PA      | $3268.46       | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14436 | PA      | $15031.93      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJA67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1254 | PA      | $1314.86       | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4012 | PA      | $4178.00       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        571 | PA      | $598.33        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        849 | PA      | $884.45        | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        747 | PA      | $795.00        | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38134 | PA      | $39708.62      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1865 | PA      | $1955.21       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        747 | PA      | $777.60        | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1782 | PA      | $1830.84       | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        891 | PA      | $938.92        | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49286 | PA      | $51321.31      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4020 | PA      | $4194.79       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        437 | PA      | $466.72        | 0.00%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        936 | PA      | $961.59        | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1039 | PA      | $1095.33       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1968 | PA      | $2021.61       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2793 | PA      | $2914.07       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6705 | PA      | $6888.85       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        677 | PA      | $706.00        | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1361 | PA      | $1435.39       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        263 | PA      | $270.27        | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJCY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38757 | PA      | $40442.62      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJD49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2537 | PA      | $2651.19       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        779 | PA      | $799.95        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        536 | PA      | $564.86        | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4329 | PA      | $4516.88       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1850 | PA      | $1950.35       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJDW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1143 | PA      | $1192.56       | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJEB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        713 | PA      | $754.53        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        825 | PA      | $883.61        | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2396 | PA      | $2503.74       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJFH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        960 | PA      | $1002.70       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJHD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        983 | PA      | $1043.09       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJHP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1089 | PA      | $1155.57       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     154628 | PA      | $161770.02     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJJP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26223 | PA      | $27433.60      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2258 | PA      | $2395.72       | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJKN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1154 | PA      | $1207.17       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJL24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11607 | PA      | $11723.33      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJL57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22364 | PA      | $22588.16      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJL65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1378 | PA      | $1417.19       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJLN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3234 | PA      | $3266.05       | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJLW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2159 | PA      | $2180.48       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18303 | PA      | $18486.12      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5560 | PA      | $5480.45       | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120411 | PA      | $121617.48     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        661 | PA      | $680.15        | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJMW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12100 | PA      | $12221.36      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJNG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4630 | PA      | $4761.33       | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJNK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100617 | PA      | $103473.45     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJP95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25358 | PA      | $25528.42      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJPA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5379 | PA      | $5424.48       | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJPG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9884 | PA      | $9967.49       | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJPV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6194 | PA      | $6236.04       | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110293 | PA      | $105327.72     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQ45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2335 | PA      | $2302.04       | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55706 | PA      | $53251.53      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15692 | PA      | $15797.09      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15301 | PA      | $15088.00      | 0.00%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1724 | PA      | $1700.38       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJQT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2707 | PA      | $2669.70       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJRD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30695 | PA      | $30130.58      | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJRE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15288 | PA      | $14229.58      | 0.00%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60318 | PA      | $54492.13      | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     578565 | PA      | $535396.93     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70863 | PA      | $63915.92      | 0.00%             | 2043-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     498231 | PA      | $461056.92     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     685832 | PA      | $634660.34     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJT75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     267555 | PA      | $262799.03     | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJTA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     510568 | PA      | $472473.11     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJTJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     421742 | PA      | $423595.67     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJTQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2862 | PA      | $2811.11       | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147775 | PA      | $141509.39     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJU24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4409 | PA      | $4421.49       | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17111 | PA      | $16698.33      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJU99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16906 | PA      | $16952.17      | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJUC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     256135 | PA      | $256833.61     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJUV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     149782 | PA      | $146166.06     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJUW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10920 | PA      | $10949.77      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJUZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     233780 | PA      | $221873.00     | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJV23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11245 | PA      | $10624.52      | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJV56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17751646 | PA      | $16277730.05   | 0.04%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJV64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2499 | PA      | $2360.82       | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJV80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75908 | PA      | $66641.64      | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5350916 | PA      | $5078371.53    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     377396 | PA      | $378425.53     | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5592 | PA      | $5138.53       | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77300 | PA      | $77510.27      | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64072 | PA      | $62524.90      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJVZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63552 | PA      | $58275.53      | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1666192 | PA      | $1625389.25    | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJW89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126801 | PA      | $116272.75     | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     532954 | PA      | $488703.10     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37604 | PA      | $35527.79      | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     905342 | PA      | $883171.52     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     149250 | PA      | $136857.58     | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218906 | PA      | $206819.49     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJX39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14369110 | PA      | $13086240.72   | 0.03%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     735082 | PA      | $693934.13     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26242 | PA      | $23898.71      | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJX88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1227500 | PA      | $1158789.01    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     178555 | PA      | $168696.56     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4217000 | PA      | $3866863.08    | 0.01%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2369510 | PA      | $2238685.81    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1277373 | PA      | $1171312.92    | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11612 | PA      | $10970.98      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJXX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65298 | PA      | $61692.88      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJY53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55188 | PA      | $48491.94      | 0.00%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJY61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5677877 | PA      | $5170958.28    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJY87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11742483 | PA      | $11413790.18   | 0.03%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182739 | PA      | $182294.50     | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     379038 | PA      | $345197.56     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2538879 | PA      | $2467811.00    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167924 | PA      | $167515.58     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     391828 | PA      | $369895.11     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8200971 | PA      | $7468790.71    | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124151 | PA      | $123848.46     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3259365 | PA      | $2968369.83    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1415092 | PA      | $1335880.19    | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     764300 | PA      | $742906.22     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64755 | PA      | $58973.39      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJYZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     366377 | PA      | $345868.28     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1999903 | PA      | $1882594.98    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZ52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1649100 | PA      | $1449025.39    | 0.00%             | 2047-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZ86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121295 | PA      | $114180.10     | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2088 | PA      | $2024.33       | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28312990 | PA      | $25785215.39   | 0.07%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     893598 | PA      | $843577.23     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     771177 | PA      | $677614.57     | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7519376 | PA      | $6848048.85    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     237479 | PA      | $224185.27     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     737622 | PA      | $648131.16     | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22371079 | PA      | $20373795.77   | 0.05%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3863089 | PA      | $3646845.41    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2784957 | PA      | $2707001.44    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     730687 | PA      | $665451.51     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5900411 | PA      | $5570125.39    | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12933 | PA      | $11363.53      | 0.00%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MJZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68301 | PA      | $64294.50      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMM59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        147 | PA      | $146.58        | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMM75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $31.81         | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMNN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $106.59        | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMNQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26008 | PA      | $25894.35      | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMP31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17440 | PA      | $17209.91      | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3540 | PA      | $3521.45       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8234 | PA      | $8169.32       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        341 | PA      | $339.40        | 0.00%             | 2027-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1904 | PA      | $1887.85       | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMPY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6833 | PA      | $6748.66       | 0.00%             | 2027-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMQP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2753 | PA      | $2711.70       | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5326 | PA      | $5244.00       | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMQU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3230 | PA      | $3164.94       | 0.00%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1554 | PA      | $1529.53       | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMR47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4147 | PA      | $4118.07       | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMR62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1074 | PA      | $1059.41       | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMRA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22389 | PA      | $21894.55      | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17354 | PA      | $17151.78      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMRZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5955 | PA      | $5914.56       | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMS53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44053 | PA      | $42736.11      | 0.00%             | 2030-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMS61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36473 | PA      | $35615.68      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1378126 | PA      | $1359303.92    | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74648 | PA      | $74112.83      | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134447 | PA      | $132542.99     | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41982 | PA      | $41679.20      | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1798 | PA      | $1784.42       | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2039 | PA      | $2009.07       | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259045 | PA      | $255133.10     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMSY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71397 | PA      | $70319.51      | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107918 | PA      | $105101.40     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     806800 | PA      | $793149.54     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8049 | PA      | $7983.36       | 0.00%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3513 | PA      | $3419.98       | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMT94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114229 | PA      | $112249.94     | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1107485 | PA      | $1081047.13    | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422673 | PA      | $412318.94     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     867169 | PA      | $853101.17     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345473 | PA      | $336957.61     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4868217 | PA      | $4747254.59    | 0.01%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     373876 | PA      | $367719.70     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48262 | PA      | $47046.22      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78060 | PA      | $76774.01      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5863 | PA      | $5712.16       | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMU35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2639490 | PA      | $2591131.44    | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMU76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1641099 | PA      | $1610914.78    | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMUC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     254472 | PA      | $249962.56     | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMUM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1786626 | PA      | $1755456.14    | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMUS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1011953 | PA      | $993741.18     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     526520 | PA      | $516390.27     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     153065 | PA      | $148461.99     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     604744 | PA      | $586352.52     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     555187 | PA      | $538059.22     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137312 | PA      | $133025.71     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMVZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2273012 | PA      | $2201131.05    | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6676383 | PA      | $6432104.59    | 0.02%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMW74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     222457 | PA      | $214233.93     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369126 | PA      | $356061.87     | 0.00%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMWV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     640389 | PA      | $625438.67     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMWY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     263188 | PA      | $253662.05     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMXF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137139 | PA      | $133754.34     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35795 | PA      | $34860.20      | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMXM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     412335 | PA      | $395835.83     | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMXX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     566826 | PA      | $566372.79     | 0.00%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMYT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105649 | PA      | $105568.55     | 0.00%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128MMZF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     262400 | PA      | $250851.77     | 0.00%             | 2034-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128P7PH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     292780 | PA      | $294949.78     | 0.00%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128P8FX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4212044 | PA      | $4092605.50    | 0.01%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128P8GG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4269871 | PA      | $4145993.57    | 0.01%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PT6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2086 | PA      | $2080.67       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PT7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2014 | PA      | $2008.25       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTGC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.13         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTGS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         70 | PA      | $69.70         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTJX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        143 | PA      | $143.47        | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTVN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        101 | PA      | $100.62        | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTWA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         95 | PA      | $95.09         | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PTZR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3778 | PA      | $3769.51       | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PU3P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1591 | PA      | $1584.82       | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUHG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15265 | PA      | $15222.09      | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUJ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        393 | PA      | $391.74        | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUND0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        880 | PA      | $877.46        | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUT44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $30.84         | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PUW73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        298 | PA      | $297.22        | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        588 | PA      | $586.91        | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVDE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        291 | PA      | $290.09        | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVLA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11521 | PA      | $11479.17      | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVLM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $65.51         | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVU32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        383 | PA      | $381.93        | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29220 | PA      | $29098.41      | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PVZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3089 | PA      | $3076.64       | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWAU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8171 | PA      | $8137.41       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWDD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        390 | PA      | $388.05        | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWJ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        755 | PA      | $751.90        | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWQ76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1141 | PA      | $1135.64       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PWVZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16868 | PA      | $16761.78      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PX5W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8133 | PA      | $8072.61       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PX7M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3402 | PA      | $3376.77       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PXBA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15831 | PA      | $15723.66      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PXDV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9568 | PA      | $9503.13       | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PXH25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2233 | PA      | $2217.41       | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PXLK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17221 | PA      | $17104.52      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYAA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35501 | PA      | $35224.28      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYJE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20045 | PA      | $19937.65      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYPC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9596 | PA      | $9517.56       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYUK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2948 | PA      | $2932.14       | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47835 | PA      | $47447.83      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYWU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8343 | PA      | $8269.82       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYY32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9386 | PA      | $9309.50       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128PYZF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51984 | PA      | $51547.47      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0D53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8974 | PA      | $8897.82       | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0DK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11328 | PA      | $11232.74      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0E78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100137 | PA      | $99298.60      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0E94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     370200 | PA      | $367060.02     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0J32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35111 | PA      | $34784.34      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0J81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21428 | PA      | $21228.79      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0VE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28754 | PA      | $28476.60      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q0VV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63413 | PA      | $62625.76      | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q1A47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18132 | PA      | $17958.51      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q1BX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22780 | PA      | $22587.68      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3128Q1CT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21029 | PA      | $20834.11      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128QP5C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57569 | PA      | $58657.85      | 0.00%             | 2040-11-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128S5GP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158181 | PA      | $160647.88     | 0.00%             | 2038-12-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128UGAQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41549 | PA      | $42259.39      | 0.00%             | 2040-11-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128UGB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2967 | PA      | $3008.78       | 0.00%             | 2040-11-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128UGY27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6598 | PA      | $6737.90       | 0.00%             | 2041-07-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 3128UHER2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     297863 | PA      | $303372.22     | 0.00%             | 2041-09-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129262Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        926 | PA      | $991.25        | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312926ND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        267 | PA      | $282.29        | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129274H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1519 | PA      | $1612.18       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312927ET9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1770 | PA      | $1878.76       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312927GU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7188 | PA      | $7520.31       | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129285R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15708 | PA      | $16433.52      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312928VW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1707 | PA      | $1786.34       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312928XJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        450 | PA      | $485.13        | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312928YM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2995 | PA      | $3133.81       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929DS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7909 | PA      | $8274.33       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929GG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        110 | PA      | $115.30        | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929GY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1033 | PA      | $1080.52       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929L59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        412 | PA      | $431.38        | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312929W57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3277 | PA      | $3429.22       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G2K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $20.99         | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G2N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        197 | PA      | $202.19        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         68 | PA      | $70.70         | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G4U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $64.83         | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G5P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2216 | PA      | $2320.56       | 0.00%             | 2029-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G5V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         68 | PA      | $70.41         | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G6H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        221 | PA      | $225.34        | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G6K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        430 | PA      | $448.36        | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G6Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $20.36         | 0.00%             | 2029-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292G6Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        190 | PA      | $199.76        | 0.00%             | 2029-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GQ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.18          | 0.00%             | 2026-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GQA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.62          | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GQB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $4.80          | 0.00%             | 2026-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GQF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.09          | 0.00%             | 2026-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GR24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $43.02         | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GR65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.46          | 0.00%             | 2027-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GRC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $11.29         | 0.00%             | 2026-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GRQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $15.79         | 0.00%             | 2027-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GRY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         81 | PA      | $81.43         | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GRZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $25.04         | 0.00%             | 2027-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GSN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $29.24         | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GT22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $10.66         | 0.00%             | 2027-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.36          | 0.00%             | 2027-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $38.02         | 0.00%             | 2027-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $146.25        | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $67.87         | 0.00%             | 2027-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GTT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         74 | PA      | $75.94         | 0.00%             | 2027-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GU38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.43          | 0.00%             | 2028-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GU53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $157.56        | 0.00%             | 2028-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GUW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        115 | PA      | $117.18        | 0.00%             | 2028-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GV52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.27          | 0.00%             | 2028-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GVB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        169 | PA      | $172.90        | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $72.26         | 0.00%             | 2028-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GVY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        204 | PA      | $208.73        | 0.00%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GVZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.07          | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GWG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $137.53        | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GX68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        591 | PA      | $607.53        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GXF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        202 | PA      | $208.18        | 0.00%             | 2028-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GXH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        166 | PA      | $169.44        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GXS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        547 | PA      | $561.96        | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GXT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $64.77         | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GY34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1262 | PA      | $1291.03       | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GY42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        542 | PA      | $557.77        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GY59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $95.96         | 0.00%             | 2029-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GYH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        177 | PA      | $182.25        | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GZB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        145 | PA      | $147.30        | 0.00%             | 2029-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $114.12        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292GZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $73.42         | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H2D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7705 | PA      | $8051.28       | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H2E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10527 | PA      | $10781.39      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1444 | PA      | $1509.22       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H4J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        321 | PA      | $332.64        | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H4V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6022 | PA      | $6431.79       | 0.00%             | 2033-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292H5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19281 | PA      | $19963.87      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HAA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         76 | PA      | $80.56         | 0.00%             | 2029-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HAK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $42.67         | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HAL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $24.62         | 0.00%             | 2030-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HAV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $47.71         | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HBA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $45.21         | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.46         | 0.00%             | 2030-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HCY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $29.82         | 0.00%             | 2030-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HD50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $3.95          | 0.00%             | 2030-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HD68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.85         | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HD76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         89 | PA      | $94.39         | 0.00%             | 2030-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.86         | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HEE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $76.99         | 0.00%             | 2030-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.93         | 0.00%             | 2030-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HHG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $43.55         | 0.00%             | 2031-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HJ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         88 | PA      | $92.73         | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        296 | PA      | $306.62        | 0.00%             | 2031-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        145 | PA      | $149.88        | 0.00%             | 2031-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HJR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        340 | PA      | $357.21        | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HK45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $63.37         | 0.00%             | 2031-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HK94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $356.20        | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HKJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        767 | PA      | $805.29        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HKX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        190 | PA      | $199.59        | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        708 | PA      | $747.46        | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HL93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        237 | PA      | $249.03        | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $69.23         | 0.00%             | 2031-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $101.36        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HN91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6599 | PA      | $6862.21       | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1843 | PA      | $1907.58       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HNG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        477 | PA      | $503.90        | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HNH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        451 | PA      | $466.53        | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HNN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1357 | PA      | $1429.56       | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        395 | PA      | $406.08        | 0.00%             | 2032-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HQC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         87 | PA      | $92.02         | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HQU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        532 | PA      | $563.48        | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HQY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        666 | PA      | $704.70        | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1784 | PA      | $1855.41       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HR89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12520 | PA      | $12928.46      | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        373 | PA      | $392.91        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HRP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1355 | PA      | $1433.50       | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HS88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3204 | PA      | $3308.28       | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HS96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1448 | PA      | $1505.77       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        311 | PA      | $329.31        | 0.00%             | 2032-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5645 | PA      | $5829.36       | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        326 | PA      | $336.68        | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        342 | PA      | $355.78        | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HSZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4055 | PA      | $4187.53       | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HTP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        203 | PA      | $214.74        | 0.00%             | 2032-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HU28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1811 | PA      | $1875.33       | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        377 | PA      | $394.21        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1074 | PA      | $1122.51       | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HWM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3491 | PA      | $3614.50       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HX33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17575 | PA      | $17999.82      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        635 | PA      | $657.43        | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HXB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111165 | PA      | $113851.78     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292HZN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58828 | PA      | $60912.13      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1778 | PA      | $1823.61       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5790 | PA      | $6071.62       | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        523 | PA      | $529.84        | 0.00%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1194 | PA      | $1252.06       | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JBU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14602 | PA      | $15542.78      | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292JZQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8343 | PA      | $8823.52       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4917 | PA      | $4958.52       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5306 | PA      | $5630.73       | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11001 | PA      | $11312.98      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10113 | PA      | $10199.06      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K2Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17403 | PA      | $17897.49      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292K4B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     617888 | PA      | $635427.64     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292KX93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21110 | PA      | $21320.63      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292KZ91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13397 | PA      | $13205.15      | 0.00%             | 2040-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292KZW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7744 | PA      | $7821.99       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292KZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18217 | PA      | $18739.26      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292L4F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20650 | PA      | $19219.62      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292L5D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     224059 | PA      | $208542.14     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292L5F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     254233 | PA      | $236626.84     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292L6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93039 | PA      | $86596.75      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LA54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50644 | PA      | $52149.64      | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LCR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     950434 | PA      | $978591.16     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LD28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10162 | PA      | $9740.34       | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LE43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4959 | PA      | $4888.17       | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LEB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18849 | PA      | $18586.64      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LF34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1377446 | PA      | $1324979.59    | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5915 | PA      | $5648.60       | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LG66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26086 | PA      | $24911.25      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LGW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     510276 | PA      | $487772.97     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16030 | PA      | $16137.42      | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     864789 | PA      | $826652.24     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19260 | PA      | $18392.50      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LPX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     326672 | PA      | $314002.26     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292LV93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2575654 | PA      | $2477548.75    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292MA78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2774 | PA      | $2735.53       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SA42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1485655 | PA      | $1382770.47    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SA67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     238160 | PA      | $221666.62     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SA83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     468043 | PA      | $422155.37     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41245 | PA      | $39427.40      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SAM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     632068 | PA      | $604213.00     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     658300 | PA      | $629288.79     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15382 | PA      | $15010.20      | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SBM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1375922 | PA      | $1317580.39    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SBU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18246 | PA      | $18326.54      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292SCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     225098 | PA      | $219662.79     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292UX34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $34.56         | 0.00%             | 2028-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292VT37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        130 | PA      | $131.80        | 0.00%             | 2028-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31292WCK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1383 | PA      | $1392.52       | 0.00%             | 2028-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129302P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41385 | PA      | $43296.57      | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129306W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        641 | PA      | $646.97        | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930CC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        261 | PA      | $273.25        | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930D64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9500 | PA      | $9729.68       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930RM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5297 | PA      | $5711.98       | 0.00%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930TT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3087 | PA      | $3276.30       | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930WU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        593 | PA      | $619.96        | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312930ZZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2443 | PA      | $2467.11       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129312U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        362 | PA      | $365.32        | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129314M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1459 | PA      | $1437.94       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931DB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1719 | PA      | $1736.90       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931GB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        227 | PA      | $229.66        | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931N53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2942 | PA      | $2971.84       | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $113.07        | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931SZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12450 | PA      | $12574.09      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931T32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     154242 | PA      | $155778.87     | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931T73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1297112 | PA      | $1310063.25    | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931VP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        295 | PA      | $298.42        | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312931YW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        621 | PA      | $627.45        | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932EY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1044 | PA      | $1054.62       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932F68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3550 | PA      | $3499.42       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932GN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        301 | PA      | $304.20        | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932JW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        436 | PA      | $429.37        | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932JX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        561 | PA      | $566.26        | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932L38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4216 | PA      | $4155.27       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932LG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15061 | PA      | $15775.12      | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932PM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        868 | PA      | $855.80        | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932PN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1012 | PA      | $1021.73       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932UX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12592 | PA      | $13189.21      | 0.00%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932WL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9425 | PA      | $9860.01       | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312932ZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1662 | PA      | $1709.77       | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129336D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11259 | PA      | $11097.21      | 0.00%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933AN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35069 | PA      | $36074.11      | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933AQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34900 | PA      | $35249.58      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933BM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2236 | PA      | $2257.98       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933G65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20425 | PA      | $20629.54      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933J47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     309467 | PA      | $320429.27     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933PV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15573 | PA      | $15349.47      | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933W59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16524 | PA      | $16689.09      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933WP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3768 | PA      | $3714.38       | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312933WS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20934 | PA      | $21921.80      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934C34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7008 | PA      | $7078.34       | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934CR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8213 | PA      | $8095.21       | 0.00%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934CX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21858 | PA      | $21544.39      | 0.00%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934DL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9140 | PA      | $9231.98       | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934FS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23173 | PA      | $23405.24      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934HK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12137 | PA      | $12485.60      | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934SC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2035 | PA      | $2054.94       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934UK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11547 | PA      | $11662.57      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934VQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13751 | PA      | $13888.47      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934XE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51155 | PA      | $52621.71      | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312934XJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8674 | PA      | $8761.07       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129354H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1266 | PA      | $1301.98       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129355F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4966 | PA      | $4895.09       | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129355P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5178 | PA      | $5229.61       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129357C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2497 | PA      | $2522.06       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935BP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9524 | PA      | $9619.64       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935H85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4520 | PA      | $4565.62       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935M97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     341964 | PA      | $358157.21     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935PD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1577 | PA      | $1553.98       | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312935ZC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        621 | PA      | $638.08        | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129367L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1879 | PA      | $1898.06       | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936CD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1797 | PA      | $1815.40       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936FP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1278 | PA      | $1290.33       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936HU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300373 | PA      | $308975.87     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936KB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1413 | PA      | $1453.45       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936KM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11949 | PA      | $12287.61      | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936LL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29231 | PA      | $29522.36      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936MH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24948 | PA      | $24589.59      | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936NA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1458304 | PA      | $1472910.64    | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936PC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1928 | PA      | $1947.62       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936PJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2395 | PA      | $2463.27       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936PN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32324 | PA      | $31860.22      | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936PP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1459 | PA      | $1473.65       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936RE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2637 | PA      | $2663.37       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936RV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6825 | PA      | $6893.66       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312936Y27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10337 | PA      | $10188.84      | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312937BJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6837 | PA      | $6905.90       | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129383F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116046 | PA      | $119372.52     | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129386V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5654 | PA      | $5701.52       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938A78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6058 | PA      | $6118.58       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938AR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8020 | PA      | $7904.51       | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938AS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4803 | PA      | $4734.36       | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938CF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9825 | PA      | $10106.11      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938DK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4009 | PA      | $4123.92       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938FW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        794 | PA      | $816.41        | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938H63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3335 | PA      | $3287.54       | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938J38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29649 | PA      | $29944.73      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938JX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2095 | PA      | $2116.32       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938M26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5682 | PA      | $5739.37       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938R62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8418 | PA      | $8502.40       | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938U76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25209 | PA      | $25931.84      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938WZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36832 | PA      | $36303.05      | 0.00%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938X57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10046 | PA      | $10146.35      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938Z48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19911 | PA      | $20110.00      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312938ZA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3714 | PA      | $3820.68       | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129393F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6349 | PA      | $6403.00       | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129395D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91026 | PA      | $93609.95      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939CK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        971 | PA      | $980.28        | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939CX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3075 | PA      | $3100.72       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939DV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3041 | PA      | $3071.35       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939GJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4537 | PA      | $4471.48       | 0.00%             | 2040-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939HY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5958 | PA      | $6128.00       | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939J77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5825 | PA      | $5883.20       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2831 | PA      | $2855.11       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939JE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12923 | PA      | $13032.66      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939JJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9999 | PA      | $10282.88      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939JZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4238 | PA      | $4359.30       | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939M65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     342840 | PA      | $354766.00     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939NC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71237 | PA      | $71840.17      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939NH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2647 | PA      | $2722.43       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939QU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     233398 | PA      | $241695.46     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939R78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2682 | PA      | $2643.87       | 0.00%             | 2040-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312939S51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1827 | PA      | $1878.77       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293A6A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $22.39         | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293BAK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $62.85         | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293CQX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        120 | PA      | $121.31        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293EME7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $49.57         | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293GAY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1081 | PA      | $1086.83       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293HQQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $38.57         | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293HVN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        962 | PA      | $966.94        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293JDJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        562 | PA      | $568.19        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293JHC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        965 | PA      | $969.94        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293PGW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         69 | PA      | $70.43         | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293PMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $98.24         | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293QU35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        261 | PA      | $264.93        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293RYB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        120 | PA      | $120.89        | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293SD89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        153 | PA      | $155.29        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293SLG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        405 | PA      | $411.89        | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293TFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $31.08         | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293TGY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $136.52        | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293THV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         90 | PA      | $90.65         | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293THW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        100 | PA      | $102.80        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293THX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1187 | PA      | $1216.51       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31293WST8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        954 | PA      | $971.30        | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940EP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4750 | PA      | $4790.61       | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940EQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51498 | PA      | $51934.74      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940EU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2846 | PA      | $2926.62       | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940G52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8148 | PA      | $8217.50       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940K40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4449 | PA      | $4486.54       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940NZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3397 | PA      | $3425.38       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312940XF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5222 | PA      | $5265.92       | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30801 | PA      | $31062.97      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941B71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4519 | PA      | $4556.88       | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941CY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1604 | PA      | $1649.63       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941J99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54482 | PA      | $56029.01      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19577 | PA      | $20132.63      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941QB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14963 | PA      | $15387.88      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941SE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15134 | PA      | $15262.53      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941UZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     993386 | PA      | $1021584.94    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941WN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204960 | PA      | $211052.41     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312941Z42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2494 | PA      | $2564.48       | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129424F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20520 | PA      | $20226.76      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129426V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1585 | PA      | $1562.80       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942A21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25698 | PA      | $26423.93      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942CB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6646 | PA      | $6551.11       | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942GC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24093 | PA      | $24775.98      | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942NF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        968 | PA      | $953.71        | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942NL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     898899 | PA      | $906531.44     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942NM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13227 | PA      | $13339.24      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942PM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3201 | PA      | $3228.55       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942QF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8270 | PA      | $8151.90       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942UW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4283 | PA      | $4221.28       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942XR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10184 | PA      | $10038.55      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312942XS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37747 | PA      | $37207.33      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312943YS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1111 | PA      | $1120.91       | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3129442R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147987 | PA      | $145869.63     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312944AF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78277 | PA      | $77157.75      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312944NU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     359841 | PA      | $354672.82     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312944PJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33522 | PA      | $33042.24      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312944TR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105802 | PA      | $104288.26     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945CB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1575 | PA      | $1588.67       | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945CZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1343 | PA      | $1354.86       | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945K56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113960 | PA      | $117195.18     | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945L89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9326 | PA      | $9196.35       | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945LK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     389753 | PA      | $393060.09     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945W79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33975 | PA      | $33489.44      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945ZG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249941 | PA      | $252029.41     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945ZL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1157681 | PA      | $1165464.55    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312945ZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41329 | PA      | $42498.48      | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946BL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7531 | PA      | $7218.80       | 0.00%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946EF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1818 | PA      | $1878.48       | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946JY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2894 | PA      | $2913.65       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946KF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14602 | PA      | $14699.21      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946LW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5279 | PA      | $5314.87       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946ML7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21845 | PA      | $21991.72      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3784 | PA      | $3809.49       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946PQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8455 | PA      | $8854.89       | 0.00%             | 2041-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946UN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3453 | PA      | $3476.39       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 312946XU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20144 | PA      | $19863.25      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294B6N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.71          | 0.00%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294EBE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        286 | PA      | $298.32        | 0.00%             | 2030-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MDE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $27.82         | 0.00%             | 2025-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MFF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        149 | PA      | $148.33        | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MM24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1177 | PA      | $1168.54       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MMB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15889 | PA      | $15764.60      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294MNR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4666 | PA      | $4614.85       | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294NSB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64240 | PA      | $63344.01      | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294NVQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2167 | PA      | $2134.02       | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294NVW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     928800 | PA      | $915136.94     | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31294T7M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104864 | PA      | $103943.59     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296JML7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        668 | PA      | $683.94        | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296JP59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        300 | PA      | $307.62        | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296K5E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1363 | PA      | $1379.44       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296K7H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        998 | PA      | $1033.50       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296KKG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1098 | PA      | $1137.07       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296KLG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1859 | PA      | $1925.23       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296LK75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1910 | PA      | $1956.50       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296LZK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5352 | PA      | $5481.12       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296M2N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1845 | PA      | $1928.50       | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296MKJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23539 | PA      | $24108.54      | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296N2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22889 | PA      | $23445.37      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296N3D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        848 | PA      | $868.57        | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296N5F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18337 | PA      | $18780.63      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296NGK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2397 | PA      | $2454.60       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296NMW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        109 | PA      | $112.48        | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296NT98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        344 | PA      | $359.83        | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296NY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2251 | PA      | $2305.14       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296PA51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20848 | PA      | $21586.21      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296PEJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8176 | PA      | $8373.72       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296PXM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5278 | PA      | $5515.09       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296PXR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10023 | PA      | $10265.58      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296QCV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1136 | PA      | $1186.82       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296QHQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3375 | PA      | $3494.86       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296RND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        503 | PA      | $525.74        | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296RV39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13518 | PA      | $13845.03      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296S2V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        591 | PA      | $612.35        | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SM29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4977 | PA      | $5153.79       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SM37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        350 | PA      | $362.20        | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SQT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1640 | PA      | $1698.21       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SUV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3957 | PA      | $4193.23       | 0.00%             | 2033-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296SWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5361 | PA      | $5550.94       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296UZT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78392 | PA      | $81632.45      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296W5V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        556 | PA      | $563.13        | 0.00%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296WDQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        156 | PA      | $158.08        | 0.00%             | 2031-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296WEY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        208 | PA      | $210.72        | 0.00%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296WF44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4322 | PA      | $4433.47       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296WGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2136 | PA      | $2191.88       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296X7E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2406 | PA      | $2467.73       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296YCU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1013 | PA      | $1039.45       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296YPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4201 | PA      | $4309.98       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296YQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5050 | PA      | $5180.47       | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31296YUF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10742 | PA      | $11021.87      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297A5W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        347 | PA      | $356.15        | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297ANS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        255 | PA      | $257.98        | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297AQR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9070 | PA      | $9305.58       | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297AT95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1598 | PA      | $1636.85       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297B6C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1537 | PA      | $1635.55       | 0.00%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297BA77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1786 | PA      | $1832.18       | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297BBH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        462 | PA      | $473.45        | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297CBK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2416 | PA      | $2534.47       | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297CDQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        131 | PA      | $132.50        | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297CG53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1115 | PA      | $1161.57       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297CLL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6240 | PA      | $6547.88       | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297DCJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        218 | PA      | $228.22        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297DMW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        423 | PA      | $443.37        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297DPR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         77 | PA      | $81.19         | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297DSU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3855 | PA      | $4013.68       | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19494 | PA      | $20296.44      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FDM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1300 | PA      | $1362.72       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FJQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1005 | PA      | $1046.53       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FM42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        173 | PA      | $180.61        | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FXH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2567 | PA      | $2672.91       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FYG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1117 | PA      | $1163.19       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FYM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1527 | PA      | $1589.70       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297FYR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        410 | PA      | $427.03        | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297GMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        417 | PA      | $434.43        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297H4M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2551 | PA      | $2616.72       | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HCJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1212 | PA      | $1243.60       | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HRZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5225 | PA      | $5441.03       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HTV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        358 | PA      | $372.86        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3415 | PA      | $3503.81       | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297HXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17308 | PA      | $18022.47      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297KGQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        719 | PA      | $737.88        | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297KLP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        557 | PA      | $580.16        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297LDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        445 | PA      | $463.77        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297LU57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        230 | PA      | $240.52        | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297MTZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2373 | PA      | $2438.26       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297MUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        340 | PA      | $355.24        | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297NH33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1410 | PA      | $1471.07       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297NLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        598 | PA      | $622.30        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297P7L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     144212 | PA      | $150484.88     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297PCE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1110 | PA      | $1158.03       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297PKL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        558 | PA      | $581.90        | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297QRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6620 | PA      | $6907.85       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297QRH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4400 | PA      | $4521.06       | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297QZZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3719 | PA      | $3880.99       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297S6L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        534 | PA      | $548.63        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SBJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26135 | PA      | $26453.55      | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SDL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2819 | PA      | $2895.96       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2888 | PA      | $2966.68       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SM44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        924 | PA      | $949.72        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1750 | PA      | $1798.34       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     283071 | PA      | $290823.19     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297SWX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10192 | PA      | $10469.23      | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297TMN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48521 | PA      | $49849.42      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297TR47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3760 | PA      | $3923.39       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297TXD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1272 | PA      | $1306.83       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297U6G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2489 | PA      | $2557.26       | 0.00%             | 2030-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297UVE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1815 | PA      | $1913.86       | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297V3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5631 | PA      | $5699.57       | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297V7D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        192 | PA      | $197.57        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2529 | PA      | $2639.21       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1315 | PA      | $1350.87       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        243 | PA      | $253.62        | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VQ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        321 | PA      | $337.98        | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VS74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24022 | PA      | $25067.02      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        838 | PA      | $874.74        | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        484 | PA      | $504.87        | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297VXR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1252 | PA      | $1286.00       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31297Y3U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        299 | PA      | $308.20        | 0.00%             | 2030-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298BJE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1262 | PA      | $1287.82       | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298DQR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        562 | PA      | $573.03        | 0.00%             | 2030-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298EK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        383 | PA      | $394.49        | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298EV69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        254 | PA      | $268.76        | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298EW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $59.43         | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298MPS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        245 | PA      | $258.56        | 0.00%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298MUU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $27.37         | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298NMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         58 | PA      | $61.82         | 0.00%             | 2031-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298PC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        158 | PA      | $158.08        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298PTR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2019 | PA      | $2118.61       | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298QCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        139 | PA      | $143.88        | 0.00%             | 2031-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298QJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1637 | PA      | $1689.12       | 0.00%             | 2030-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298QSB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $25.10         | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298R7E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        638 | PA      | $670.70        | 0.00%             | 2031-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298TW32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        351 | PA      | $368.21        | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31298UTG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        691 | PA      | $726.92        | 0.00%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31300LQK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30270 | PA      | $30944.84      | 0.00%             | 2041-08-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31300LSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110135 | PA      | $112221.00     | 0.00%             | 2041-11-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31300LWV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164268 | PA      | $168715.74     | 0.00%             | 2042-05-01      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64051 | PA      | $63201.76      | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XEA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33985 | PA      | $33549.69      | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19874 | PA      | $19675.17      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XMG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29229 | PA      | $28949.40      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119255 | PA      | $117684.17     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XQW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259381 | PA      | $256901.30     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52869 | PA      | $52360.48      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100580 | PA      | $99585.53      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8177 | PA      | $8113.17       | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306XUA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106227 | PA      | $105216.41     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YCQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83545 | PA      | $82747.67      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YMG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20858 | PA      | $20646.65      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YTT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1084 | PA      | $1068.37       | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YZQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37972 | PA      | $37568.04      | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31306YZZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27767 | PA      | $27461.87      | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307A2T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5426 | PA      | $5322.84       | 0.00%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307AB27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11535 | PA      | $11416.10      | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307AXS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16385 | PA      | $16167.53      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307B6T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74910 | PA      | $74116.13      | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128503 | PA      | $126688.78     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BFB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9617 | PA      | $9434.90       | 0.00%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BSW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3916 | PA      | $3855.45       | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BU40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3742 | PA      | $3685.58       | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BY95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80787 | PA      | $79602.25      | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307BZD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7443 | PA      | $7330.66       | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307C3H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85168 | PA      | $84292.68      | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CJV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3222 | PA      | $3171.24       | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7566 | PA      | $7448.74       | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CLA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4114 | PA      | $4048.02       | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CLF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2550 | PA      | $2508.76       | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CV62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2348 | PA      | $2311.06       | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307CXU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10872 | PA      | $10715.64      | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307D7M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     517725 | PA      | $511972.34     | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307DDY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8593 | PA      | $8463.90       | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307E5Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18066 | PA      | $17864.38      | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307EFR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8868 | PA      | $8717.34       | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307EM27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7589 | PA      | $7457.61       | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307EMG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53420 | PA      | $52242.68      | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307ENJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18045 | PA      | $17727.47      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307EX58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51589 | PA      | $51000.13      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307FH61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12689 | PA      | $12403.84      | 0.00%             | 2028-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307FJQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13974 | PA      | $13887.29      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307FKR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3499 | PA      | $3478.35       | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307G3N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     663494 | PA      | $655091.00     | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307GXQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     207087 | PA      | $204149.78     | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HBK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194383 | PA      | $191779.30     | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HBT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6671 | PA      | $6581.95       | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     305637 | PA      | $303475.61     | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HP50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109654 | PA      | $108128.69     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HV87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62824 | PA      | $61673.56      | 0.00%             | 2029-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307HYU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54963 | PA      | $53766.88      | 0.00%             | 2029-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8760 | PA      | $8683.85       | 0.00%             | 2029-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JCY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8107 | PA      | $7952.09       | 0.00%             | 2029-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58661 | PA      | $58212.18      | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28771 | PA      | $28339.32      | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3360 | PA      | $3336.44       | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JTU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     198216 | PA      | $196739.07     | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JUD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     181157 | PA      | $179824.12     | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JV83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73830 | PA      | $72255.62      | 0.00%             | 2029-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307JWX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40334 | PA      | $39748.97      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307KA91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42420 | PA      | $41792.79      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307L2J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174184 | PA      | $170020.71     | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307L3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31381 | PA      | $30848.25      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307L6M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7377 | PA      | $7258.96       | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LEQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     388219 | PA      | $379240.50     | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LJ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7061 | PA      | $7005.74       | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LJU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72588 | PA      | $71490.17      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LKQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6725 | PA      | $6672.86       | 0.00%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LQ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87307 | PA      | $86060.33      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307LSN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     186077 | PA      | $181745.53     | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M2E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53237 | PA      | $51891.90      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M3H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     380024 | PA      | $370792.98     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M3M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     207651 | PA      | $202674.58     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M5Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27562 | PA      | $26887.22      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307M5U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     252739 | PA      | $246647.32     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MF76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123571 | PA      | $121667.62     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MFD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6224 | PA      | $6126.57       | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MJF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5164 | PA      | $5082.04       | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88425 | PA      | $86183.83      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MN77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16538 | PA      | $16136.01      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83201 | PA      | $81233.94      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MPV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1137483 | PA      | $1108636.59    | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MTD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54252 | PA      | $53057.59      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MTZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52501 | PA      | $51234.24      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67862 | PA      | $66143.23      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94547 | PA      | $92257.72      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2743 | PA      | $2698.04       | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307MWM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61682 | PA      | $60183.94      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307N3A0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90760 | PA      | $88559.95      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307N7E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105444 | PA      | $103919.92     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307N7K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58189 | PA      | $56723.76      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NBE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7181 | PA      | $7066.20       | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NBG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226688 | PA      | $221380.74     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NBJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21789 | PA      | $21259.51      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NC77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8085 | PA      | $7882.95       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NDJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4707 | PA      | $4625.13       | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NDZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37962 | PA      | $37329.42      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NHQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72365 | PA      | $70454.94      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NJT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62254 | PA      | $61769.56      | 0.00%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NRF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136072 | PA      | $132674.30     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307NUJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106078 | PA      | $104277.07     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307P2H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15589 | PA      | $15172.05      | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307P2N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4335 | PA      | $4215.15       | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307PDD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169204 | PA      | $166325.47     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307PEX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41751 | PA      | $40700.04      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307PUC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     264418 | PA      | $259937.10     | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307PXL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6290 | PA      | $6126.03       | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307QHV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13642 | PA      | $13392.30      | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307QMH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14318 | PA      | $14061.84      | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307QMX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1886 | PA      | $1834.93       | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307R4V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     154080 | PA      | $149440.31     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307RD85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     347483 | PA      | $340905.06     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307REU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     227790 | PA      | $223948.74     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307RGR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     455689 | PA      | $443283.56     | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307RHC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247523 | PA      | $242637.49     | 0.00%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307RU86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     555236 | PA      | $539525.28     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307S2J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     898998 | PA      | $881028.41     | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307S4P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     277595 | PA      | $275227.42     | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SAR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76684 | PA      | $74574.57      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1874912 | PA      | $1817777.02    | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SFL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166737 | PA      | $161637.72     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SLW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2354706 | PA      | $2283439.05    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SQQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2439316 | PA      | $2363604.52    | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257378 | PA      | $252366.71     | 0.00%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307STN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3931892 | PA      | $3810355.96    | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SV26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     457686 | PA      | $454026.85     | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307SYJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     325399 | PA      | $322597.28     | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307T5H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     305500 | PA      | $302192.75     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TDP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     215393 | PA      | $210632.89     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TFZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     471838 | PA      | $461550.21     | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TL90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166179 | PA      | $162493.37     | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TLC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81879 | PA      | $81026.66      | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TPD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     458187 | PA      | $453524.63     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TQ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85102 | PA      | $84118.13      | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TT27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311011 | PA      | $307479.77     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TTG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     295404 | PA      | $292115.13     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TZG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     413500 | PA      | $409105.16     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307TZV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300068 | PA      | $296937.80     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U2R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1244768 | PA      | $1216909.26    | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     636461 | PA      | $621525.85     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U5N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     268935 | PA      | $262691.22     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U5T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     338310 | PA      | $330680.43     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307U5Z7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     210499 | PA      | $205460.29     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UAZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     241501 | PA      | $238664.17     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UBC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     370791 | PA      | $366911.75     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UC30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     639207 | PA      | $631350.19     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UCC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180808 | PA      | $176600.14     | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UD62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168094 | PA      | $162225.35     | 0.00%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UF86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     244193 | PA      | $241465.48     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     473572 | PA      | $456679.75     | 0.00%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307ULF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     479547 | PA      | $474172.97     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UNA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     730923 | PA      | $714091.85     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UPJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     444603 | PA      | $428589.26     | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UPT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111133 | PA      | $107241.99     | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307US33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     237646 | PA      | $231913.96     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UV70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6170 | PA      | $5947.61       | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UX86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     352235 | PA      | $344243.88     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UZN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92795 | PA      | $90655.41      | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307UZZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     543406 | PA      | $530758.94     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VAL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1044734 | PA      | $1021028.21    | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VAV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     450175 | PA      | $440255.03     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VB21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12707 | PA      | $12465.93      | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75647 | PA      | $73874.77      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152469 | PA      | $148763.46     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VF76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82731 | PA      | $82195.79      | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     520252 | PA      | $507423.92     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     447632 | PA      | $430924.96     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VG42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     454414 | PA      | $449214.12     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VH33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     433373 | PA      | $423695.20     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VNE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177595 | PA      | $175219.39     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VRG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122701 | PA      | $121172.30     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VRQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1329207 | PA      | $1297864.57    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VVV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     706837 | PA      | $697443.02     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307VWA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     295794 | PA      | $291976.50     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307W5U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     213860 | PA      | $208127.00     | 0.00%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307WEE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     868358 | PA      | $855508.22     | 0.00%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307WHZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     506872 | PA      | $499646.93     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307WPM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     355774 | PA      | $346559.39     | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31307WU69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     482964 | PA      | $476642.71     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WCSL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172271 | PA      | $176232.77     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WFEM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131589 | PA      | $134839.09     | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WHCD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35136 | PA      | $36053.92      | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WLLC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35931 | PA      | $36253.08      | 0.00%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WMXS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20057 | PA      | $20233.38      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WNTF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37500 | PA      | $37830.74      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WNWP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11524 | PA      | $11625.75      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WNZQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9967 | PA      | $10055.17      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WQ5C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     375065 | PA      | $369269.77     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WQAT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     490010 | PA      | $504722.08     | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WQQ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     383042 | PA      | $385834.58     | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WQXM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42151 | PA      | $41499.26      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRAN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56204 | PA      | $55336.59      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRAU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3257 | PA      | $3280.47       | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRJZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147627 | PA      | $145346.33     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        790 | PA      | $778.19        | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131WRNE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     414139 | PA      | $425346.16     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131X7TT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28356 | PA      | $28086.84      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131X8NJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3551291 | PA      | $3481322.40    | 0.01%             | 2028-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XALG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19557 | PA      | $19404.43      | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XANJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     253485 | PA      | $249793.39     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XB3K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7750 | PA      | $7609.86       | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XBMB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24208 | PA      | $23777.18      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XBMW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     397315 | PA      | $394603.09     | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XBNM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     382688 | PA      | $378404.47     | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XBTQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     554975 | PA      | $539606.49     | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XC2M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160531 | PA      | $158718.95     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XC3E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242317 | PA      | $239401.62     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCCE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209703 | PA      | $207900.52     | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCFK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     627096 | PA      | $613910.95     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCN86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26531 | PA      | $25992.98      | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCRT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     234347 | PA      | $231862.22     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCTH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166173 | PA      | $164283.72     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1219362 | PA      | $1188648.85    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCUX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     673758 | PA      | $673511.48     | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     517461 | PA      | $510868.12     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCYX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39750 | PA      | $38784.73      | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XCZ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176650 | PA      | $174585.29     | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XD3E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     207275 | PA      | $204310.81     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDCF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73177 | PA      | $71328.29      | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDFB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     657247 | PA      | $633149.19     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDFR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11871 | PA      | $11444.05      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDJ30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208577 | PA      | $206036.81     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     455200 | PA      | $448840.84     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     374175 | PA      | $364493.49     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDM36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116267 | PA      | $114630.01     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XDNH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     326965 | PA      | $322147.13     | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XGLP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     938390 | PA      | $944939.81     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XGYP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     273801 | PA      | $281209.99     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XH3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18489 | PA      | $18210.05      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJ7K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1511858 | PA      | $1443253.85    | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJKM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75453 | PA      | $72529.70      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJM25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     326059 | PA      | $319691.25     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJS37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9332 | PA      | $8910.15       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJS60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20944 | PA      | $19997.77      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJT36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174721 | PA      | $171992.53     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJX31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     416421 | PA      | $397606.89     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XJYN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30181 | PA      | $28817.90      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XK2R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     953979 | PA      | $910689.46     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKBG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     342020 | PA      | $317973.45     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKC98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     159805 | PA      | $148568.90     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKE62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123080 | PA      | $117520.04     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173664 | PA      | $165819.75     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XKWW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2376090 | PA      | $2209029.96    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XLAC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     570195 | PA      | $530166.85     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XLAG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209757 | PA      | $200274.68     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XLJM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     229501 | PA      | $213389.59     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XMC86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     178087 | PA      | $164902.81     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XNHQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1662083 | PA      | $1536234.44    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XNS61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     237402 | PA      | $219951.87     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XPQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     645934 | PA      | $634644.58     | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XQBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120017 | PA      | $123196.32     | 0.00%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XQC53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4275 | PA      | $4166.53       | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XQDP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     252834 | PA      | $247827.02     | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XQT55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192331 | PA      | $184096.25     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XR6D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104498 | PA      | $99603.58      | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XR6S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     447710 | PA      | $412491.54     | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XR7K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     436906 | PA      | $410887.19     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRKR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     150396 | PA      | $134939.72     | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRLZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     559832 | PA      | $545507.27     | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRN91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     553133 | PA      | $508824.43     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRV76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1006028 | PA      | $958149.05     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XRXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     603299 | PA      | $574169.29     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XT2H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     449928 | PA      | $437118.59     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XT3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25635 | PA      | $24977.97      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XT4R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     254276 | PA      | $246862.15     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XT4Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     344582 | PA      | $334535.82     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTCY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37861 | PA      | $36087.57      | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTFV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218236 | PA      | $213680.80     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTHW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     310073 | PA      | $302139.01     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTVP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     437673 | PA      | $426453.29     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XTX21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1091051 | PA      | $1038370.44    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XU5N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192587 | PA      | $175221.99     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XU6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261383 | PA      | $237760.71     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUB30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     536856 | PA      | $521203.65     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUD79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     222182 | PA      | $211469.66     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUDF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     314342 | PA      | $305177.50     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUJM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     262953 | PA      | $250275.18     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUJN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     405679 | PA      | $384274.04     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUJZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106291 | PA      | $103654.75     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUK89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     594319 | PA      | $540607.24     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XULZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113416 | PA      | $110102.56     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUMZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190837 | PA      | $175692.82     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUP92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     184981 | PA      | $168262.94     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUTT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1175744 | PA      | $1100646.49    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUWZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     215995 | PA      | $198045.32     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XUY50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     328239 | PA      | $318662.04     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XV3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128610 | PA      | $125768.31     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XV5W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3612026 | PA      | $3405860.16    | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVAX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     245107 | PA      | $222955.67     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVF75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     488057 | PA      | $443948.46     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     283301 | PA      | $260201.32     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVHC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294520 | PA      | $270698.12     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVKA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1804706 | PA      | $1641605.16    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180637 | PA      | $166302.47     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4068372 | PA      | $3700691.26    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVS48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3101562 | PA      | $2924532.65    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVS63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     725155 | PA      | $659618.87     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVSF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     428735 | PA      | $416209.79     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVTS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1037850 | PA      | $987813.24     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVW92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37224 | PA      | $33860.30      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVWA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     530436 | PA      | $482497.62     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVWY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     439772 | PA      | $426940.36     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVXG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179534 | PA      | $174295.60     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     358500 | PA      | $348040.28     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVYU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1296116 | PA      | $1178978.86    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XVYW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     472639 | PA      | $429924.08     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1722275 | PA      | $1566623.83    | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWEX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     216366 | PA      | $196534.26     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWT52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     491852 | PA      | $478744.34     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1412912 | PA      | $1407899.95    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XWYU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195105 | PA      | $188879.81     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XX2J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     967853 | PA      | $964419.65     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XX4M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4339606 | PA      | $4096866.84    | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XX6Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     855242 | PA      | $804119.71     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXDR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2656 | PA      | $2646.37       | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXEF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     482394 | PA      | $467007.77     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXFL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85479 | PA      | $80369.04      | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXHX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1091980 | PA      | $1045534.38    | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXJ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2788857 | PA      | $2699901.98    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXQB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     301866 | PA      | $284980.55     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXU90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248724 | PA      | $240790.48     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXVH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118301 | PA      | $117881.81     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXWJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     468562 | PA      | $440544.81     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XXZ87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     383878 | PA      | $360931.81     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYDS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132294 | PA      | $120623.88     | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYG86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     984603 | PA      | $925748.04     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130323 | PA      | $126849.60     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYSR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2509673 | PA      | $2442790.41    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYTN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     782095 | PA      | $757149.31     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYX95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1341941 | PA      | $1261702.14    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYYX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103100 | PA      | $96215.38      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131XYZW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     676910 | PA      | $614864.32     | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y03E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134559 | PA      | $130020.30     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0AQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     181585 | PA      | $171562.02     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0BE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293677 | PA      | $267771.48     | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0C34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     536656 | PA      | $535742.68     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0DH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     125557 | PA      | $122210.69     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0DQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     939397 | PA      | $914362.59     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y0R53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     501054 | PA      | $470877.93     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y1RR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     338362 | PA      | $344048.15     | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y1XJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55826 | PA      | $55445.31      | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y1ZC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     419951 | PA      | $409528.42     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y25M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2225036 | PA      | $2213634.55    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y2RA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59412 | PA      | $59107.56      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y3JQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     883271 | PA      | $823931.09     | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y3UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     184675 | PA      | $183728.61     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y73G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1057003 | PA      | $1051586.35    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y7F28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7944 | PA      | $7820.18       | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y7S65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1226629 | PA      | $1220593.06    | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y7TD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     301695 | PA      | $291517.65     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y82W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97012 | PA      | $93739.25      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y8VW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     403539 | PA      | $387458.22     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9DC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2976347 | PA      | $2961099.94    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9DW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2326482 | PA      | $2369382.11    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9EB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1369983 | PA      | $1362964.69    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9H48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     244698 | PA      | $247190.60     | 0.00%             | 2034-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9HH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1165088 | PA      | $1159119.56    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9K51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1111984 | PA      | $1045515.00    | 0.00%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9M59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     837369 | PA      | $832435.65     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9MF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     307845 | PA      | $295577.51     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1091396 | PA      | $1047905.45    | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131Y9ZR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     984502 | PA      | $981579.54     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YA2T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     598311 | PA      | $587526.58     | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YACA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     304201 | PA      | $299173.41     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAEX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160660 | PA      | $158339.15     | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAEY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     233522 | PA      | $229151.65     | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAW71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     616582 | PA      | $611615.61     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAWG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1505263 | PA      | $1490610.62    | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YAZV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174443 | PA      | $173368.59     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBPV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1453442 | PA      | $1402089.44    | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBRX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     558788 | PA      | $506926.10     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBS82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1111928 | PA      | $1039582.51    | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBSL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     786203 | PA      | $714414.01     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     203188 | PA      | $183089.31     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YBXB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     830215 | PA      | $816036.59     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YC6X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1779740 | PA      | $1614559.55    | 0.00%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YCQ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204960 | PA      | $190413.10     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YCSB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1169251 | PA      | $1060731.24    | 0.00%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YCSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     993657 | PA      | $902925.48     | 0.00%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YCSK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     843928 | PA      | $767871.76     | 0.00%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YDCP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311975 | PA      | $307072.91     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YDD92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     206500 | PA      | $200240.07     | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3131YDG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     228973 | PA      | $219301.25     | 0.00%             | 2034-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31323AB35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1646958 | PA      | $1535208.44    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31326FRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51896 | PA      | $53166.92      | 0.00%             | 2043-05-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31326FW61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11294 | PA      | $11413.15      | 0.00%             | 2043-08-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JFG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     621572 | PA      | $611968.29     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JPQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113787 | PA      | $108646.68     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JPT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39355 | PA      | $37577.56      | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     205480 | PA      | $196197.95     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JQH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     569862 | PA      | $513344.20     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329JRB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92360 | PA      | $90025.68      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329MDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     984599 | PA      | $970530.36     | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329MMH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     314530 | PA      | $302720.51     | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329MUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     674878 | PA      | $625665.72     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329N6T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     364102 | PA      | $351821.51     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NEM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     631816 | PA      | $614604.47     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NF78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2047689 | PA      | $1876138.48    | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NG36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     227191 | PA      | $208310.59     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NJ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     326620 | PA      | $300201.93     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NJE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248815 | PA      | $228137.96     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     597313 | PA      | $547674.00     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NN20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     623613 | PA      | $571381.17     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NNQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12969999 | PA      | $12555925.43   | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NSM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3588973 | PA      | $3474393.12    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NTJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     451559 | PA      | $437150.46     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329NZ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1247872 | PA      | $1173279.74    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329P6A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     519256 | PA      | $516595.09     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329P6E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131613 | PA      | $130938.60     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4941772 | PA      | $4656243.26    | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PE82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     647091 | PA      | $657370.50     | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PEZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     684863 | PA      | $643328.62     | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PHQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2908183 | PA      | $2954293.97    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PMG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2144718 | PA      | $2133729.19    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PNA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3826992 | PA      | $3807384.40    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1035943 | PA      | $1003914.55    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PS53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     178964 | PA      | $178047.34     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     999841 | PA      | $994719.18     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1457507 | PA      | $1450039.40    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PZD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96670 | PA      | $96175.15      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329PZK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14956436 | PA      | $14879878.85   | 0.04%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QC82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2684901 | PA      | $2671154.25    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     657415 | PA      | $654046.16     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QDW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38952 | PA      | $38361.69      | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QEP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     358845 | PA      | $352810.83     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QEQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1319165 | PA      | $1295758.39    | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QHG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     415426 | PA      | $412978.25     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QWE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     846203 | PA      | $816297.01     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QWK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2551910 | PA      | $2449054.22    | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QYE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     566666 | PA      | $563171.51     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QYG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9577942 | PA      | $9016478.61    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31329QZD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1597751 | PA      | $1499102.70    | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A25E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     370885 | PA      | $379398.98     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3AW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12677 | PA      | $12479.98      | 0.00%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3DB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60224 | PA      | $59289.47      | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3NK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94270 | PA      | $92813.15      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3SA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68515 | PA      | $67456.30      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A3X47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80612 | PA      | $82792.74      | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4F94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     222881 | PA      | $201070.96     | 0.00%             | 2043-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4JE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     236068 | PA      | $231598.35     | 0.00%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4N95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208715 | PA      | $209379.82     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4PV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5662363 | PA      | $5433630.75    | 0.01%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4Q92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     335138 | PA      | $310699.49     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4QQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64453 | PA      | $64657.81      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A4R59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134229 | PA      | $134656.88     | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5AR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174073 | PA      | $166495.72     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5CC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3295 | PA      | $3211.67       | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5EP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4476 | PA      | $4223.53       | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5F59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9979763 | PA      | $9077838.62    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257214 | PA      | $225750.25     | 0.00%             | 2046-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54059 | PA      | $47445.96      | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     547779 | PA      | $498273.41     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     284421 | PA      | $268187.39     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5FX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1325140 | PA      | $1205379.59    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5G58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     223707 | PA      | $222913.95     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5G90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     251389 | PA      | $250497.29     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8517086 | PA      | $7747351.54    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4552615 | PA      | $4141170.63    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1382696 | PA      | $1257734.76    | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     289973 | PA      | $280724.09     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5GV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     630604 | PA      | $573612.86     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161554 | PA      | $160980.69     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1143662 | PA      | $1075299.11    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     846816 | PA      | $796196.88     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257448 | PA      | $249236.66     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163898 | PA      | $154101.33     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3030427 | PA      | $2933766.84    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168785 | PA      | $168186.52     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7958596 | PA      | $7229108.50    | 0.02%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5HY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2064761 | PA      | $1941339.45    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5JD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185425 | PA      | $179511.01     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5JM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5517744 | PA      | $5183882.10    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A5KC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     125594 | PA      | $124950.29     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A7WJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     229842 | PA      | $226656.71     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87677 | PA      | $86073.73      | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8G37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302647 | PA      | $297133.03     | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8P45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     278606 | PA      | $272986.77     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8Q51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     961587 | PA      | $940257.63     | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8QM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23233 | PA      | $22752.69      | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8T66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     780395 | PA      | $764784.64     | 0.00%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8TN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     718194 | PA      | $707528.61     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8XR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36114 | PA      | $34824.80      | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8Y60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     694465 | PA      | $677118.20     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A8ZR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15880 | PA      | $15725.65      | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9NM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     144246 | PA      | $142475.51     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185762 | PA      | $182419.50     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9SZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     221328 | PA      | $214197.58     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9TA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     678994 | PA      | $656641.39     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9U88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     265206 | PA      | $268125.12     | 0.00%             | 2033-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9UE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     397663 | PA      | $382433.98     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132A9US4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113708 | PA      | $110581.57     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA2B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     789758 | PA      | $766715.56     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA2Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1682470 | PA      | $1564177.50    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     549055 | PA      | $503869.24     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA4A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422817 | PA      | $402694.15     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA4T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41362 | PA      | $40738.21      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AA5E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8493196 | PA      | $8325012.88    | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAM76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     695967 | PA      | $647085.98     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21994 | PA      | $20963.43      | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11072186 | PA      | $10566438.39   | 0.03%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAQY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124817 | PA      | $122408.54     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAQZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        628 | PA      | $617.38        | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAR30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68620 | PA      | $65405.97      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AARQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1006331 | PA      | $959193.68     | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117929 | PA      | $112405.16     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAWR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130051 | PA      | $130253.65     | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAYE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     230137 | PA      | $230463.69     | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AAYU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     590107 | PA      | $552415.83     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ABBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27088 | PA      | $26558.70      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ABBZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103982 | PA      | $99284.81      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ABC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158585 | PA      | $154161.67     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACBP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16145989 | PA      | $15695611.59   | 0.04%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135902 | PA      | $130492.25     | 0.00%             | 2043-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACDM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23361510 | PA      | $22071978.01   | 0.06%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     875262 | PA      | $851936.41     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACH78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     501944 | PA      | $472051.17     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACHF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     363136 | PA      | $330317.06     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACHP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     370529 | PA      | $364832.30     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACHR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2140736 | PA      | $2017776.54    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACHY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     965754 | PA      | $970516.89     | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACKK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     418158 | PA      | $409991.83     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACQC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     238475 | PA      | $237253.06     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACR85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8843953 | PA      | $8061736.68    | 0.02%             | 2048-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACRL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2687991 | PA      | $2466776.81    | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACRS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     606076 | PA      | $581924.98     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1272545 | PA      | $1201363.93    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACST8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43895 | PA      | $42806.06      | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACSX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     378666 | PA      | $358025.36     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ACYJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     446540 | PA      | $444251.59     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AD3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     882251 | PA      | $878770.33     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AD3T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     747277 | PA      | $722068.33     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AD3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209276 | PA      | $212572.26     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AD5X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1359106 | PA      | $1249175.77    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AD6P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2021449 | PA      | $2011090.51    | 0.01%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADKQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     400353 | PA      | $393050.12     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADPF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300248 | PA      | $304977.32     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADSD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6056735 | PA      | $5885168.42    | 0.01%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     224479 | PA      | $214338.62     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADU30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     419288 | PA      | $396433.12     | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADUJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1517329 | PA      | $1571023.99    | 0.00%             | 2048-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADVF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     861897 | PA      | $849069.97     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADVM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     266800 | PA      | $256168.35     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADWF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2202349 | PA      | $2191063.69    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132ADXX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     347578 | PA      | $335853.17     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3305114 | PA      | $3006413.36    | 0.01%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEAS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1447145 | PA      | $1439729.36    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEAV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     873589 | PA      | $869112.33     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEAX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8445 | PA      | $8585.97       | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEBP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4070274 | PA      | $3961801.32    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEC87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77936 | PA      | $75709.74      | 0.00%             | 2034-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEEW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269556 | PA      | $274330.50     | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEEY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1498534 | PA      | $1401084.04    | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEN44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     543275 | PA      | $524947.91     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEN85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3846636 | PA      | $3716875.41    | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132AEPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7628601 | PA      | $7371260.61    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CW2V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15544165 | PA      | $14412898.55   | 0.04%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CW4V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15566848 | PA      | $15095750.00   | 0.04%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CW4X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3249305 | PA      | $3087988.09    | 0.01%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CW5E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1259739 | PA      | $1220827.90    | 0.00%             | 2036-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CW6X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3859160 | PA      | $3671662.86    | 0.01%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWBD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     149303 | PA      | $146551.17     | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWC85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     554321 | PA      | $549448.66     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWCE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     361467 | PA      | $350927.25     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2722110 | PA      | $2648282.49    | 0.01%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWG73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179760 | PA      | $174606.05     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWJ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2915503 | PA      | $2825449.12    | 0.01%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3770456 | PA      | $3664449.07    | 0.01%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWM27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2552154 | PA      | $2471708.47    | 0.01%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5050492 | PA      | $4901638.23    | 0.01%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5282773 | PA      | $5123372.70    | 0.01%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9675748 | PA      | $9049954.97    | 0.02%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWQQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     659870 | PA      | $628803.56     | 0.00%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWQY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2952231 | PA      | $2860898.09    | 0.01%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWVQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   60831441 | PA      | $57651053.62   | 0.15%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWVT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29544910 | PA      | $28567847.69   | 0.07%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWVY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34603412 | PA      | $33460801.60   | 0.08%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWWF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1993617 | PA      | $1883389.14    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27299871 | PA      | $25292021.01   | 0.06%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9149258 | PA      | $8528084.81    | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWYG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4297801 | PA      | $4155368.07    | 0.01%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWYH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     700506 | PA      | $677364.51     | 0.00%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1510216 | PA      | $1496414.27    | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWYZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3863692 | PA      | $3828343.42    | 0.01%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CWZ31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1170852 | PA      | $1108389.50    | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXA51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3730631 | PA      | $3637128.78    | 0.01%             | 2037-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXAL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5025063 | PA      | $4644331.36    | 0.01%             | 2037-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXAP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     684435 | PA      | $646578.28     | 0.00%             | 2037-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXBW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1622482 | PA      | $1572366.93    | 0.00%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXCD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6222536 | PA      | $5792331.00    | 0.01%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXDN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1519272 | PA      | $1505411.44    | 0.00%             | 2038-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXEV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4998082 | PA      | $4810273.82    | 0.01%             | 2038-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXG48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28438984 | PA      | $26339301.52   | 0.07%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXL26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9223294 | PA      | $8725755.73    | 0.02%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXMU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3016568 | PA      | $3119099.83    | 0.01%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXPM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9733822 | PA      | $8767588.14    | 0.02%             | 2037-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXRE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2697137 | PA      | $2552420.87    | 0.01%             | 2038-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXTB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28742358 | PA      | $26650560.01   | 0.07%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132CXYU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1484816 | PA      | $1465355.37    | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D53Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     999583 | PA      | $968524.65     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D55S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1804539 | PA      | $1683689.37    | 0.00%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D55V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1632003 | PA      | $1598645.66    | 0.00%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D55W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2768011 | PA      | $2581785.80    | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D56Q0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25744745 | PA      | $23988925.78   | 0.06%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D56V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1079177 | PA      | $1005243.69    | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10953371 | PA      | $9904000.69    | 0.03%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6A59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     604094 | PA      | $559571.06     | 0.00%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6A91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6871801 | PA      | $6364276.21    | 0.02%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7374193 | PA      | $6837517.60    | 0.02%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8546272 | PA      | $7922978.18    | 0.02%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1628009 | PA      | $1543163.10    | 0.00%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1261668 | PA      | $1169263.90    | 0.00%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2391004 | PA      | $2264921.82    | 0.01%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1376299 | PA      | $1242216.02    | 0.00%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6AY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3926996 | PA      | $3638173.49    | 0.01%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6B33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38396198 | PA      | $35487050.57   | 0.09%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6B74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8138089 | PA      | $7687969.37    | 0.02%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     213752 | PA      | $192779.53     | 0.00%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14323573 | PA      | $13263482.08   | 0.03%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18135171 | PA      | $16351614.79   | 0.04%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10156312 | PA      | $9403075.96    | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     506174 | PA      | $478548.15     | 0.00%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32818275 | PA      | $29560549.17   | 0.08%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     349604 | PA      | $314900.08     | 0.00%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   52330406 | PA      | $48365511.40   | 0.12%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4903040 | PA      | $4631851.35    | 0.01%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10836807 | PA      | $10015739.05   | 0.03%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6BX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10054132 | PA      | $9498035.64    | 0.02%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6CA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     291484 | PA      | $284058.55     | 0.00%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1469322 | PA      | $1455917.90    | 0.00%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6CL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3521154 | PA      | $3326398.47    | 0.01%             | 2037-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6CY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21504660 | PA      | $20696598.31   | 0.05%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6D80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     563724 | PA      | $556888.15     | 0.00%             | 2038-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6EN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4921922 | PA      | $4862235.62    | 0.01%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6ET3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14513136 | PA      | $14582064.11   | 0.04%             | 2038-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6FR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4271799 | PA      | $4292087.92    | 0.01%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6H86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     628933 | PA      | $611620.31     | 0.00%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6HH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     393576 | PA      | $388417.68     | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6HN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19020917 | PA      | $18771621.03   | 0.05%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6HX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41630840 | PA      | $41085210.09   | 0.10%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6J35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6816399 | PA      | $6722278.54    | 0.02%             | 2040-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6JE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13056046 | PA      | $12884927.96   | 0.03%             | 2040-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6JG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2361542 | PA      | $2388935.09    | 0.01%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6JW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19239738 | PA      | $19244102.72   | 0.05%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6N48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22454653 | PA      | $20891946.57   | 0.05%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6N55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22350172 | PA      | $20804956.65   | 0.05%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6NR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11077992 | PA      | $10570183.59   | 0.03%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6NT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8973593 | PA      | $8387066.28    | 0.02%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6NW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8167983 | PA      | $7787194.33    | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6NX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47123333 | PA      | $43987561.75   | 0.11%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132D6NZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40139635 | PA      | $37423488.66   | 0.09%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM2J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1987865 | PA      | $1719325.29    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM2X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19193980 | PA      | $15875615.49   | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   57578095 | PA      | $47179263.65   | 0.12%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM5S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2585450 | PA      | $2234581.25    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DM6A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8452751 | PA      | $7872111.71    | 0.02%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMBL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60495 | PA      | $58772.08      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6570885 | PA      | $6674394.10    | 0.02%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMCM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1478170 | PA      | $1344579.67    | 0.00%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMDU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5769259 | PA      | $5494686.13    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMF75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8093023 | PA      | $8076900.52    | 0.02%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMFD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1214815 | PA      | $1141047.47    | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMHY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3450312 | PA      | $3349641.60    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMJD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     358701 | PA      | $324892.44     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMK38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2293028 | PA      | $2085945.95    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     341657 | PA      | $330401.17     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMN50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     904719 | PA      | $788401.61     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMQB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6518521 | PA      | $5660555.13    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2286667 | PA      | $2077329.68    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3552537 | PA      | $3217909.23    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMSB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21467173 | PA      | $17849573.22   | 0.05%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     814294 | PA      | $700377.50     | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13004303 | PA      | $11812347.68   | 0.03%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMV51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12189212 | PA      | $10988621.89   | 0.03%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     169201 | PA      | $168158.60     | 0.00%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMVK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5216547 | PA      | $4708952.24    | 0.01%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DMYY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7290613 | PA      | $6313009.86    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DN2C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8439011 | PA      | $8103349.59    | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DN4G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12172565 | PA      | $11688401.71   | 0.03%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3208143 | PA      | $2774980.04    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DN5R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3711028 | PA      | $3732594.03    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4921183 | PA      | $4258250.13    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8423176 | PA      | $6862546.64    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11202069 | PA      | $9657983.17    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     290219 | PA      | $270579.21     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1171271 | PA      | $1101258.32    | 0.00%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNFZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5730871 | PA      | $5358189.52    | 0.01%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNG31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6926651 | PA      | $6462181.32    | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5918515 | PA      | $4894354.09    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNGW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5985867 | PA      | $5774377.06    | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11180094 | PA      | $10406845.99   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15753030 | PA      | $15133768.94   | 0.04%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNHQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6637548 | PA      | $5706921.14    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23157250 | PA      | $23038589.01   | 0.06%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1474335 | PA      | $1455216.59    | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNNH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18098682 | PA      | $17914796.75   | 0.05%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNP64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9702991 | PA      | $8269679.29    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNQ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5268909 | PA      | $4915192.43    | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNQE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6832018 | PA      | $6416130.17    | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNRC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9852697 | PA      | $8073261.30    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNRH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7693580 | PA      | $6934893.11    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16559194 | PA      | $15872197.21   | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNUM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8501864 | PA      | $8139151.45    | 0.02%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNVC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6048237 | PA      | $6113386.35    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DNWS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     660469 | PA      | $620506.15     | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DP2E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37555114 | PA      | $38119574.75   | 0.10%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DP3G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5931363 | PA      | $4855994.97    | 0.01%             | 2052-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPAE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17464253 | PA      | $17613297.56   | 0.04%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPBF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38494109 | PA      | $32991101.18   | 0.08%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPBG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15849546 | PA      | $14203888.09   | 0.04%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPCT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37814372 | PA      | $38208483.34   | 0.10%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPDT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21300029 | PA      | $20341931.77   | 0.05%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPFC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9585537 | PA      | $7877769.68    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPFF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21664037 | PA      | $20758554.53   | 0.05%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPFY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6204083 | PA      | $6405333.94    | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPHW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8795715 | PA      | $9039369.63    | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPJK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     832022 | PA      | $796171.87     | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPLC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14597747 | PA      | $13162737.04   | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPM96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7053044 | PA      | $7250289.99    | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPMQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5141596 | PA      | $5318197.09    | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPNC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4375324 | PA      | $4314380.26    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPP77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     382736 | PA      | $395881.64     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPPU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6809868 | PA      | $7003963.14    | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPSB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2828258 | PA      | $2884205.98    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPT57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13873238 | PA      | $13945048.85   | 0.04%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPWE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16830682 | PA      | $17147810.15   | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DPYH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17261291 | PA      | $17642436.62   | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQ3S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10992850 | PA      | $10517486.01   | 0.03%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQ6A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3648464 | PA      | $3598686.69    | 0.01%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQ6H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6575585 | PA      | $6702290.78    | 0.02%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQ7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7761350 | PA      | $8092395.90    | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQAT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4969647 | PA      | $5010263.04    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27658425 | PA      | $24045977.16   | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQK21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5770097 | PA      | $5199342.96    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQM60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44969107 | PA      | $46042813.25   | 0.12%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQNU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2397335 | PA      | $2241634.89    | 0.01%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQRT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34632118 | PA      | $35512188.16   | 0.09%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQS64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8929345 | PA      | $7309234.26    | 0.02%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5659011 | PA      | $5690722.25    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQST4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25792271 | PA      | $27211876.21   | 0.07%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQTR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4077372 | PA      | $4213448.05    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQUE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5283979 | PA      | $5479556.51    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3440864 | PA      | $3585392.48    | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQX35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6158194 | PA      | $6016770.51    | 0.02%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQYH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13167850 | PA      | $11977800.90   | 0.03%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DQYZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29273180 | PA      | $30359061.96   | 0.08%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DS2G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8520850 | PA      | $7373005.65    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DS4K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22684943 | PA      | $21207226.76   | 0.05%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DS4M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5268140 | PA      | $5082008.66    | 0.01%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DS4P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12006178 | PA      | $12477640.52   | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSAF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6030385 | PA      | $6282375.31    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSBG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31517333 | PA      | $33154328.28   | 0.08%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSBT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5893988 | PA      | $5044093.85    | 0.01%             | 2053-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3922286 | PA      | $4086522.94    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSD74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11204657 | PA      | $10100206.32   | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSEB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5594946 | PA      | $5806081.74    | 0.01%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSFU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4325815 | PA      | $4335930.71    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18107021 | PA      | $17806644.32   | 0.05%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSGZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17743002 | PA      | $14585062.61   | 0.04%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSHA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11140302 | PA      | $11083217.16   | 0.03%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSHD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17480097 | PA      | $18298309.72   | 0.05%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSHH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2208818 | PA      | $2179386.33    | 0.01%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSMJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6562203 | PA      | $5659705.14    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSMT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4727492 | PA      | $4916428.43    | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSQK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   76766852 | PA      | $63009626.71   | 0.16%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSR38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8834440 | PA      | $8659499.35    | 0.02%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSRZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9874960 | PA      | $9763471.90    | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DST77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3258544 | PA      | $3406768.78    | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSTR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14793903 | PA      | $15151536.30   | 0.04%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSTX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4689686 | PA      | $4746574.00    | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSU34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8902741 | PA      | $8995719.03    | 0.02%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSV33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33655561 | PA      | $32582066.20   | 0.08%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSV74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6359881 | PA      | $6632670.97    | 0.02%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSV90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16061432 | PA      | $16569497.18   | 0.04%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSWD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12968288 | PA      | $13405730.96   | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DSYP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3656606 | PA      | $3755942.71    | 0.01%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DT3R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4601836 | PA      | $4615318.43    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DT6A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9805579 | PA      | $9948875.17    | 0.03%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DT6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2715312 | PA      | $2840731.99    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12109945 | PA      | $12373429.09   | 0.03%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12699559 | PA      | $11893773.02   | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12255424 | PA      | $11458163.03   | 0.03%             | 2053-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTFX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4280363 | PA      | $4143834.16    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTGA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15977286 | PA      | $13150340.03   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTGC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3609511 | PA      | $3616793.42    | 0.01%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTL40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   57265270 | PA      | $54912953.28   | 0.14%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTLX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15417396 | PA      | $14801782.62   | 0.04%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTN55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18625100 | PA      | $19292048.65   | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTPM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5004293 | PA      | $5122040.20    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTQF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48010611 | PA      | $44517997.03   | 0.11%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTRM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31015508 | PA      | $25403159.99   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTTD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18422978 | PA      | $19074588.32   | 0.05%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTTG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5488464 | PA      | $5726973.18    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14298614 | PA      | $14709838.69   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTY79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14121923 | PA      | $14687502.94   | 0.04%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTY87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18019362 | PA      | $18727067.78   | 0.05%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DTZD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20098755 | PA      | $20595750.73   | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DU4Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13899025 | PA      | $13989693.53   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUA64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28112119 | PA      | $28934280.50   | 0.07%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUAZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1746740 | PA      | $1844798.39    | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUB22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10609425 | PA      | $9991311.84    | 0.03%             | 2050-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUB55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27120002 | PA      | $26084267.70   | 0.07%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUB89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12754229 | PA      | $11589634.37   | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUCB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13162645 | PA      | $12079398.08   | 0.03%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUDT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13767004 | PA      | $11320110.40   | 0.03%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36525888 | PA      | $30024929.33   | 0.08%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUDV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17685774 | PA      | $14658892.58   | 0.04%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUDW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11398770 | PA      | $9480454.21    | 0.02%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUEJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7952890 | PA      | $8109732.64    | 0.02%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUET0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7635705 | PA      | $7528417.17    | 0.02%             | 2053-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1826563 | PA      | $1880177.71    | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUG76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19312267 | PA      | $20109528.66   | 0.05%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUHM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23733464 | PA      | $24268657.01   | 0.06%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUJM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4198124 | PA      | $4341303.09    | 0.01%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DURG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36152312 | PA      | $34732062.62   | 0.09%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DURK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5556929 | PA      | $5187994.91    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUSQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25907854 | PA      | $25952598.42   | 0.07%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUWB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16886337 | PA      | $14493247.27   | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DUWC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14129231 | PA      | $11582367.15   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV3W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2437147 | PA      | $2422125.64    | 0.01%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV4E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108915 | PA      | $93942.07      | 0.00%             | 2049-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV4P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9674 | PA      | $8717.30       | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV5U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2045876 | PA      | $2028961.41    | 0.01%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     689044 | PA      | $683347.76     | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     327935 | PA      | $315758.96     | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18482391 | PA      | $15250901.55   | 0.04%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7108490 | PA      | $6389067.36    | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15404185 | PA      | $12700143.06   | 0.03%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13103123 | PA      | $10807580.63   | 0.03%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     541681 | PA      | $466405.48     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV6V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8139 | PA      | $7312.99       | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21078189 | PA      | $17363423.74   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVAW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31185720 | PA      | $29321584.96   | 0.07%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVAY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18190593 | PA      | $17007650.19   | 0.04%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVB38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23301534 | PA      | $20996643.42   | 0.05%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVB61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18510881 | PA      | $18188780.73   | 0.05%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVCL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15184449 | PA      | $15644851.72   | 0.04%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVDX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21150301 | PA      | $22140309.74   | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVGK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3605153 | PA      | $3545439.74    | 0.01%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVGP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4305202 | PA      | $4318609.52    | 0.01%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVKM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20294722 | PA      | $19815871.15   | 0.05%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVKT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2685774 | PA      | $2609008.93    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     617680 | PA      | $559752.66     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16469675 | PA      | $14357310.81   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14157592 | PA      | $12334780.41   | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6653655 | PA      | $5796153.05    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38054388 | PA      | $31566641.25   | 0.08%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     951186 | PA      | $793120.53     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8665963 | PA      | $7203947.17    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVME2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17788858 | PA      | $17655476.37   | 0.04%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50994348 | PA      | $49212616.22   | 0.12%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVMJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19421728 | PA      | $18727049.78   | 0.05%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVMK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3828034 | PA      | $3944469.15    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19767437 | PA      | $20337286.49   | 0.05%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DVMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35490623 | PA      | $36883877.25   | 0.09%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     675501 | PA      | $555273.55     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4157405 | PA      | $3571932.80    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6440732 | PA      | $5301138.96    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2657980 | PA      | $2185834.22    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121795 | PA      | $113176.20     | 0.00%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWB51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17740971 | PA      | $14555457.23   | 0.04%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1518104 | PA      | $1301550.35    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1037227 | PA      | $963669.06     | 0.00%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  110208819 | PA      | $90612387.03   | 0.23%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     229148 | PA      | $196878.28     | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  248593930 | PA      | $204304224.51  | 0.52%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7582252 | PA      | $6510063.40    | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   72130978 | PA      | $56095702.86   | 0.14%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  507151801 | PA      | $417123663.49  | 1.06%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9240998 | PA      | $7931386.25    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50766 | PA      | $45529.26      | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20022404 | PA      | $15570491.61   | 0.04%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22049042 | PA      | $18097679.42   | 0.05%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2834565 | PA      | $2431100.76    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     228571 | PA      | $204426.59     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15953145 | PA      | $13055240.09   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35353097 | PA      | $30244339.79   | 0.08%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     838716 | PA      | $687826.24     | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37659831 | PA      | $32276089.32   | 0.08%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2063923 | PA      | $1604696.47    | 0.00%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8141446 | PA      | $6673909.85    | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1212685 | PA      | $1086087.59    | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21553520 | PA      | $17660869.35   | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7712113 | PA      | $6604831.41    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19986521 | PA      | $17887670.18   | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  118262356 | PA      | $96862431.34   | 0.25%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWD59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   49320327 | PA      | $42204251.64   | 0.11%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  170037726 | PA      | $139186640.73  | 0.35%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2047982 | PA      | $1676402.97    | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     273322 | PA      | $253480.84     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6983295 | PA      | $6867449.08    | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2711058 | PA      | $2721271.46    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3897790 | PA      | $3834939.25    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   91182556 | PA      | $78019413.41   | 0.20%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWEL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3161844 | PA      | $3175080.83    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3361479 | PA      | $3116681.76    | 0.01%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39624528 | PA      | $39001190.98   | 0.10%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22977614 | PA      | $23086041.55   | 0.06%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11826231 | PA      | $12040567.98   | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13490654 | PA      | $13264770.95   | 0.03%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15091132 | PA      | $15141667.03   | 0.04%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   70908457 | PA      | $72176640.18   | 0.18%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4949890 | PA      | $4960456.55    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  105976012 | PA      | $107684033.05  | 0.27%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17416141 | PA      | $17465989.61   | 0.04%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34813445 | PA      | $35388343.47   | 0.09%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45675068 | PA      | $46921491.34   | 0.12%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12567063 | PA      | $12348257.05   | 0.03%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2470294 | PA      | $2476574.53    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1667767 | PA      | $1671969.94    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9444222 | PA      | $9458608.63    | 0.02%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWJ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6108163 | PA      | $6259970.24    | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWJ61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3573184 | PA      | $3694541.85    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   92819818 | PA      | $94202942.87   | 0.24%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40220486 | PA      | $40814514.42   | 0.10%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1430336 | PA      | $1466098.02    | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWKD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22447178 | PA      | $21416700.09   | 0.05%             | 2053-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWKP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6362830 | PA      | $6514739.73    | 0.02%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31649604 | PA      | $32071654.77   | 0.08%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1905111 | PA      | $1948629.54    | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11439492 | PA      | $11700806.06   | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWMR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7219964 | PA      | $7208505.87    | 0.02%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29217079 | PA      | $29597796.48   | 0.08%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWMT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58895160 | PA      | $60241329.13   | 0.15%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWMW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1883733 | PA      | $1844247.79    | 0.00%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19355671 | PA      | $19324954.77   | 0.05%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21573983 | PA      | $21539746.40   | 0.05%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   49484272 | PA      | $50117785.29   | 0.13%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132DWPR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19331604 | PA      | $19297436.54   | 0.05%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E02B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7774198 | PA      | $8138094.43    | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E07G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7678132 | PA      | $7923913.89    | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E07M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6127827 | PA      | $5908990.72    | 0.01%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0AC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20304229 | PA      | $21057409.79   | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0AN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42902226 | PA      | $39024921.29   | 0.10%             | 2049-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0BS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10165534 | PA      | $10221340.05   | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0GB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6444029 | PA      | $6007456.70    | 0.02%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0H62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2444611 | PA      | $2482217.16    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0KB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25262038 | PA      | $22585731.62   | 0.06%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0KK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4510349 | PA      | $4617842.03    | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0LA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7649634 | PA      | $7868327.20    | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0QC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1166175 | PA      | $1171532.52    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0SB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12116320 | PA      | $10384205.97   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0T28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8148629 | PA      | $8489833.73    | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0TA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7465689 | PA      | $7582648.77    | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0TB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2221025 | PA      | $2141582.82    | 0.01%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0TZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2018376 | PA      | $2086310.54    | 0.01%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0VZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5039595 | PA      | $5199035.27    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0WS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14993907 | PA      | $14835778.38   | 0.04%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0XJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5598842 | PA      | $5841710.54    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0YD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3738557 | PA      | $3904679.62    | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0YT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4406438 | PA      | $4601409.88    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0ZD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35565105 | PA      | $36417436.98   | 0.09%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3132E0ZP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2447940 | PA      | $2547700.35    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132FCA21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7860 | PA      | $8313.40       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132G7YY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     424485 | PA      | $423445.97     | 0.00%             | 2034-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GD6M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9355 | PA      | $9417.69       | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDC83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13519 | PA      | $13610.38      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDHH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54800 | PA      | $55168.52      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDHM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57647 | PA      | $59355.16      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDJ60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18905 | PA      | $19031.75      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDJZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11288 | PA      | $11131.35      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GDS86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5874 | PA      | $5913.23       | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GE7K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12611 | PA      | $12695.78      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GEEY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36587 | PA      | $36832.80      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GEK58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2527 | PA      | $2543.67       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GEL65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     349957 | PA      | $352315.34     | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GELS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21969 | PA      | $22115.61      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GES27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3056974 | PA      | $3077526.40    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GEVB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5265 | PA      | $5300.62       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GF4J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18332 | PA      | $18076.92      | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GF4Z7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85205 | PA      | $85778.03      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GF5U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6589 | PA      | $6497.20       | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GF5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3807 | PA      | $3839.28       | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GFMW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1179 | PA      | $1186.62       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GFUJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3315 | PA      | $3343.01       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GGBP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        699 | PA      | $703.75        | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GGEW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12628 | PA      | $12712.74      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GJBS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     343366 | PA      | $346169.13     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GJLT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6620 | PA      | $6527.99       | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GJLW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1098101 | PA      | $1082817.23    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GJR35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     900754 | PA      | $888218.51     | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKGD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10589 | PA      | $10441.62      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKHC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8476 | PA      | $8357.65       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKPX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17994 | PA      | $17743.72      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKTS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57293 | PA      | $56495.77      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKX76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7482 | PA      | $7531.85       | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKZN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31520 | PA      | $30101.01      | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GKZQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     125253 | PA      | $123533.22     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GLBE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39231 | PA      | $38685.38      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GLHL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33670 | PA      | $33201.70      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GMAK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3929 | PA      | $3961.79       | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GMFY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3250 | PA      | $3205.05       | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GRB75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180601 | PA      | $172473.00     | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GRJA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13232 | PA      | $12649.28      | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GRJG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4087721 | PA      | $4030835.53    | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GRVV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3568 | PA      | $3410.58       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GSUC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     125175 | PA      | $120461.04     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GTGV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26856 | PA      | $25672.76      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GTLB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123113 | PA      | $120847.68     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43241 | PA      | $41612.30      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GU4D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204638 | PA      | $201669.04     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GUKK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46172 | PA      | $44136.92      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GUKM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3683 | PA      | $3520.56       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GUWB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18877 | PA      | $18045.50      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GVG97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1323102 | PA      | $1298794.03    | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132GVL67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4543 | PA      | $4228.72       | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132H9S35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84482 | PA      | $83198.10      | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HMU66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     348356 | PA      | $335233.46     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HMXY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34026 | PA      | $32526.54      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HNH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     694919 | PA      | $664294.86     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HNH51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35363 | PA      | $33804.27      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HNZH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     487103 | PA      | $453369.75     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HPHK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     690098 | PA      | $642269.68     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQ3K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14101 | PA      | $13124.24      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQ4K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1263536 | PA      | $1176033.48    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQEQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9591429 | PA      | $8927202.60    | 0.02%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     312591 | PA      | $290943.33     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HQZH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1455083 | PA      | $1354307.53    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HRFK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     780573 | PA      | $746173.63     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HRFY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47145 | PA      | $42522.80      | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132HSHE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     243071 | PA      | $232272.89     | 0.00%             | 2033-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J2SY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187650 | PA      | $182598.94     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J4B40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4789998 | PA      | $4707975.78    | 0.01%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J4ND7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1639718 | PA      | $1624467.62    | 0.00%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J62B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110873 | PA      | $103194.64     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J65H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     590777 | PA      | $568522.57     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J66Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     826499 | PA      | $769214.29     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J7DY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106840 | PA      | $102310.05     | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J82X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14739 | PA      | $14114.42      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J8DU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1233762 | PA      | $1211750.98    | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J9GM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     624326 | PA      | $577743.04     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132J9P69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     572942 | PA      | $530728.33     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JA6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6903 | PA      | $6385.30       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JABM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17748 | PA      | $16423.52      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JASE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5364 | PA      | $4979.35       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JAVK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14339 | PA      | $13269.54      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JAZU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1275494 | PA      | $1221460.35    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JBH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17624 | PA      | $16308.65      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JBN33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1045926 | PA      | $967887.04     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JM2E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72990 | PA      | $71803.77      | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JM2X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14503 | PA      | $13420.40      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JM5R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131103 | PA      | $121320.95     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JM5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11609 | PA      | $11116.40      | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     840164 | PA      | $804539.10     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMPM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     421930 | PA      | $390448.86     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMS59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75847 | PA      | $70187.89      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMX46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3242 | PA      | $3000.17       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130188 | PA      | $127865.69     | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNCZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3512 | PA      | $3249.91       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNEX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3956 | PA      | $3660.69       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNFY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63676 | PA      | $58924.23      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNSP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1284610 | PA      | $1188754.17    | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNUQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14548 | PA      | $13462.49      | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNVA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     528134 | PA      | $530455.62     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JNZK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7493 | PA      | $6934.10       | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JP3K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106367 | PA      | $104709.96     | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JP5F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1417 | PA      | $1424.88       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JPMM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6524 | PA      | $6552.48       | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JPS52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     273958 | PA      | $276031.34     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JPYQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     339586 | PA      | $314246.95     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JQE48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3255 | PA      | $3269.12       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132JQEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30737 | PA      | $30871.67      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE2D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     241060 | PA      | $235424.58     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE2E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38773 | PA      | $37852.21      | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE6L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     704291 | PA      | $692749.55     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE6U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63323 | PA      | $62312.12      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KE6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97502 | PA      | $95121.66      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KETA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4245 | PA      | $4158.58       | 0.00%             | 2029-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KEV93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10844 | PA      | $10695.22      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFAR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76246 | PA      | $74899.62      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99389 | PA      | $97620.60      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFEG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     486874 | PA      | $478603.25     | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFPE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247163 | PA      | $239889.00     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFSQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     503369 | PA      | $488551.64     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KFWH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3517573 | PA      | $3409705.69    | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132KGD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     557792 | PA      | $537835.88     | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5AB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257518 | PA      | $232270.76     | 0.00%             | 2043-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5TH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10024 | PA      | $9880.74       | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5TJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4369 | PA      | $4306.13       | 0.00%             | 2040-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5UN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1671 | PA      | $1678.55       | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5V34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     771038 | PA      | $774420.75     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L5WB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23785 | PA      | $23919.78      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L66Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     410052 | PA      | $411038.34     | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L6ER8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99848 | PA      | $90204.35      | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L6FE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19050 | PA      | $19129.03      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199724 | PA      | $194904.47     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L6JN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41327 | PA      | $37978.86      | 0.00%             | 2044-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L74A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1931093 | PA      | $1829191.40    | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7CG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158275 | PA      | $158656.02     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7FD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     445479 | PA      | $410178.92     | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7GP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     282942 | PA      | $283614.76     | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7LF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2800875 | PA      | $2637166.36    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7MX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     610170 | PA      | $574506.35     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7PH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     900643 | PA      | $878664.75     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7TX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     273049 | PA      | $273793.94     | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7V48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     487213 | PA      | $473864.92     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L7W47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     833425 | PA      | $766436.07     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L87D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130601 | PA      | $122917.99     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L87H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     810403 | PA      | $785489.66     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L87K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1126116 | PA      | $1060082.44    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L8CS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1796999 | PA      | $1649682.04    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L8H26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15218836 | PA      | $13995580.20   | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L8T31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2216091 | PA      | $2085727.16    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L93U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1108863 | PA      | $1046784.54    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L9HB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     441568 | PA      | $427993.31     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L9KW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1080158 | PA      | $1046956.78    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L9UG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43400 | PA      | $41989.36      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132L9V69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2944984 | PA      | $2769469.67    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LA2L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2168521 | PA      | $2041751.38    | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LANJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     286343 | PA      | $285215.15     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LAS94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2035507 | PA      | $1979893.75    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LAUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43130 | PA      | $42960.67      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LAV82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     685247 | PA      | $682558.41     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LAW32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14870079 | PA      | $14427763.00   | 0.04%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132LKA83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     661204 | PA      | $651628.68     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M32N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     608820 | PA      | $599078.57     | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M3DE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15038 | PA      | $15104.14      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M3MY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38831 | PA      | $39001.56      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M3QN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2838 | PA      | $2850.16       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M4MS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9555 | PA      | $9384.23       | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M4SN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35859 | PA      | $35219.62      | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M4UG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91658 | PA      | $92061.39      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M53G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55546 | PA      | $57102.09      | 0.00%             | 2044-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5AZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12607 | PA      | $12302.77      | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5C75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345868 | PA      | $347397.16     | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5DD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     413787 | PA      | $407341.21     | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5DY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23861 | PA      | $23965.65      | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5KF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     310816 | PA      | $312838.54     | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5RE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24256 | PA      | $24322.31      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5SS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13828 | PA      | $13494.13      | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5SU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42327 | PA      | $42443.23      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M5VM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8356 | PA      | $8379.32       | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6EW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4796 | PA      | $4815.92       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6JW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32098 | PA      | $32186.55      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6L57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129325 | PA      | $126202.91     | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6PC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80547 | PA      | $80769.06      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6VL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204629 | PA      | $199690.55     | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6WT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16090 | PA      | $15701.15      | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M6YV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5376 | PA      | $5402.36       | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M75R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2971 | PA      | $2899.20       | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7D21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     819475 | PA      | $799601.99     | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7G69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     352185 | PA      | $345418.07     | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7GA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35807 | PA      | $34942.83      | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7JT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121088 | PA      | $121416.77     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7LC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44583 | PA      | $43506.27      | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7MX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20188 | PA      | $19700.79      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7QW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38609 | PA      | $38784.78      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7RC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     953435 | PA      | $936105.15     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7UJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47903 | PA      | $46746.49      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M7X37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19921 | PA      | $19440.25      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M8C79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2251 | PA      | $2196.81       | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M8QJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11317 | PA      | $11347.81      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M8R40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4396 | PA      | $4408.17       | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M8X76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5230 | PA      | $5253.02       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M95V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     253593 | PA      | $247473.37     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M96D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1397592 | PA      | $1320196.10    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132M9MD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     501293 | PA      | $489136.22     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MADV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     186092 | PA      | $182710.36     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MAHZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3759 | PA      | $3668.45       | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MARS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129347 | PA      | $122183.86     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MAVP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75984 | PA      | $76190.15      | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132MAWR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     318283 | PA      | $300656.97     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QL4T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     596687 | PA      | $582286.59     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QLL84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4085620 | PA      | $3859365.72    | 0.01%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QLQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     469354 | PA      | $457973.25     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QLRS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     316779 | PA      | $318840.83     | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QLTA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2016 | PA      | $1967.24       | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QMME8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     676169 | PA      | $649122.45     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QMNN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107257 | PA      | $101780.52     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QMRL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1124426 | PA      | $1039044.00    | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QN5W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72129 | PA      | $66414.12      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QNV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        775 | PA      | $761.70        | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QP5E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2399267 | PA      | $2155010.92    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QPBX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126306 | PA      | $116297.74     | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QPE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298738 | PA      | $268325.44     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QPWZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1795057 | PA      | $1652814.52    | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QPX82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     690316 | PA      | $636333.36     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQ4P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7161 | PA      | $6985.52       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQH62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     402411 | PA      | $383718.29     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQHU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9839 | PA      | $9598.51       | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQJR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     638067 | PA      | $585084.69     | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQSH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32077 | PA      | $29535.38      | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QQX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27626 | PA      | $28930.87      | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QR5C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2020987 | PA      | $1853173.56    | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QR6F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     292130 | PA      | $268981.31     | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QRBV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193794 | PA      | $177703.77     | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QRQ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298585 | PA      | $299305.91     | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QRQ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9525 | PA      | $8361.99       | 0.00%             | 2045-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSAW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4891385 | PA      | $4660898.24    | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSCE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19331 | PA      | $18857.71      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSGY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     506513 | PA      | $482649.42     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSRC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4902 | PA      | $4631.38       | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSRH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41197 | PA      | $40188.32      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QSUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40699 | PA      | $39702.69      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QT3G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     591360 | PA      | $576929.07     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QT6J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2261 | PA      | $2206.04       | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QTAQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151288 | PA      | $151652.68     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QTJP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     646780 | PA      | $630938.22     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QTPC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136994 | PA      | $133639.19     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QTXZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8829 | PA      | $8612.81       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QU4Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2724 | PA      | $2596.07       | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QU6X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     241701 | PA      | $242458.19     | 0.00%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QUHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113429 | PA      | $108084.72     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QUNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     445014 | PA      | $434074.51     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QUPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57384 | PA      | $57520.81      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QUVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167105 | PA      | $153230.30     | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVDD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     288178 | PA      | $272266.91     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVDV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     584305 | PA      | $570046.45     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVEF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9455 | PA      | $8932.80       | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVGC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23467 | PA      | $22891.91      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVJT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1163448 | PA      | $1108633.46    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVJW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     466455 | PA      | $444131.50     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVXM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13918 | PA      | $13527.36      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVZT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82363 | PA      | $75524.44      | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QVZW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6002 | PA      | $5504.11       | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QW2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5470 | PA      | $5163.68       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QW3Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     715716 | PA      | $695616.54     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     175008 | PA      | $170109.62     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWFD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18939 | PA      | $17879.07      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     343838 | PA      | $324590.67     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWMN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1993956 | PA      | $1868986.48    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWP29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     652351 | PA      | $634033.64     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWPU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1578651 | PA      | $1490282.92    | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWV22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109734 | PA      | $96338.59      | 0.00%             | 2046-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132QWZY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87770 | PA      | $79934.17      | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VL5K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259789 | PA      | $253946.31     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VL5Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1452743 | PA      | $1447021.75    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VLDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     602356 | PA      | $579021.01     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VLQD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1314294 | PA      | $1306889.88    | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VLWD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     563368 | PA      | $577245.58     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VLYR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111809 | PA      | $114502.36     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMAW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     517175 | PA      | $526587.17     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMBV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115603 | PA      | $113003.25     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMEB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     773891 | PA      | $756485.88     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMF34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1287717 | PA      | $1257242.07    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMJ63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     448096 | PA      | $433478.21     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMVJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     963691 | PA      | $910856.93     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     205323 | PA      | $204956.58     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMYX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     478033 | PA      | $458821.32     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VMZF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     411042 | PA      | $410309.70     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VN7L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2101304 | PA      | $2016853.95    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNB28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     306835 | PA      | $300259.52     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     649211 | PA      | $649329.63     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNKQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345035 | PA      | $351429.34     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNSJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     673272 | PA      | $671418.09     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNSK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     280656 | PA      | $280155.46     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VNYL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     394247 | PA      | $378402.65     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VPFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168754 | PA      | $171597.36     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VPVD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     643588 | PA      | $624238.20     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VQGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     878904 | PA      | $827810.61     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132VQLR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     953295 | PA      | $897876.52     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WD3Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167502 | PA      | $159615.07     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDCL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15996 | PA      | $15547.04      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDCM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204693 | PA      | $186417.81     | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDD35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77014 | PA      | $70138.66      | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDDB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42360 | PA      | $42256.51      | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDHH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     251857 | PA      | $236071.84     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDHW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6802 | PA      | $6421.72       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDRR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7019082 | PA      | $6579165.23    | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDYQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1811285 | PA      | $1709894.94    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WDYZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     745745 | PA      | $745652.92     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WEKZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3695932 | PA      | $3521912.29    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WENV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94448 | PA      | $91314.22      | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WEUP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11884 | PA      | $10823.02      | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WEUR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     306330 | PA      | $289182.63     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WEZU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     404318 | PA      | $368220.46     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WF2F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1237817 | PA      | $1137362.11    | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WF3B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     544692 | PA      | $502292.75     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WF3E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2535269 | PA      | $2393352.64    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WF6S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41879 | PA      | $40936.96      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFC49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1677792 | PA      | $1572637.56    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2653288 | PA      | $2505080.14    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFK57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     307880 | PA      | $290587.41     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFNV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     649453 | PA      | $613098.79     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFQM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     184503 | PA      | $169529.28     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFRS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     912282 | PA      | $838251.10     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WFUT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     395209 | PA      | $373086.46     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WG6K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162350 | PA      | $166556.53     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WGHT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     534784 | PA      | $487038.31     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WGP35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     295452 | PA      | $279861.05     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WGYK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122083 | PA      | $111183.70     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WH5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2317924 | PA      | $2110980.49    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WH6K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     425164 | PA      | $401364.62     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WH6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5869 | PA      | $5346.02       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1323176 | PA      | $1205035.68    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHEE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     368502 | PA      | $330317.77     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHEG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     223688 | PA      | $203717.10     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48634 | PA      | $45917.08      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2710374 | PA      | $2468392.21    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHPV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4505308 | PA      | $4103075.93    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHQU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1040132 | PA      | $947269.79     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101499 | PA      | $95829.88      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHVR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298298 | PA      | $281599.78     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WHY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     560903 | PA      | $516453.59     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJEA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76691 | PA      | $72398.31      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJJ69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     989180 | PA      | $942598.29     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJM24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2662263 | PA      | $2448276.25    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJP47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     552959 | PA      | $508083.15     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJSN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1596832 | PA      | $1496762.32    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32963 | PA      | $30019.86      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJUX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76774 | PA      | $72476.73      | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WJZS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7432 | PA      | $6768.14       | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WK6V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128686 | PA      | $125083.68     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WKUK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     530975 | PA      | $530594.88     | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WKWG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     889648 | PA      | $847753.35     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WLEM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24466 | PA      | $21497.68      | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WLUF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     732149 | PA      | $751720.41     | 0.00%             | 2047-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WLUJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1112791 | PA      | $1138775.41    | 0.00%             | 2047-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WM7L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1960417 | PA      | $1852938.20    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WMJ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     585104 | PA      | $553025.63     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WMNJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1485885 | PA      | $1398727.91    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WMSH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     144895 | PA      | $141023.53     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WMUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     110965 | PA      | $110843.52     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WNEF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18308 | PA      | $18619.41      | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WNEK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     883622 | PA      | $881540.54     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WNJK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18285 | PA      | $18241.98      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WNK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55213 | PA      | $55082.89      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WNWH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2135372 | PA      | $2083616.45    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WPDB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1081483 | PA      | $1076699.39    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WPMN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     404361 | PA      | $369260.69     | 0.00%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WPRH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1030128 | PA      | $1048616.58    | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WPZ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1424472 | PA      | $1373208.39    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132WQAT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1047860 | PA      | $986218.70     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCR98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3995069 | PA      | $3907938.32    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     323881 | PA      | $297850.09     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157818 | PA      | $154077.68     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3516665 | PA      | $3427077.29    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4493947 | PA      | $4481553.14    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSD56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     188415 | PA      | $182626.92     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSDX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     547117 | PA      | $517538.95     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSEH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     150291 | PA      | $141475.21     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSJX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152083 | PA      | $147829.60     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSLR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     930590 | PA      | $881820.70     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     551295 | PA      | $551654.10     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSMU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204536 | PA      | $204429.90     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSNS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     341171 | PA      | $339661.57     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XSUP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     590086 | PA      | $555473.68     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XTB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102743 | PA      | $96716.89      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XTCV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187034 | PA      | $176062.98     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XTGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     579099 | PA      | $545130.78     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XTPU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369557 | PA      | $358203.65     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XU5W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345396 | PA      | $332965.74     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUBF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     556618 | PA      | $536586.22     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUEW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25788 | PA      | $24275.75      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUJV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1280506 | PA      | $1241166.60    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUMM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     326606 | PA      | $319774.90     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUNF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1015888 | PA      | $956299.59     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302417 | PA      | $276165.88     | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XUXT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1727622 | PA      | $1665448.50    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XV4H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250168 | PA      | $244935.77     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XV4L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1319299 | PA      | $1290520.21    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XV4V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41200 | PA      | $38783.41      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XV7H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     323753 | PA      | $304762.97     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVEV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     900590 | PA      | $847764.66     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVP80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6696 | PA      | $6303.03       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVR21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2297652 | PA      | $2182538.74    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVR62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     246172 | PA      | $232774.63     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVUT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65856 | PA      | $61993.42      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XVUV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     558429 | PA      | $511677.93     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XW5V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2474802 | PA      | $2421765.23    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XW5W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1207772 | PA      | $1180609.22    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWC90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     347057 | PA      | $326706.64     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWGK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     125861 | PA      | $114936.02     | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWHJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     231777 | PA      | $218142.96     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWNX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235773 | PA      | $228528.53     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWPW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29936 | PA      | $28180.49      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XWY88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     301976 | PA      | $284263.45     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XX2W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1262953 | PA      | $1191533.77    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XXBW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14430 | PA      | $13572.61      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XXDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1351241 | PA      | $1261673.67    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XXHD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3099031 | PA      | $2914914.24    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XXNG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     437406 | PA      | $446800.37     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XY5R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     658061 | PA      | $658173.60     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYAB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1249092 | PA      | $1270402.23    | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYD53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27908 | PA      | $26997.72      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYEL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     418433 | PA      | $402223.15     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     375231 | PA      | $364978.65     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYQN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24671 | PA      | $23866.46      | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYQT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     189653 | PA      | $188906.26     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYSD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6281 | PA      | $6075.86       | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132XYUX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2497 | PA      | $2415.16       | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0CF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3986 | PA      | $3749.03       | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0FN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99694 | PA      | $99515.90      | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0FP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112512 | PA      | $112201.56     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194960 | PA      | $199915.24     | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0K74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     377189 | PA      | $368705.71     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0LA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1081584 | PA      | $1075490.91    | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0R69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     334277 | PA      | $323373.20     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0W22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     257248 | PA      | $247282.56     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y0YF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     232272 | PA      | $230963.73     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y15R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2857926 | PA      | $2909235.15    | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y1GK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250981 | PA      | $250288.72     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y1GL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117527 | PA      | $117317.53     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y1HK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57676 | PA      | $55795.05      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y1NA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     340328 | PA      | $333147.62     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y1Z27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1077905 | PA      | $1071832.80    | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2FH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     344602 | PA      | $352491.47     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2S31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     891040 | PA      | $868868.35     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2VK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6825 | PA      | $6602.81       | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2WL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13302 | PA      | $12787.02      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y2Z41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     295142 | PA      | $300430.83     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3H72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4084542 | PA      | $3982908.23    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3JD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1172458 | PA      | $1194803.10    | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3MS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     535163 | PA      | $535254.52     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3NK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     332608 | PA      | $301606.93     | 0.00%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3RJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     356239 | PA      | $363838.35     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 3132Y3RP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     547407 | PA      | $546962.13     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334WP47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271401 | PA      | $264007.31     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334WRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250934 | PA      | $233133.87     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334WUY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4578094 | PA      | $4253166.70    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334X4T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2088631 | PA      | $1882032.42    | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334XAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176054 | PA      | $170648.72     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334XVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27280 | PA      | $26381.08      | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334XVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1043472 | PA      | $928920.65     | 0.00%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334XXH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2966047 | PA      | $2640437.69    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334Y3A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1461581 | PA      | $1321677.67    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YE60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15532684 | PA      | $14430261.85   | 0.04%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YPK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17887762 | PA      | $16382401.44   | 0.04%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22199124 | PA      | $20330937.67   | 0.05%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YQP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81413 | PA      | $76822.27      | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     643462 | PA      | $587514.77     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YW29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     750018 | PA      | $762874.56     | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31334YXN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     514627 | PA      | $511454.05     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A4D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3497733 | PA      | $3437748.39    | 0.01%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A5B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     920833 | PA      | $849154.42     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A5G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167967 | PA      | $165629.91     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A5Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     943632 | PA      | $867784.54     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335A6G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1264850 | PA      | $1266158.71    | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335ABE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     793420 | PA      | $738628.23     | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AEV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     317274 | PA      | $318147.09     | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9115 | PA      | $8358.39       | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AGJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     575988 | PA      | $577572.83     | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AHU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2286876 | PA      | $2386342.87    | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1362026 | PA      | $1373590.03    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AMK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     210318 | PA      | $204043.11     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335ANR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1164171 | PA      | $1169946.24    | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AQ92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3937 | PA      | $3947.52       | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AQL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2516644 | PA      | $2670641.38    | 0.01%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AUE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4109108 | PA      | $3851572.53    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AUF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3786989 | PA      | $3591582.31    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AVH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12338 | PA      | $12422.67      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AWW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83733 | PA      | $81382.05      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1321465 | PA      | $1324897.71    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AY85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3559148 | PA      | $3568392.43    | 0.01%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AYG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     253933 | PA      | $256089.23     | 0.00%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AYJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1079783 | PA      | $1029631.75    | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AYT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12760945 | PA      | $11725402.23   | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AYV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     534693 | PA      | $491302.79     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335AZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     255515 | PA      | $256429.62     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335B5Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23887 | PA      | $23301.66      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335B7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1603230 | PA      | $1564515.06    | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BA89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     996699 | PA      | $919115.38     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2581 | PA      | $2533.38       | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BAU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     815957 | PA      | $817920.03     | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3358090 | PA      | $3082795.13    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BC38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1038297 | PA      | $930702.03     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BCZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11763893 | PA      | $10809193.56   | 0.03%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BFZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     513387 | PA      | $473424.70     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BKG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91572 | PA      | $87536.12      | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BKK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2619352 | PA      | $2477744.12    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     251083 | PA      | $238714.21     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BLL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1149627 | PA      | $1100872.67    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345946 | PA      | $330697.81     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BM78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1973320 | PA      | $1802027.87    | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BMC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157307 | PA      | $144244.88     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9188748 | PA      | $8368379.45    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BMZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148212 | PA      | $146100.20     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7123660 | PA      | $6707336.90    | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BNP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     873803 | PA      | $851538.88     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BP83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     680454 | PA      | $622598.49     | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BPG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5144459 | PA      | $4760588.01    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BPY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1854611 | PA      | $1689021.90    | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BQS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119781 | PA      | $120107.22     | 0.00%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BQZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10420 | PA      | $9800.99       | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BR65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     578989 | PA      | $545447.21     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BRK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11527951 | PA      | $10498674.46   | 0.03%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BSE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2301028 | PA      | $2176629.62    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BT30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4988321 | PA      | $4768455.05    | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BW93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1869381 | PA      | $1766156.61    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4388746 | PA      | $4282766.70    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BYT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3344014 | PA      | $3045442.98    | 0.01%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335BZJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1166396 | PA      | $1128421.56    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CAH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10142718 | PA      | $9237178.92    | 0.02%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CAP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2175171 | PA      | $2060389.70    | 0.01%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CAQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     656969 | PA      | $640878.29     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1688284 | PA      | $1595059.78    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     565464 | PA      | $549633.08     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335CEA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1048189 | PA      | $986705.30     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GNE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $16.81         | 0.00%             | 2026-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GNG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.50          | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GP66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $13.19         | 0.00%             | 2026-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GPU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.54         | 0.00%             | 2026-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GPV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $8.78          | 0.00%             | 2026-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                            | CUSIP: 31335GQE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.49          | 0.00%             | 2026-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339S6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25597 | PA      | $22078.32      | 0.00%             | 2049-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SBM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176646 | PA      | $159172.73     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SCT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     463037 | PA      | $459308.17     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SHE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     339713 | PA      | $343171.75     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SQP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9497707 | PA      | $8455058.63    | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SV36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4641160 | PA      | $4210407.93    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339SZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     775298 | PA      | $698575.10     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UD98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     816851 | PA      | $736051.20     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     746281 | PA      | $759073.77     | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UL57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     350331 | PA      | $354628.26     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1979883 | PA      | $1762533.78    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UR85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1278330 | PA      | $1155967.27    | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339USM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     665055 | PA      | $592046.16     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31339UTX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6647776 | PA      | $5990205.32    | 0.02%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A0M43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1814285 | PA      | $1704623.87    | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A0ZM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1292293 | PA      | $1284334.53    | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A13X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     223170 | PA      | $201807.68     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1FB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     663825 | PA      | $601257.94     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1KG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     808255 | PA      | $735414.05     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1PH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1024649 | PA      | $963075.46     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1QG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1065035 | PA      | $972255.70     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1QR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     471656 | PA      | $444627.20     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1RS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369481 | PA      | $349721.85     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1UF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1136421 | PA      | $1129422.59    | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A1XP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179248 | PA      | $178191.88     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A22H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1024975 | PA      | $963348.11     | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2GK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1209671 | PA      | $1199670.18    | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2GZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1130656 | PA      | $1017627.60    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2JY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1529156 | PA      | $1385829.91    | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2L73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37579759 | PA      | $33982606.43   | 0.09%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2XF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1231509 | PA      | $1166431.99    | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A2YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     885530 | PA      | $878208.95     | 0.00%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A32U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     664698 | PA      | $641703.58     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A33F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1442180 | PA      | $1349324.61    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A35L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1172129 | PA      | $1105258.59    | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3C22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     344989 | PA      | $332967.62     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3JW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1390315 | PA      | $1212601.50    | 0.00%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3P36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     399330 | PA      | $384489.34     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3S66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     713950 | PA      | $625290.64     | 0.00%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3UY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     951004 | PA      | $889606.51     | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3VA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     418685 | PA      | $405460.40     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3VC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     651275 | PA      | $627071.23     | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3XJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7655 | PA      | $7591.71       | 0.00%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A3XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     739270 | PA      | $741329.46     | 0.00%             | 2050-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4DS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     455213 | PA      | $411205.86     | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4KA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2826022 | PA      | $2541761.85    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4N85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     603399 | PA      | $568953.30     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4PE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     791148 | PA      | $748903.26     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1625788 | PA      | $1422256.42    | 0.00%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     593819 | PA      | $559575.26     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4TV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     469577 | PA      | $472091.06     | 0.00%             | 2050-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A4VS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     784913 | PA      | $737793.68     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A66X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1466793 | PA      | $1328105.53    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6JS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1182500 | PA      | $1028324.52    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6N23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7333669 | PA      | $6046320.41    | 0.02%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6NF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     844528 | PA      | $764938.38     | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6TN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3435059 | PA      | $3237608.80    | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6VE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2357944 | PA      | $2126777.46    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6VH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1253579 | PA      | $1126798.19    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A6XC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1077022 | PA      | $978756.78     | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A7VK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     473074 | PA      | $444247.94     | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A7WC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5199237 | PA      | $4528217.31    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A7WZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1072195 | PA      | $969329.92     | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A8GB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1113301 | PA      | $1008849.61    | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A8RV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7583507 | PA      | $6864126.16    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A8SP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4511079 | PA      | $4099730.02    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A95A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11333543 | PA      | $9856392.86    | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A95M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     863113 | PA      | $753992.08     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9HE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19164627 | PA      | $15787103.13   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9JH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8016913 | PA      | $6981237.98    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9MJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1012527 | PA      | $885851.11     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9SR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3177292 | PA      | $2834267.38    | 0.01%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133A9ZQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3055425 | PA      | $2660705.69    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAC83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6361213 | PA      | $5505273.08    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     748817 | PA      | $703568.41     | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAKC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14005507 | PA      | $11532325.38   | 0.03%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAMT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5881252 | PA      | $5085895.94    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAQB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20179934 | PA      | $16616433.00   | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAZE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1029068 | PA      | $931563.98     | 0.00%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AAZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1040784 | PA      | $944858.97     | 0.00%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ABBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8373994 | PA      | $7205098.11    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ABSD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5681511 | PA      | $4924428.77    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ABSH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1654104 | PA      | $1433688.99    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AC3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     604856 | PA      | $549822.88     | 0.00%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2794831 | PA      | $2527113.75    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACLJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2220414 | PA      | $1846536.08    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACMV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21231627 | PA      | $17467592.62   | 0.04%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACNY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1799835 | PA      | $1466365.40    | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3719785 | PA      | $3233735.47    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACRX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3597141 | PA      | $3207534.84    | 0.01%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACSB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4299337 | PA      | $3737559.49    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1352486 | PA      | $1064851.77    | 0.00%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ACZM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3376056 | PA      | $2926472.49    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ADGZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2026026 | PA      | $1650648.32    | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ADKE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     546859 | PA      | $496118.53     | 0.00%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AE2P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   68143966 | PA      | $58568621.47   | 0.15%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AER71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3044284 | PA      | $2615568.42    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AEYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2234263 | PA      | $1942169.34    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AFE23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2549436 | PA      | $2095982.63    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AFQA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35361331 | PA      | $29073667.93   | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AGAT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   57407195 | PA      | $47199516.25   | 0.12%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AGB24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6816287 | PA      | $5613938.02    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AGDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30274942 | PA      | $24891699.32   | 0.06%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AGEU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2147820 | PA      | $1780649.02    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AHAA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32829656 | PA      | $27957985.56   | 0.07%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AJEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3446152 | PA      | $3101052.00    | 0.01%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AJM67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1742331 | PA      | $1507563.28    | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AKPS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38042244 | PA      | $31251327.99   | 0.08%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AKSD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5658104 | PA      | $4669602.83    | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ALJ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9463612 | PA      | $8203424.09    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ALJP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16919801 | PA      | $14027102.39   | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ALVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1284140 | PA      | $1107982.02    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AM2A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3470648 | PA      | $2993469.95    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AMKD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5381662 | PA      | $4617318.39    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AN5F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9258288 | PA      | $8019706.10    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ANBV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3522072 | PA      | $3166099.66    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ANJX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2444525 | PA      | $2095934.21    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AP2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     248149 | PA      | $222320.40     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133APCH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     996438 | PA      | $825557.22     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133APSN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     616559 | PA      | $574492.04     | 0.00%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133APTJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5056525 | PA      | $4367363.97    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133APVV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     442247 | PA      | $365022.66     | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQL96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6639490 | PA      | $5492885.22    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQN78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6773669 | PA      | $6086965.60    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQN86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     742221 | PA      | $618533.70     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQPD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4375324 | PA      | $3640519.00    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQPG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6993013 | PA      | $5803487.04    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2908421 | PA      | $2521662.61    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AQTK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16966508 | PA      | $14662210.54   | 0.04%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ARAD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1532240 | PA      | $1324776.10    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AREF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1178765 | PA      | $1063435.14    | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AREZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15477984 | PA      | $13265296.09   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ARQD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3177562 | PA      | $2722321.83    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ASHQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32137723 | PA      | $26344739.29   | 0.07%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ASQ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1990014 | PA      | $1795312.42    | 0.00%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ASTV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2232320 | PA      | $1845252.39    | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ASX65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5413482 | PA      | $4474825.64    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133ASZH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23812142 | PA      | $20400646.51   | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AT3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2163838 | PA      | $1788644.77    | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AT4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11049387 | PA      | $9497661.51    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AT6H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2459257 | PA      | $2034944.02    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AUVC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2579629 | PA      | $2226450.86    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AXHR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10011028 | PA      | $8633238.98    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AXVQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     857124 | PA      | $733835.61     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AXWR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1085136 | PA      | $938621.00     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AXX64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1783774 | PA      | $1541147.22    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AYFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18012384 | PA      | $14876607.02   | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AYL32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10521589 | PA      | $8669643.86    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133AYLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26574178 | PA      | $21774776.72   | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B06V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293724 | PA      | $273541.41     | 0.00%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B0LK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     543397 | PA      | $506112.11     | 0.00%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B0QD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12277661 | PA      | $10116623.05   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B0SS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6666646 | PA      | $5460296.70    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B0TT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21402326 | PA      | $18316180.17   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B2X95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     582476 | PA      | $498484.98     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B3L54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39698650 | PA      | $32487350.83   | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B3WB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1302842 | PA      | $1075121.06    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B4AC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6338271 | PA      | $5902880.08    | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B54W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1544300 | PA      | $1321138.72    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B5AR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4273677 | PA      | $3689728.99    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B5AX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5346952 | PA      | $4647834.00    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B5PN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2378734 | PA      | $2272841.52    | 0.01%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B5ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3301653 | PA      | $3073812.02    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B6BL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     256907 | PA      | $210128.01     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B6BV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     317836 | PA      | $272102.74     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B72Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12000876 | PA      | $9823476.13    | 0.02%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B7Q35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3615189 | PA      | $3365711.52    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B7Z68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     396670 | PA      | $339467.94     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B8CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     319302 | PA      | $273670.34     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133B9MX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44849544 | PA      | $38382002.12   | 0.10%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BAFQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6349584 | PA      | $5707968.68    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BBTT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4662232 | PA      | $4347095.25    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BDFG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11472735 | PA      | $10983277.99   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BFZG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5176359 | PA      | $5177463.97    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BGDA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2780254 | PA      | $2801114.73    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BH3A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22246119 | PA      | $21319747.65   | 0.05%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BH6D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3797438 | PA      | $3735722.02    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BHHS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     584759 | PA      | $584842.69     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BHHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3373195 | PA      | $3319446.89    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BHQ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6693534 | PA      | $6577968.73    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BJG22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1340446 | PA      | $1353364.66    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BJLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9308040 | PA      | $9155069.76    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BJP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2221958 | PA      | $2263757.60    | 0.01%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5411925 | PA      | $5424892.42    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BNL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1514432 | PA      | $1528851.05    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BNLS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1805051 | PA      | $1805176.74    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BNVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2390698 | PA      | $2393809.20    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BPXV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5689127 | PA      | $5748420.34    | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BRKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2944118 | PA      | $2996773.23    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BRMF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3722607 | PA      | $3790585.24    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BTHE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5616367 | PA      | $5901188.91    | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BV5Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15585674 | PA      | $16029897.68   | 0.04%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133BWNQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1723703 | PA      | $1752005.81    | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133C2A99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1703754 | PA      | $1683459.86    | 0.00%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133C2MB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3310641 | PA      | $3310706.58    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133C36T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7477761 | PA      | $7587241.42    | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133C3D78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3665058 | PA      | $3675710.87    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133C9GZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1841998 | PA      | $1888819.23    | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133CJS93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2949184 | PA      | $3023702.27    | 0.01%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133CW3E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1478121 | PA      | $1486543.54    | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133CWFC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1023708 | PA      | $1022999.22    | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133D1LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5750967 | PA      | $5783736.46    | 0.01%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6BA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     644925 | PA      | $643138.93     | 0.00%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6BJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     708708 | PA      | $688991.83     | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6DE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     263193 | PA      | $256858.60     | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6DJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     232326 | PA      | $225222.89     | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6FG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     372015 | PA      | $365997.35     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6GV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     265332 | PA      | $264650.65     | 0.00%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6HK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     742618 | PA      | $723171.88     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6JF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     186022 | PA      | $180268.27     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6MZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     374047 | PA      | $377171.06     | 0.00%             | 2034-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6NS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     814325 | PA      | $791962.09     | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6RK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     622131 | PA      | $603536.24     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6TV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     701625 | PA      | $681229.19     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6VS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     375790 | PA      | $358516.25     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6X83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     351279 | PA      | $350496.80     | 0.00%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6X91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     417285 | PA      | $402453.18     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6XR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33312 | PA      | $32495.47      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G6ZW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     742437 | PA      | $719609.26     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G72X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     457104 | PA      | $449009.54     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G73C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     571953 | PA      | $553463.59     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G73V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     183647 | PA      | $177982.19     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G77F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4587127 | PA      | $4377654.01    | 0.01%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7AL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1015179 | PA      | $986982.85     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7B36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120753 | PA      | $118665.15     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7BP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     502051 | PA      | $486693.16     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7D83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     688554 | PA      | $675458.44     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7DJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     527924 | PA      | $504331.92     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7E74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1383552 | PA      | $1357213.36    | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7HY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     554305 | PA      | $543526.47     | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7KA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     692183 | PA      | $679282.49     | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7NB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     469485 | PA      | $448873.33     | 0.00%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7PC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172471 | PA      | $169125.16     | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7R62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2706073 | PA      | $2583990.13    | 0.01%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7RL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422548 | PA      | $410565.76     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7UW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92900 | PA      | $90027.91      | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7WW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240067 | PA      | $235832.88     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7YY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     525799 | PA      | $509543.14     | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G7ZS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     706183 | PA      | $692006.52     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G82G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     389010 | PA      | $376982.78     | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G82Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     387762 | PA      | $376814.94     | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G84R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3597263 | PA      | $3428017.13    | 0.01%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G84T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     608383 | PA      | $589615.48     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8CP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135893 | PA      | $131688.38     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8CQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     327617 | PA      | $317488.46     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7790999 | PA      | $7433864.28    | 0.02%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8J51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     316579 | PA      | $306819.49     | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8QP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     635460 | PA      | $615870.50     | 0.00%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8UY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     497201 | PA      | $474028.07     | 0.00%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8VR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2269845 | PA      | $2163051.57    | 0.01%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G8XY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250325 | PA      | $243258.01     | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G95Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1376065 | PA      | $1311809.00    | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9DD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     665131 | PA      | $644487.48     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9E47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1513545 | PA      | $1442084.50    | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9E62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     670235 | PA      | $649538.24     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9F38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1049214 | PA      | $1016775.13    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9F79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     435397 | PA      | $426448.03     | 0.00%             | 2035-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9H28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     801938 | PA      | $748845.59     | 0.00%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9JQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     342728 | PA      | $324378.55     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9LL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     376046 | PA      | $364445.48     | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9M89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     553049 | PA      | $537434.63     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9NA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1310136 | PA      | $1239992.19    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9RR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2289379 | PA      | $2180404.97    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9SQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1380331 | PA      | $1315584.80    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9SS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     502960 | PA      | $478916.43     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9WF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     354720 | PA      | $331054.90     | 0.00%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9X95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     674742 | PA      | $643234.47     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133G9XR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     459324 | PA      | $437875.85     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GA2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     396973 | PA      | $361658.84     | 0.00%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GA3C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     747404 | PA      | $697300.20     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GA6L5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     719210 | PA      | $683593.86     | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GA7E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4923840 | PA      | $4588385.04    | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GABL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     538086 | PA      | $521486.47     | 0.00%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GADC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1621021 | PA      | $1542959.46    | 0.00%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GADD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1015958 | PA      | $967436.43     | 0.00%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GAHC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     437254 | PA      | $423764.83     | 0.00%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GAKQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1782326 | PA      | $1696581.80    | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GAMX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2840397 | PA      | $2649591.51    | 0.01%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GART5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     790017 | PA      | $751340.96     | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GATF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     776330 | PA      | $706609.88     | 0.00%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GB5N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     884370 | PA      | $840395.16     | 0.00%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GB5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     572295 | PA      | $543729.33     | 0.00%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBBR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4410133 | PA      | $4112460.27    | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBE91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     582472 | PA      | $529370.76     | 0.00%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBF90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     642511 | PA      | $610809.39     | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBQL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1186332 | PA      | $1107967.31    | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBRL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3684742 | PA      | $3431149.72    | 0.01%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GBUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235964 | PA      | $219726.02     | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GCCB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2334184 | PA      | $2173121.29    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GCH62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4571597 | PA      | $4239591.84    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GCPM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     717444 | PA      | $667608.24     | 0.00%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GCZJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     905793 | PA      | $842036.62     | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2354135 | PA      | $2182443.77    | 0.01%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDDE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25305668 | PA      | $23521060.94   | 0.06%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3490652 | PA      | $3236073.44    | 0.01%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDHR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1963620 | PA      | $1818158.55    | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDV49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1038144 | PA      | $964672.33     | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GDZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19222479 | PA      | $17814628.25   | 0.05%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GEFX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6919931 | PA      | $6423273.53    | 0.02%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GEGA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     638037 | PA      | $591923.30     | 0.00%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GEGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9053773 | PA      | $8382800.50    | 0.02%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GEYW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7100476 | PA      | $6568171.06    | 0.02%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GFAN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     862592 | PA      | $779511.08     | 0.00%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133GGX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3971995 | PA      | $3577712.21    | 0.01%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     593163 | PA      | $587389.28     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGF60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101856 | PA      | $101227.98     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4267547 | PA      | $3989947.75    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     554844 | PA      | $549443.12     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     894243 | PA      | $888728.59     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGTR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     457861 | PA      | $414034.41     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KGUV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1811265 | PA      | $1637889.80    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KH3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8807 | PA      | $8734.63       | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KH5K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173140 | PA      | $156876.63     | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KH5Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3141548 | PA      | $3024795.19    | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KHA71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     259900 | PA      | $257370.10     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KHW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3222967 | PA      | $3020367.29    | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105373 | PA      | $95507.32      | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJ3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     270609 | PA      | $234717.34     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJ4H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2442849 | PA      | $2031185.31    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJFX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3445376 | PA      | $2983912.60    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJGM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16958808 | PA      | $15332325.37   | 0.04%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8420630 | PA      | $7328347.81    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJLB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15552482 | PA      | $13264375.77   | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KJRS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7407576 | PA      | $6707177.47    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KK3T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12025623 | PA      | $10253131.42   | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KK3U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38641094 | PA      | $33393858.59   | 0.08%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KK3X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2260400 | PA      | $1960787.45    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KK7E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   88437081 | PA      | $72707280.40   | 0.18%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10374016 | PA      | $8587552.77    | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65497 | PA      | $54543.42      | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25777652 | PA      | $21981206.02   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6473408 | PA      | $5598363.94    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKQY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2845648 | PA      | $2426440.12    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKUD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1507451 | PA      | $1308106.94    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKW54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11671576 | PA      | $9715512.72    | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7785040 | PA      | $6464981.30    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKWK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38905480 | PA      | $32308529.40   | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KKZQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19117978 | PA      | $16300863.96   | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1854753 | PA      | $1600892.70    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13148431 | PA      | $10895922.02   | 0.03%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KL7K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41779181 | PA      | $34607261.81   | 0.09%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLA64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1517888 | PA      | $1317705.27    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLAT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     786917 | PA      | $731073.44     | 0.00%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLE86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3971267 | PA      | $3431564.53    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25426919 | PA      | $21002436.55   | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLG35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10364160 | PA      | $8560714.89    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLHN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21575898 | PA      | $17770049.95   | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLS57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1347253 | PA      | $1107327.20    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4318629 | PA      | $3749692.59    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  100826070 | PA      | $86997851.83   | 0.22%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLZ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1580854 | PA      | $1421567.49    | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KLZX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1755960 | PA      | $1442025.09    | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM2V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19366562 | PA      | $15942588.37   | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM4Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1593218 | PA      | $1356796.39    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM4V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31482356 | PA      | $26012573.09   | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4969697 | PA      | $4112239.25    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KM7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3683964 | PA      | $3171863.22    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMBV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     832787 | PA      | $714250.43     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMEZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2324180 | PA      | $2089277.53    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMK46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40623579 | PA      | $33286799.85   | 0.08%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMKG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     697854 | PA      | $602958.19     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2765980 | PA      | $2371420.29    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KML45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     377273 | PA      | $323356.52     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2032886 | PA      | $1674298.39    | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1307398 | PA      | $1113390.47    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMQG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     310363 | PA      | $266009.18     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1440969 | PA      | $1247302.11    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1990042 | PA      | $1718200.16    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMXN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29203407 | PA      | $24164733.26   | 0.06%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMXX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   56847932 | PA      | $48961512.34   | 0.12%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMY90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11664007 | PA      | $9933157.03    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KMZD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36312898 | PA      | $29892842.72   | 0.08%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KN2Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     566680 | PA      | $485005.48     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KN7F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2309221 | PA      | $2155907.58    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12272024 | PA      | $10143986.46   | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45907504 | PA      | $37600404.89   | 0.10%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNB44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16053021 | PA      | $13783683.28   | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNBF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1999295 | PA      | $1727353.52    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNF99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4142200 | PA      | $3527528.84    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNGC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     753341 | PA      | $644746.88     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     775016 | PA      | $721838.28     | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNKN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5575025 | PA      | $5206157.57    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNKS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3726723 | PA      | $3311374.44    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNL68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41158862 | PA      | $33696678.82   | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23156946 | PA      | $19999992.57   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNMN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3967565 | PA      | $3525374.82    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNMP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6365215 | PA      | $5711739.56    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNNQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7790840 | PA      | $7253811.08    | 0.02%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNTM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4750324 | PA      | $4247066.33    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNWE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2671798 | PA      | $2471873.87    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNWU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19156553 | PA      | $16457609.46   | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KNX65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1528579 | PA      | $1319308.99    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KP6Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6843785 | PA      | $6915112.89    | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPD70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18526683 | PA      | $17180570.53   | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     692393 | PA      | $645538.48     | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPL63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     761833 | PA      | $729311.87     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPLY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3214676 | PA      | $3078028.06    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPMB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6392593 | PA      | $6128369.16    | 0.02%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPNP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     923870 | PA      | $756692.87     | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPPB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6383572 | PA      | $6445146.71    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPQR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3847256 | PA      | $3686757.66    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPTD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3389412 | PA      | $3022683.34    | 0.01%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPTE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     362252 | PA      | $336522.49     | 0.00%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7114507 | PA      | $7363988.45    | 0.02%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPUC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8033987 | PA      | $7950810.17    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4065049 | PA      | $4004268.99    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPUU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4954972 | PA      | $4978896.17    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPVN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3075330 | PA      | $2879144.44    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KPY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16077799 | PA      | $16242248.61   | 0.04%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQ2P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41805298 | PA      | $42730439.12   | 0.11%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQDR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9257781 | PA      | $9560321.98    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQEW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3807258 | PA      | $3878072.61    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQGD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4277562 | PA      | $4294248.77    | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQKY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7973316 | PA      | $8230035.16    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQLA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     581703 | PA      | $601682.73     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7115727 | PA      | $7030966.80    | 0.02%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQPM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48214247 | PA      | $48701813.32   | 0.12%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQQF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9930338 | PA      | $10213372.82   | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQTC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5188060 | PA      | $5101995.81    | 0.01%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQVF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4859585 | PA      | $4778969.51    | 0.01%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQXU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14685780 | PA      | $14728592.05   | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KQXX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11749745 | PA      | $12068041.06   | 0.03%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KR5X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15567938 | PA      | $16330603.38   | 0.04%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KR6L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10550662 | PA      | $10910890.53   | 0.03%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   70953803 | PA      | $72086616.90   | 0.18%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRMM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5900975 | PA      | $5954534.01    | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRMT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5552585 | PA      | $5596815.84    | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRP73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61989565 | PA      | $64423792.03   | 0.16%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRPV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41757424 | PA      | $42411264.34   | 0.11%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRVX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17862376 | PA      | $18556910.66   | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16817354 | PA      | $17418768.60   | 0.04%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133KRWB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   65299140 | PA      | $68596080.03   | 0.17%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7GL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     368847 | PA      | $371758.42     | 0.00%             | 2034-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7GW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31344 | PA      | $30396.94      | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7Q59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     210161 | PA      | $206272.94     | 0.00%             | 2031-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7QX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11576 | PA      | $11122.51      | 0.00%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7U96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2949077 | PA      | $2810596.65    | 0.01%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7VL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3085481 | PA      | $2990011.69    | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7X36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19486775 | PA      | $18186720.33   | 0.05%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L7YC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6404280 | PA      | $6100875.36    | 0.02%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3104158 | PA      | $2892969.75    | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8CY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22366775 | PA      | $20828545.44   | 0.05%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8DK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     408035 | PA      | $399674.81     | 0.00%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8GS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14004368 | PA      | $12991615.91   | 0.03%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1094878 | PA      | $1054938.75    | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8HW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20129349 | PA      | $18673366.17   | 0.05%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8KR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1347760 | PA      | $1250087.30    | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8QH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2172008 | PA      | $2054656.74    | 0.01%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8T39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16724756 | PA      | $15493505.63   | 0.04%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8U29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40595475 | PA      | $37620312.42   | 0.10%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8U37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13239699 | PA      | $12269323.93   | 0.03%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8U45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14054960 | PA      | $13024832.45   | 0.03%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8U52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23288726 | PA      | $21566527.95   | 0.05%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8UY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9934448 | PA      | $9212280.82    | 0.02%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8W50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11713286 | PA      | $10845456.48   | 0.03%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8WV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4511485 | PA      | $4068833.87    | 0.01%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8ZN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12709563 | PA      | $12009636.32   | 0.03%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L8ZW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7027700 | PA      | $6642166.64    | 0.02%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L94X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9467858 | PA      | $9740279.84    | 0.02%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L9GR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     741975 | PA      | $754622.66     | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133L9US0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1504765 | PA      | $1530241.42    | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133USKU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35431423 | PA      | $30388208.92   | 0.08%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133W6N94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1668638 | PA      | $1670470.57    | 0.00%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133W9FU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5548422 | PA      | $5692965.82    | 0.01%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WFGV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2833711 | PA      | $2838994.95    | 0.01%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJ2Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1750810 | PA      | $1734834.04    | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJDP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11849306 | PA      | $10951524.93   | 0.03%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJGK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1289820 | PA      | $1192563.15    | 0.00%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJM71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     519069 | PA      | $505841.35     | 0.00%             | 2037-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJRY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1904075 | PA      | $1798759.85    | 0.00%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJTM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     299579 | PA      | $296942.93     | 0.00%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WJWL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     569275 | PA      | $564084.56     | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3133WKAK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     856667 | PA      | $848829.67     | 0.00%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346Y7J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132501 | PA      | $120203.10     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     593528 | PA      | $603465.99     | 0.00%             | 2049-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     456646 | PA      | $426941.54     | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YHX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160774 | PA      | $163483.51     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YQX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3132771 | PA      | $2788858.96    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31346YRV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     683603 | PA      | $645362.36     | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Non Gold Pool                        | CUSIP: 31349SG23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26944 | PA      | $27400.24      | 0.00%             | 2033-12-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31365EJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $33.67         | 0.00%             | 2027-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $3.80          | 0.00%             | 2026-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1330 | PA      | $1374.45       | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        113 | PA      | $118.12        | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12599 | PA      | $13222.54      | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HKZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $48.93         | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HL35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        546 | PA      | $564.82        | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HLZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3395 | PA      | $3543.20       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HM26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1601 | PA      | $1643.32       | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HM42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98614 | PA      | $102980.17     | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        312 | PA      | $325.02        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309930 | PA      | $327478.44     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2271 | PA      | $2370.41       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HNG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        900 | PA      | $954.00        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        668 | PA      | $673.62        | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20519 | PA      | $21443.43      | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31368HNV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29286 | PA      | $29499.69      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371F3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $14.17         | 0.00%             | 2027-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371F7C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $17.82         | 0.00%             | 2027-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FGU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $3.72          | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $4.48          | 0.00%             | 2026-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.90          | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.30          | 0.00%             | 2026-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371FQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.99          | 0.00%             | 2026-11-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $22.66         | 0.00%             | 2027-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371GEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.34         | 0.00%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371GMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        184 | PA      | $187.78        | 0.00%             | 2028-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371GN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         58 | PA      | $58.83         | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HAL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $84.76         | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HCR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $113.60        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HDR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        485 | PA      | $498.33        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        260 | PA      | $265.42        | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HHR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        388 | PA      | $396.96        | 0.00%             | 2029-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        305 | PA      | $312.78        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HLT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $58.19         | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        191 | PA      | $196.84        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HNP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        197 | PA      | $203.00        | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        191 | PA      | $197.12        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.58         | 0.00%             | 2029-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        229 | PA      | $235.45        | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        293 | PA      | $305.99        | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371HXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        824 | PA      | $830.87        | 0.00%             | 2029-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371J3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        469 | PA      | $484.49        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371J3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        271 | PA      | $274.21        | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371J7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        347 | PA      | $363.97        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371JFZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $39.84         | 0.00%             | 2030-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371JL36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        217 | PA      | $228.62        | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371JL44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        113 | PA      | $120.18        | 0.00%             | 2030-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371JWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         79 | PA      | $82.83         | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371K2Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12637 | PA      | $13070.56      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371K7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54231 | PA      | $55475.59      | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1918 | PA      | $2011.01       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1056 | PA      | $1106.94       | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KHU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        803 | PA      | $828.55        | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        942 | PA      | $966.86        | 0.00%             | 2032-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1217 | PA      | $1258.21       | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        173 | PA      | $181.00        | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4209 | PA      | $4414.23       | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        178 | PA      | $188.20        | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KR37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        429 | PA      | $451.44        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KSD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         78 | PA      | $82.21         | 0.00%             | 2032-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4137 | PA      | $4354.55       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KVF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        186 | PA      | $192.13        | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KWJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4102 | PA      | $4261.34       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371KWV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        971 | PA      | $990.83        | 0.00%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371L2M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3268 | PA      | $3399.10       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371L4Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1091 | PA      | $1136.66       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371L6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1532 | PA      | $1596.20       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8139 | PA      | $8325.97       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58897 | PA      | $60916.61      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LDJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1394 | PA      | $1454.54       | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        341 | PA      | $353.14        | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LFZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4216 | PA      | $4399.99       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3304 | PA      | $3497.11       | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3495 | PA      | $3615.03       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8085 | PA      | $8409.83       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4148 | PA      | $4314.25       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LSB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1526 | PA      | $1598.81       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        722 | PA      | $756.50        | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1418 | PA      | $1507.33       | 0.00%             | 2034-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LWT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11652 | PA      | $12120.03      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LX38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1466 | PA      | $1525.08       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LZR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        664 | PA      | $705.86        | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371LZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17715 | PA      | $18561.20      | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371M3W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $354.02        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371M3X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4164 | PA      | $4399.40       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371M6C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        945 | PA      | $1032.16       | 0.00%             | 2037-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13945 | PA      | $14534.32      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1196 | PA      | $1246.94       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MGC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        597 | PA      | $603.22        | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1147 | PA      | $1159.99       | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MGF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1607 | PA      | $1648.70       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MGH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4105 | PA      | $4323.36       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11184 | PA      | $11656.72      | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MMH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1201 | PA      | $1264.88       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MNS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1172 | PA      | $1221.40       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MT23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        410 | PA      | $428.15        | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371MWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        555 | PA      | $606.17        | 0.00%             | 2036-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NBC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5943 | PA      | $6104.53       | 0.00%             | 2037-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NCH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1256 | PA      | $1290.62       | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NGG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1286 | PA      | $1343.18       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NHU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1291 | PA      | $1347.93       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NKG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        359 | PA      | $375.04        | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NMH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        166 | PA      | $178.19        | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NN92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4876 | PA      | $5361.38       | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        905 | PA      | $945.51        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6530 | PA      | $6921.82       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        281 | PA      | $293.44        | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NUX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        338 | PA      | $372.00        | 0.00%             | 2038-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371NZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        225 | PA      | $238.54        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371PBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        244 | PA      | $268.27        | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371PCG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        262 | PA      | $264.57        | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31371PCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24948 | PA      | $26071.91      | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.54          | 0.00%             | 2026-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373UPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.83          | 0.00%             | 2026-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373URD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.28          | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373URK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.78          | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31373USA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.19          | 0.00%             | 2026-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374CQD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684259 | PA      | $686449.84     | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374F6S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.46          | 0.00%             | 2026-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374GBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.31          | 0.00%             | 2027-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374GSG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.81          | 0.00%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374T2L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.85         | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.53          | 0.00%             | 2028-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        353 | PA      | $360.18        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TG78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        292 | PA      | $298.96        | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TGU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $114.21        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        139 | PA      | $142.68        | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TH85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $99.57         | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $94.25         | 0.00%             | 2029-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $114.46        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TNG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        178 | PA      | $182.31        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        213 | PA      | $218.96        | 0.00%             | 2029-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TV48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        266 | PA      | $272.77        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $158.96        | 0.00%             | 2029-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TW21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        430 | PA      | $442.21        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        109 | PA      | $112.56        | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31374TXD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         59 | PA      | $58.86         | 0.00%             | 2029-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31375L6C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $11.24         | 0.00%             | 2026-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376KDR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1552 | PA      | $1614.23       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376KMG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2239 | PA      | $2297.18       | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376KMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3624 | PA      | $3776.74       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376KNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        483 | PA      | $503.63        | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376UX58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.46          | 0.00%             | 2026-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376ZGL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.04          | 0.00%             | 2027-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31376ZMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        169 | PA      | $169.00        | 0.00%             | 2027-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31377D5U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $41.25         | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31377HLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $29.74         | 0.00%             | 2027-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378DVG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $60.99         | 0.00%             | 2027-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378FCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        251 | PA      | $253.33        | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378FFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $126.48        | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378GHM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        283 | PA      | $285.03        | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378NGL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        280 | PA      | $280.45        | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378TQU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        150 | PA      | $151.03        | 0.00%             | 2028-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378UV41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $107.73        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378WS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $29.06         | 0.00%             | 2028-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31378XZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        251 | PA      | $252.93        | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379AM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $51.06         | 0.00%             | 2028-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379D7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $32.77         | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379ECF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        752 | PA      | $755.49        | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379FPH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.02          | 0.00%             | 2028-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379JGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.22         | 0.00%             | 2027-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379R6J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        324 | PA      | $327.34        | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379V2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        101 | PA      | $102.42        | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379XCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $21.78         | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31379YQW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1651 | PA      | $1667.60       | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380BEZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        337 | PA      | $339.57        | 0.00%             | 2028-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380EHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        324 | PA      | $326.50        | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380G5H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $4.91          | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380KVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.05         | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380LLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        108 | PA      | $108.39        | 0.00%             | 2028-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380Q5K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $72.82         | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380Q5T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $53.60         | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380TDG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $25.86         | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380UTP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $140.93        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380WD76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.43          | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380WEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.54         | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380WKC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $63.69         | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380WKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        172 | PA      | $173.63        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31380X6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        141 | PA      | $141.92        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        105 | PA      | $105.86        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $97.42         | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F5L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.27         | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        803 | PA      | $813.57        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382F7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $125.58        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382FH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        475 | PA      | $480.60        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382FYN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        526 | PA      | $537.10        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382G3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $155.04        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382GJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $22.10         | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382K4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        146 | PA      | $146.07        | 0.00%             | 2029-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382KN20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        274 | PA      | $276.41        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382KPK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        695 | PA      | $701.31        | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382KXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        276 | PA      | $278.17        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382L2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $75.26         | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382LCF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $13.10         | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382PCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         76 | PA      | $75.94         | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382QVY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $41.89         | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382SE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        138 | PA      | $140.97        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382SFX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1199 | PA      | $1204.96       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382T7J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         87 | PA      | $86.69         | 0.00%             | 2029-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31382WYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        261 | PA      | $265.05        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383DXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        598 | PA      | $604.67        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383EFY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        308 | PA      | $311.35        | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383EYX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        242 | PA      | $244.80        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383JWB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        873 | PA      | $880.69        | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383LHX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $66.28         | 0.00%             | 2029-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383LMQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3750 | PA      | $3819.10       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383LUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $20.02         | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383QGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $26.91         | 0.00%             | 2029-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383RGF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        377 | PA      | $382.03        | 0.00%             | 2029-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383SD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $308.82        | 0.00%             | 2029-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383SPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        105 | PA      | $105.85        | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31383UR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        193 | PA      | $194.89        | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384AGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $47.65         | 0.00%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384CVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34309 | PA      | $34589.56      | 0.00%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384LWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         76 | PA      | $77.24         | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384V4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $80.32         | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384VQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $27.43         | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384VV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $51.55         | 0.00%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384VVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        264 | PA      | $279.96        | 0.00%             | 2030-04-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WDT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $117.24        | 0.00%             | 2031-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $20.30         | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WG87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        488 | PA      | $511.66        | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        641 | PA      | $671.97        | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        249 | PA      | $257.82        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WKX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        555 | PA      | $573.79        | 0.00%             | 2031-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $53.41         | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        662 | PA      | $684.57        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WLN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1397 | PA      | $1464.63       | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WM72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        172 | PA      | $180.27        | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31384WNM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $141.58        | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385FZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $82.25         | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385H3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        291 | PA      | $298.51        | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385H6T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1840 | PA      | $1931.41       | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385H7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        609 | PA      | $638.11        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $52.50         | 0.00%             | 2030-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        270 | PA      | $282.95        | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1585 | PA      | $1638.89       | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        318 | PA      | $333.96        | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385HZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        706 | PA      | $740.69        | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JBZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        616 | PA      | $646.44        | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JDJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1774 | PA      | $1861.63       | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1121 | PA      | $1179.76       | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        350 | PA      | $369.91        | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1466 | PA      | $1542.60       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        124 | PA      | $130.75        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1332 | PA      | $1401.76       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        204 | PA      | $213.40        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JKZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3600 | PA      | $3788.82       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        508 | PA      | $533.15        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        732 | PA      | $779.89        | 0.00%             | 2032-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JRN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9127 | PA      | $9482.14       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JRP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        275 | PA      | $291.21        | 0.00%             | 2032-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385JRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4655 | PA      | $4836.44       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385U5N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        417 | PA      | $441.43        | 0.00%             | 2030-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385W2D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2302 | PA      | $2391.82       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7970 | PA      | $8279.61       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385W4Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15548 | PA      | $16080.06      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385WW88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        151 | PA      | $158.56        | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385WZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        230 | PA      | $240.75        | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XA72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4872 | PA      | $4983.65       | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2745 | PA      | $2839.63       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XAS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1177 | PA      | $1222.47       | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XAW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7317 | PA      | $7484.58       | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303052 | PA      | $313442.63     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XD46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11202 | PA      | $11552.98      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1863 | PA      | $1927.27       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12144 | PA      | $12560.17      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        595 | PA      | $615.00        | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6552 | PA      | $6776.94       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20177 | PA      | $20868.70      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XM87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2824 | PA      | $2855.32       | 0.00%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XNP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        288 | PA      | $301.81        | 0.00%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XNR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1605 | PA      | $1659.80       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     636050 | PA      | $657858.88     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31385XTY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4774 | PA      | $4937.75       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386ACJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        345 | PA      | $351.80        | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386EBE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $50.50         | 0.00%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386FBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        401 | PA      | $419.10        | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386FF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $66.59         | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386LRK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        439 | PA      | $445.86        | 0.00%             | 2030-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386LVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        253 | PA      | $264.78        | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386PRL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        235 | PA      | $235.78        | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386SL62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        235 | PA      | $246.12        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386STW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $43.59         | 0.00%             | 2031-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386SWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        124 | PA      | $129.73        | 0.00%             | 2031-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386TRA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        383 | PA      | $401.96        | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31386WP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.53         | 0.00%             | 2031-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31387EFJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        135 | PA      | $141.06        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388DYB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        516 | PA      | $541.02        | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388EH74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2082 | PA      | $2182.92       | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388FNW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        647 | PA      | $676.88        | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388GTN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1091 | PA      | $1144.24       | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388KMC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        243 | PA      | $254.88        | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388PL25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        559 | PA      | $586.53        | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388PMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        243 | PA      | $250.88        | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388SA39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        206 | PA      | $209.51        | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388VFL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4206 | PA      | $4324.01       | 0.00%             | 2031-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31388WXC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2720 | PA      | $2791.03       | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389AR62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $37.25         | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389EHC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        895 | PA      | $918.12        | 0.00%             | 2032-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389EYJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        763 | PA      | $803.10        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389JVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1524 | PA      | $1604.11       | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        209 | PA      | $220.14        | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389SFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        530 | PA      | $550.25        | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389TQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        474 | PA      | $499.03        | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389WYU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        361 | PA      | $380.29        | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31389YHW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1256 | PA      | $1298.56       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A1AG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1401 | PA      | $1379.12       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A1AK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     845838 | PA      | $868815.99     | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A1L33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $41.69         | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A1VZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $133.41        | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60635 | PA      | $59698.54      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2BE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     368416 | PA      | $352745.87     | 0.00%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2BL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351222 | PA      | $345801.88     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2BQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126776 | PA      | $124817.08     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2CX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4892 | PA      | $4927.50       | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2HG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70631 | PA      | $69540.11      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2MN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224664 | PA      | $221192.59     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2NX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         88 | PA      | $87.68         | 0.00%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2R43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13525 | PA      | $13315.82      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2VH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339920 | PA      | $339328.34     | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2WT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32676 | PA      | $31286.61      | 0.00%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2WW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29745 | PA      | $29285.57      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A2WY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4504 | PA      | $4434.20       | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A36X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4238 | PA      | $4172.33       | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A46W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214558 | PA      | $214165.76     | 0.00%             | 2031-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A4WK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7761 | PA      | $7994.26       | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A4X75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1515582 | PA      | $1526629.68    | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A4Y58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        674 | PA      | $671.98        | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A53N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101595 | PA      | $100025.53     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A5GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45353 | PA      | $44651.79      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A5GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43325 | PA      | $42655.58      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A5R53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1162 | PA      | $1169.95       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A5YL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5009 | PA      | $5045.17       | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A6HZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1722 | PA      | $1735.00       | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A72W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361992 | PA      | $356407.76     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7GV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7007 | PA      | $6976.74       | 0.00%             | 2026-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7HR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18041 | PA      | $17769.04      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7HZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2822 | PA      | $2701.59       | 0.00%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7NS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1240 | PA      | $1235.52       | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7QB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209099 | PA      | $210620.76     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7QM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22120 | PA      | $21786.88      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7QU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115336 | PA      | $118469.47     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A7W53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        104 | PA      | $103.41        | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8GJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        888 | PA      | $884.83        | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8KF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        149 | PA      | $147.94        | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8Q82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5363 | PA      | $5115.72       | 0.00%             | 2041-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82026 | PA      | $80789.41      | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8RJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     990323 | PA      | $997236.26     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8RL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49624 | PA      | $49899.28      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8RT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     733106 | PA      | $752940.01     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8SR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        511 | PA      | $509.30        | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A8YF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34435 | PA      | $34625.70      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A94Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1599 | PA      | $1575.28       | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9AM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        338 | PA      | $337.06        | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9BD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183790 | PA      | $184807.80     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9BT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $26.90         | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9CE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10217 | PA      | $10063.39      | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9CW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379960 | PA      | $374234.44     | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9L93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2694 | PA      | $2684.30       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9LD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55760 | PA      | $56068.84      | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9P40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5275 | PA      | $5304.20       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9VZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8032 | PA      | $7996.59       | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9WX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14302 | PA      | $14380.87      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9X66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2207102 | PA      | $2219323.56    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9YX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1023 | PA      | $1019.19       | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138A9YZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2529 | PA      | $2516.60       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AA4V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17758 | PA      | $17856.64      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AALE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1230 | PA      | $1237.14       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AAMD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457380 | PA      | $459912.25     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AAMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95246 | PA      | $97823.38      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AB6Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192846 | PA      | $194153.93     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ABBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123463 | PA      | $124146.25     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ABLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76825 | PA      | $75667.08      | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ABM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        206 | PA      | $204.75        | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ABRJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2800740 | PA      | $2820814.83    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ACBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21077 | PA      | $21647.42      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AD2W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34111 | PA      | $34300.32      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ADBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23126 | PA      | $23253.67      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ADSR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $133.06        | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ADU86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         52 | PA      | $52.06         | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ADVN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25270 | PA      | $25409.56      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AEGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10468 | PA      | $10526.46      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AEJ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1010 | PA      | $995.15        | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AF2L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        255 | PA      | $254.42        | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13870 | PA      | $13946.34      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1598549 | PA      | $1646583.74    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFE71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     600908 | PA      | $617165.47     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49141 | PA      | $50470.93      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFH86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     640957 | PA      | $631298.06     | 0.00%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2282 | PA      | $2271.66       | 0.00%             | 2026-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15148 | PA      | $14919.27      | 0.00%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFTD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277213 | PA      | $278748.23     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10449 | PA      | $10731.84      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AFWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1096422 | PA      | $1104281.33    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AGKM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        698 | PA      | $694.53        | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AHPM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24407 | PA      | $24846.56      | 0.00%             | 2041-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AHX68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1498755 | PA      | $1509498.24    | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AHXM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3290 | PA      | $3308.14       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AHXR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17242 | PA      | $17337.23      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJH21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2883 | PA      | $2872.52       | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12179 | PA      | $12246.37      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJK84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111933 | PA      | $115687.65     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJMD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74829 | PA      | $74549.09      | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286678 | PA      | $294434.67     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AJY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1735 | PA      | $1709.10       | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AK2G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        264 | PA      | $262.72        | 0.00%             | 2026-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKEB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31822 | PA      | $31705.64      | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKF95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69989 | PA      | $70477.78      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKGL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36967 | PA      | $37171.62      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12670 | PA      | $12740.57      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKWX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7139 | PA      | $7186.29       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKXC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61485 | PA      | $63236.23      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AKYA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        248 | PA      | $247.19        | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ALNP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2133 | PA      | $2118.43       | 0.00%             | 2026-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMGU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        383 | PA      | $380.77        | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMGW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1929 | PA      | $1915.84       | 0.00%             | 2026-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMHP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2247 | PA      | $2259.56       | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMXU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        415 | PA      | $413.06        | 0.00%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AMYB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159056 | PA      | $160195.82     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ANC84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26858 | PA      | $27006.93      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ANND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40537 | PA      | $41629.56      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ANZD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2318913 | PA      | $2331754.00    | 0.01%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ANZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1244 | PA      | $1224.85       | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AP3B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4674 | PA      | $4650.27       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138APR59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2151 | PA      | $2162.66       | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138APUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5872 | PA      | $5904.92       | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ARZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44285 | PA      | $44529.80      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AS3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3676 | PA      | $3620.55       | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20177 | PA      | $20635.38      | 0.00%             | 2041-09-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97305 | PA      | $95838.25      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASS78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12391 | PA      | $12323.62      | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASSB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3795754 | PA      | $3822249.46    | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15450 | PA      | $15535.71      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASTB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60864 | PA      | $60631.45      | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASWB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19328 | PA      | $19037.18      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        742 | PA      | $736.41        | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ASYQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95486 | PA      | $94046.99      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ATF62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38537 | PA      | $38750.04      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ATFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        850 | PA      | $845.64        | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ATUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     380147 | PA      | $388807.62     | 0.00%             | 2041-10-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6130 | PA      | $6038.08       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVP82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1811869 | PA      | $1784599.63    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVQB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7660 | PA      | $7544.69       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVQE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1929 | PA      | $1900.36       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2345 | PA      | $2309.84       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVQN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1346 | PA      | $1353.59       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVRP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8860 | PA      | $8809.93       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVS89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7265 | PA      | $7312.54       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15219 | PA      | $14989.44      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AVWL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8647 | PA      | $8516.82       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AW3M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21709 | PA      | $21382.24      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AW4V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10617 | PA      | $10534.74      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AW4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20889 | PA      | $20726.87      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AWGX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11677 | PA      | $11741.78      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AXBL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104304 | PA      | $105051.33     | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AXKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18356 | PA      | $18079.17      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AXSS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31487 | PA      | $31012.88      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138AYBQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19052 | PA      | $18172.78      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E06D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22025 | PA      | $21692.77      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0K99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        592 | PA      | $587.05        | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0L56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18942 | PA      | $18656.14      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14908 | PA      | $14990.54      | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0RA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60844 | PA      | $58035.59      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0RK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131453 | PA      | $129471.95     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0RM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1886844 | PA      | $1901445.42    | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187836 | PA      | $186314.64     | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E0SF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15127 | PA      | $15003.54      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E1AY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20183 | PA      | $19879.27      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E1DX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5013 | PA      | $4983.49       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E1M53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86470 | PA      | $85167.31      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E1X28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3749 | PA      | $3692.46       | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E22E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19157 | PA      | $18272.91      | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E2AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3328 | PA      | $3309.07       | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E2KR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     270639 | PA      | $266565.00     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E2MD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212167 | PA      | $210436.91     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4AC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27479 | PA      | $27064.58      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4AF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4955 | PA      | $4924.83       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4AG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2441 | PA      | $2420.46       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4US8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73448 | PA      | $70058.53      | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4UU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6110 | PA      | $6017.55       | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E4YL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180332 | PA      | $183492.08     | 0.00%             | 2042-02-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E5CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4645 | PA      | $4606.04       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E5FZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18131 | PA      | $17857.75      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E5ML9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9788 | PA      | $9596.93       | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E67H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2305 | PA      | $2284.91       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E6N36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48322 | PA      | $46092.15      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E6VD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120059 | PA      | $118272.05     | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E7HS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2074 | PA      | $2054.60       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E8KU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3599 | PA      | $3566.40       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E8PJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     585648 | PA      | $558617.82     | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E8XP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4102 | PA      | $4066.99       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E9AZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139554 | PA      | $136824.75     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138E9JY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9189367 | PA      | $8774268.96    | 0.02%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EADR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1864 | PA      | $1847.69       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EAKK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7647 | PA      | $7301.65       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EAQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35661 | PA      | $34050.56      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3908064 | PA      | $3844023.18    | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBPS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17412 | PA      | $16625.17      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBRE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        293 | PA      | $290.72        | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBRJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6577 | PA      | $6535.08       | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EBRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53326 | PA      | $53122.30      | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ECEV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12221 | PA      | $11668.69      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ECFT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9731 | PA      | $9644.85       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ECGA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50618 | PA      | $50298.90      | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EDGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273749 | PA      | $254501.83     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EDHP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8323 | PA      | $7693.26       | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EE2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131291 | PA      | $126145.37     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EEBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4772 | PA      | $4728.25       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EEPX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116709 | PA      | $111437.31     | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EFDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17889 | PA      | $17081.29      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EG2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27017 | PA      | $27166.83      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EG5C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28896 | PA      | $28790.76      | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EG5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9012 | PA      | $9552.68       | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGAN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3778 | PA      | $4003.98       | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGBC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12452 | PA      | $12656.71      | 0.00%             | 2038-12-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48597 | PA      | $48951.11      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19103 | PA      | $19622.27      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2322509 | PA      | $2339439.48    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGH23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1529130 | PA      | $1572286.47    | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGH72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         99 | PA      | $98.58         | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGHR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24762 | PA      | $24389.17      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1790641 | PA      | $1803673.36    | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGHW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5688 | PA      | $5842.34       | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGKA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3193 | PA      | $3384.86       | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356344 | PA      | $366024.63     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGKU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        669 | PA      | $666.21        | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2278917 | PA      | $2340910.40    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGNL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     288940 | PA      | $297169.44     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGPE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        936 | PA      | $1005.11       | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90329 | PA      | $94327.70      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132468 | PA      | $138437.64     | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGXD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11028 | PA      | $11515.76      | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684296 | PA      | $704858.54     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGZ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15415 | PA      | $15500.11      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EGZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1497379 | PA      | $1474807.56    | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6703 | PA      | $6777.24       | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHBC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3872 | PA      | $3977.15       | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHBD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181436 | PA      | $178632.30     | 0.00%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     713109 | PA      | $765885.39     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHGD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23206 | PA      | $24599.29      | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31030 | PA      | $31201.97      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9042 | PA      | $8905.38       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1591 | PA      | $1709.06       | 0.00%             | 2039-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHNZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     536506 | PA      | $576212.80     | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28873 | PA      | $28692.87      | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1266 | PA      | $1261.44       | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EHWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42932 | PA      | $43169.52      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJ3R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2104 | PA      | $2063.29       | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJ7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2809 | PA      | $2977.19       | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJB49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31234 | PA      | $30951.14      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJBU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1013667 | PA      | $1058083.51    | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJGM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3348 | PA      | $3282.46       | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJHN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4564 | PA      | $4474.64       | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJP44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1936 | PA      | $1898.17       | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJPF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43658 | PA      | $43247.91      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455742 | PA      | $451272.53     | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJRG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        482 | PA      | $478.02        | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJX52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1004566 | PA      | $1010122.25    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4812 | PA      | $4737.59       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJYK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3439 | PA      | $3386.83       | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EJYL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8206 | PA      | $8078.81       | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EK2M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2496338 | PA      | $2605722.55    | 0.01%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKBJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1240 | PA      | $1230.07       | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKCU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1053959 | PA      | $1059556.33    | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2114062 | PA      | $2125768.15    | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1016 | PA      | $1044.38       | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKG25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2962817 | PA      | $3045519.55    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3905 | PA      | $3828.89       | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKKN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6990018 | PA      | $6674247.62    | 0.02%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKTF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8366389 | PA      | $7988159.73    | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKTL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57832 | PA      | $57489.01      | 0.00%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKUC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3876513 | PA      | $3681381.00    | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388539 | PA      | $391474.06     | 0.00%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKZ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16823 | PA      | $15639.24      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKZ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284669 | PA      | $274036.11     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EKZU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     597074 | PA      | $555159.23     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EL5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3931 | PA      | $3943.95       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        179 | PA      | $177.68        | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELCT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19549 | PA      | $20722.45      | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELGR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133491 | PA      | $131478.93     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELPP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74471 | PA      | $74883.21      | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELQA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38408 | PA      | $38009.35      | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELQQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     555099 | PA      | $546013.91     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELQX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12587 | PA      | $12626.90      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELUR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64589 | PA      | $64158.54      | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ELXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135151 | PA      | $135584.16     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EM6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2482 | PA      | $2485.63       | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EM6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1478721 | PA      | $1453411.43    | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8607942 | PA      | $8279198.00    | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMCJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17366 | PA      | $18408.52      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMDN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41049 | PA      | $41180.00      | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMN56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14325 | PA      | $14211.39      | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63519 | PA      | $66331.11      | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMT84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32227 | PA      | $31694.58      | 0.00%             | 2028-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5429490 | PA      | $5459983.78    | 0.01%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24751 | PA      | $25420.55      | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMY54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23203 | PA      | $23372.10      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EMYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5927 | PA      | $5935.89       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EN3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23594 | PA      | $23460.62      | 0.00%             | 2028-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EN4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25728 | PA      | $25810.04      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EN4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14178 | PA      | $13849.10      | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19037 | PA      | $19173.37      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENBT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68269 | PA      | $68374.41      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72527 | PA      | $72638.93      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144075 | PA      | $150454.16     | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENHC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     660885 | PA      | $663375.15     | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26895 | PA      | $26936.93      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14967 | PA      | $14990.32      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENLY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1826 | PA      | $1814.00       | 0.00%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45275 | PA      | $44906.95      | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2177 | PA      | $2195.90       | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226905 | PA      | $232114.03     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28413 | PA      | $29203.77      | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89376 | PA      | $91865.05      | 0.00%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6955 | PA      | $6838.89       | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENX20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9026925 | PA      | $8352690.61    | 0.02%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ENZ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134615 | PA      | $133554.76     | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EP3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303904 | PA      | $279998.47     | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EP4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     656282 | PA      | $606590.43     | 0.00%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150877 | PA      | $151445.91     | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1404 | PA      | $1406.13       | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13167 | PA      | $12833.76      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430207 | PA      | $422816.23     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6495 | PA      | $6459.10       | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88831 | PA      | $88061.00      | 0.00%             | 2030-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4897 | PA      | $5017.08       | 0.00%             | 2045-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPN75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6116 | PA      | $6101.04       | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306840 | PA      | $315084.64     | 0.00%             | 2042-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPTZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     436772 | PA      | $429745.24     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPUP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5619627 | PA      | $5642877.75    | 0.01%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3462908 | PA      | $3392550.78    | 0.01%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1847355 | PA      | $1813465.17    | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EPZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1768170 | PA      | $1685348.22    | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     820939 | PA      | $799933.08     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ5W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2030131 | PA      | $1994590.51    | 0.01%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ6N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104950 | PA      | $102823.78     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ6P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258185 | PA      | $256114.82     | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ7A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     787105 | PA      | $769510.84     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQ7D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1796475 | PA      | $1769437.29    | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQAD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199155 | PA      | $189676.76     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1663477 | PA      | $1670359.47    | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQBA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     848134 | PA      | $810255.18     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQEA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5886 | PA      | $5869.49       | 0.00%             | 2026-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273990 | PA      | $275022.75     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQFK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5948 | PA      | $5858.65       | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3366919 | PA      | $3111414.73    | 0.01%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99804 | PA      | $98944.26      | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2687 | PA      | $2676.45       | 0.00%             | 2029-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQKH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     581691 | PA      | $555712.15     | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420034 | PA      | $429675.83     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339055 | PA      | $312147.91     | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQM33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4532 | PA      | $4443.92       | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQM41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320144 | PA      | $311938.91     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1010871 | PA      | $1018229.43    | 0.00%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1525274 | PA      | $1487816.03    | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQRJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20911 | PA      | $20738.48      | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     368561 | PA      | $362385.68     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQT36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469589 | PA      | $434032.54     | 0.00%             | 2043-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     573959 | PA      | $577137.58     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15149 | PA      | $15011.81      | 0.00%             | 2031-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59542 | PA      | $58507.29      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149430 | PA      | $146931.62     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     633906 | PA      | $605595.10     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138EQZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2334134 | PA      | $2397543.33    | 0.01%             | 2045-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     758200 | PA      | $721645.16     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196025 | PA      | $185470.33     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2472973 | PA      | $2491000.17    | 0.01%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1090268 | PA      | $1070401.79    | 0.00%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1240307 | PA      | $1217495.83    | 0.00%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3570959 | PA      | $3248232.02    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4194241 | PA      | $4011676.54    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4419081 | PA      | $4019704.50    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9958 | PA      | $9754.23       | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER6H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     601528 | PA      | $590033.33     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER6J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1188470 | PA      | $1166089.86    | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ER6R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1172583 | PA      | $1097687.37    | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352427 | PA      | $324209.63     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     667023 | PA      | $649924.03     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     991252 | PA      | $972694.40     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERFX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     499187 | PA      | $458485.50     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401574 | PA      | $381216.22     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3661955 | PA      | $3831706.22    | 0.01%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1797050 | PA      | $1649158.36    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78901 | PA      | $76388.70      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419227 | PA      | $385044.47     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40665 | PA      | $39942.93      | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     511526 | PA      | $502140.20     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11869169 | PA      | $11191705.79   | 0.03%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERMW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1072971 | PA      | $1042295.06    | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERNB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2845984 | PA      | $2611767.96    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1524533 | PA      | $1397839.09    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20585 | PA      | $20699.26      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5942 | PA      | $5923.42       | 0.00%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERTJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     462497 | PA      | $458300.90     | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERUK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1541691 | PA      | $1527271.35    | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERV49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2054071 | PA      | $1961285.27    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERW63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57110 | PA      | $56553.70      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6893811 | PA      | $6331716.27    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERY87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9084746 | PA      | $8909430.23    | 0.02%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300825 | PA      | $296955.37     | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERYJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204431 | PA      | $198606.42     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERYX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403835 | PA      | $384365.05     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ERZE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     803974 | PA      | $787338.65     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ESDA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62597 | PA      | $61343.83      | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET3S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87243 | PA      | $80319.18      | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194873 | PA      | $195173.16     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET5H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5742160 | PA      | $5375395.83    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285306 | PA      | $270252.23     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ET6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     719323 | PA      | $704967.54     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     823453 | PA      | $761103.25     | 0.00%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETAM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16771 | PA      | $15826.13      | 0.00%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETDZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78375 | PA      | $76366.11      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETEP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20508 | PA      | $20278.20      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETGM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3145826 | PA      | $2907632.45    | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     270145 | PA      | $270560.97     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54811 | PA      | $53406.97      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETJB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1240211 | PA      | $1181186.79    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETPF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7453071 | PA      | $7114551.72    | 0.02%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETQP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2399803 | PA      | $2378543.18    | 0.01%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     750578 | PA      | $736472.25     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETQU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     718441 | PA      | $704663.73     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8417586 | PA      | $8263289.78    | 0.02%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETYK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2272072 | PA      | $2213856.89    | 0.01%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ETYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2363791 | PA      | $2243959.60    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LQXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274928 | PA      | $262508.64     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LRK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60128 | PA      | $57411.78      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2375 | PA      | $2328.42       | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LTJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     342167 | PA      | $335481.16     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LTJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11579 | PA      | $11352.51      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LTJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     673166 | PA      | $647456.82     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LTJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36179 | PA      | $34544.39      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LUQ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     365997 | PA      | $361497.02     | 0.00%             | 2027-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LURR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24691 | PA      | $23576.07      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LVVN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239929 | PA      | $236798.94     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LWVP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11162 | PA      | $10657.90      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LXN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8208 | PA      | $8075.40       | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LXU64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2153 | PA      | $2066.87       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LY2J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79186 | PA      | $78413.15      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138LYF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1187811 | PA      | $1134155.28    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M2BC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122316 | PA      | $119926.76     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M3QJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4868 | PA      | $4803.53       | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M57K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     553772 | PA      | $533416.57     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M5FB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384039 | PA      | $393300.15     | 0.00%             | 2042-08-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M5VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255580 | PA      | $244034.66     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M6XS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     638084 | PA      | $609261.04     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M7MG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160256 | PA      | $148988.85     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M7W43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     755147 | PA      | $725890.51     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M7WU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33240 | PA      | $30903.07      | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M8AX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24403 | PA      | $22689.99      | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M9BU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     333469 | PA      | $310023.48     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M9WQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131988 | PA      | $121994.38     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138M9X97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26101 | PA      | $23512.73      | 0.00%             | 2042-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MACT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     515543 | PA      | $492254.90     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MAUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27070 | PA      | $25846.76      | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MBMB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11296 | PA      | $10501.69      | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MBNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13520 | PA      | $12909.63      | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MCF66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1637183 | PA      | $1522075.02    | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MCWG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4233 | PA      | $3935.19       | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MCXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2837028 | PA      | $2637559.51    | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MDPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82359 | PA      | $80095.04      | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MDV33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289612 | PA      | $260888.43     | 0.00%             | 2042-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MDZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167736 | PA      | $160159.49     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MF2H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110562 | PA      | $106278.48     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MFM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71376 | PA      | $70585.76      | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MFNQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21732 | PA      | $21848.53      | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MFSW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167993 | PA      | $151331.66     | 0.00%             | 2042-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MGBP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     595607 | PA      | $553730.85     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MGFS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54079 | PA      | $53234.29      | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MHLF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379626 | PA      | $352918.00     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MHT29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147422 | PA      | $145188.07     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MHUM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7234 | PA      | $7115.42       | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MKBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6554596 | PA      | $6093750.16    | 0.02%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ML4K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104173 | PA      | $102649.10     | 0.00%             | 2027-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ML5N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1560144 | PA      | $1450526.52    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138ML5P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2322864 | PA      | $2159444.33    | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MLSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2045973 | PA      | $1902123.32    | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MLUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     528979 | PA      | $523094.96     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MMDN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1484 | PA      | $1426.81       | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MPWW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89310 | PA      | $87961.44      | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22113 | PA      | $20438.21      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQCX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     380897 | PA      | $374956.01     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88118 | PA      | $84703.62      | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQUF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353559 | PA      | $328701.00     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MQY72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219773 | PA      | $217284.69     | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138MRD40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     950540 | PA      | $913713.10     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NWVW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4182 | PA      | $4115.97       | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NXJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219163 | PA      | $209262.60     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NXSD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1334749 | PA      | $1313903.26    | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NY4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17016 | PA      | $15328.12      | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NY4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1577582 | PA      | $1466835.23    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NYGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     386780 | PA      | $359631.33     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NYGR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4349 | PA      | $4152.59       | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138NYWH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254225 | PA      | $244375.28     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W0FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83760 | PA      | $80335.59      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W0LZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209185 | PA      | $205918.23     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W1LV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2078 | PA      | $2055.25       | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W1MF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159620 | PA      | $147803.71     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W1SW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523408 | PA      | $484002.87     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W1ZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75302 | PA      | $69600.37      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W2YL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2815 | PA      | $2738.44       | 0.00%             | 2029-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W44L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74346 | PA      | $68716.65      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W4UG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311496 | PA      | $306825.38     | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W5HT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4162 | PA      | $3846.80       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W6RG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1051111 | PA      | $1005359.27    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W7F66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     747976 | PA      | $674783.26     | 0.00%             | 2043-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W7KX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419885 | PA      | $413587.18     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W7RV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1105400 | PA      | $1023566.91    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W8CP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9337 | PA      | $8423.46       | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W92G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440293 | PA      | $406955.47     | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W94Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3188 | PA      | $3197.83       | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W94X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1960 | PA      | $2008.96       | 0.00%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9B74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7595 | PA      | $7501.89       | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9BH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23817 | PA      | $22013.38      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5705 | PA      | $5636.35       | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9HL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13211 | PA      | $12961.10      | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9KB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1464 | PA      | $1438.24       | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9KT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6827859 | PA      | $6310870.80    | 0.02%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9RJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     405781 | PA      | $398874.76     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9RL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113743 | PA      | $111778.78     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9SB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280099 | PA      | $252690.41     | 0.00%             | 2043-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9SE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7136937 | PA      | $6596546.66    | 0.02%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9T91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188913 | PA      | $193660.33     | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9TG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4024 | PA      | $3948.28       | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9U40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9691 | PA      | $9518.57       | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9VJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401494 | PA      | $404062.70     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9WK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1584109 | PA      | $1521055.85    | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9XA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24711 | PA      | $24789.47      | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138W9YN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6406 | PA      | $6295.94       | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WA5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2409 | PA      | $2376.30       | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WA6S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7259 | PA      | $7121.07       | 0.00%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WA7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1326 | PA      | $1330.12       | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAAK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2724 | PA      | $2732.31       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13869 | PA      | $13532.76      | 0.00%             | 2028-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAJB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161705 | PA      | $159593.27     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165522 | PA      | $163406.93     | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WALT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1474886 | PA      | $1479586.14    | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAPT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3959 | PA      | $3971.59       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3906 | PA      | $3832.00       | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAQM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1128 | PA      | $1120.03       | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WARA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38980 | PA      | $39104.85      | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAT80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        843 | PA      | $845.58        | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAUB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1082936 | PA      | $1116605.78    | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89611 | PA      | $89897.43      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WAYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3273 | PA      | $3283.52       | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WB4E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103518 | PA      | $103866.60     | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WB7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18058 | PA      | $17118.66      | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBB61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166743 | PA      | $164418.38     | 0.00%             | 2029-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBBP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69858 | PA      | $69967.02      | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBHX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20290 | PA      | $20354.44      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBLF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258975 | PA      | $253716.46     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBPM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50775 | PA      | $50038.57      | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9507 | PA      | $9521.79       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBS30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117260 | PA      | $117440.35     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBSA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21379 | PA      | $21063.48      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBSC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8916 | PA      | $8784.74       | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBSH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14299 | PA      | $14321.57      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8308 | PA      | $8320.93       | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBTG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43932 | PA      | $43999.33      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WBW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4572 | PA      | $4504.59       | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WC4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7344 | PA      | $7282.37       | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCA60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69924 | PA      | $70033.50      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCA94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36634 | PA      | $36691.16      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17298 | PA      | $16859.54      | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCBK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15978 | PA      | $16370.04      | 0.00%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCG56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42117 | PA      | $43149.16      | 0.00%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCGA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5249016 | PA      | $5155448.06    | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCHZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525636 | PA      | $515227.44     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCJZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     333414 | PA      | $328409.76     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8576 | PA      | $8445.37       | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCPD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29887 | PA      | $29432.05      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43578 | PA      | $42894.65      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCVF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     608967 | PA      | $628364.27     | 0.00%             | 2044-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCW66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30425 | PA      | $30173.76      | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCWJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91507 | PA      | $89387.37      | 0.00%             | 2029-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     865561 | PA      | $852067.62     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WCZ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9996 | PA      | $9841.18       | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD2F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147042 | PA      | $140823.60     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD2G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1755371 | PA      | $1655836.97    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD3H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370601 | PA      | $340195.04     | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150290 | PA      | $137642.61     | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61777 | PA      | $60232.76      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20463 | PA      | $19972.01      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WD7G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1458768 | PA      | $1421220.21    | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDB34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9665 | PA      | $9680.50       | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDC41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1236464 | PA      | $1217243.26    | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDDQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173345 | PA      | $169912.67     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383075 | PA      | $393221.87     | 0.00%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDHJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161836 | PA      | $159254.65     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDJ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13120 | PA      | $13140.42      | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2072250 | PA      | $2031215.20    | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDKD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320189 | PA      | $313687.94     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDKU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12755 | PA      | $12432.54      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1137434 | PA      | $1108682.62    | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDL41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138307 | PA      | $135638.26     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDME8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12994 | PA      | $12666.03      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     665050 | PA      | $627340.10     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDQ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     822293 | PA      | $794275.11     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDRS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5345982 | PA      | $5372344.23    | 0.01%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDT68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13489 | PA      | $13147.57      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73953 | PA      | $72758.87      | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDUM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384252 | PA      | $375229.83     | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDY21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8525 | PA      | $8385.63       | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDYE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4161939 | PA      | $4083758.20    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDYF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4727 | PA      | $4572.75       | 0.00%             | 2030-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WDYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336023 | PA      | $328066.76     | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE2L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3101504 | PA      | $3019688.88    | 0.01%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     357818 | PA      | $351339.14     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3460677 | PA      | $3295974.84    | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     857373 | PA      | $834755.07     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25404 | PA      | $24740.62      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE5U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1020284 | PA      | $1002391.05    | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE6B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     853266 | PA      | $812656.58     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE6H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     404687 | PA      | $381926.17     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WE6Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4850 | PA      | $4725.59       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173169 | PA      | $170249.73     | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19784 | PA      | $19295.84      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WECQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1739788 | PA      | $1703472.40    | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WECV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97983 | PA      | $95471.89      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91667 | PA      | $90120.78      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370103 | PA      | $363766.92     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEGR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48632 | PA      | $45735.84      | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEGX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4232 | PA      | $4126.68       | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     372635 | PA      | $363167.47     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEK99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161077 | PA      | $156947.83     | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEM22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262652 | PA      | $258060.77     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEMQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434144 | PA      | $422951.02     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WENA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136957 | PA      | $125431.23     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WENB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     365663 | PA      | $345058.84     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WENH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     886598 | PA      | $863965.78     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEP37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1943484 | PA      | $1894747.95    | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14682 | PA      | $14301.74      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEPW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523346 | PA      | $510408.27     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1449347 | PA      | $1334327.88    | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WERA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2743214 | PA      | $2512356.13    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WERN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10252 | PA      | $9756.92       | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEUN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     938503 | PA      | $914856.58     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WEXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203552 | PA      | $192959.26     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114879 | PA      | $113793.86     | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF2Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5590807 | PA      | $5320857.22    | 0.01%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     456016 | PA      | $430369.08     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF3G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     654395 | PA      | $617590.45     | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF4E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1610635 | PA      | $1573008.11    | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF4G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3635247 | PA      | $3542104.33    | 0.01%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WF4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42340 | PA      | $42388.46      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFAB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     760887 | PA      | $735482.08     | 0.00%             | 2030-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27891 | PA      | $27160.01      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33203 | PA      | $32334.43      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFBL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2329032 | PA      | $2147929.07    | 0.01%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFBT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7748 | PA      | $7096.03       | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280833 | PA      | $267467.93     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFCF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175821 | PA      | $171314.37     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFDR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     666798 | PA      | $654864.07     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFFL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218969 | PA      | $208396.32     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFG34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29792 | PA      | $29022.78      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225254 | PA      | $212553.38     | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFJL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6353 | PA      | $6190.45       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFK39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1938091 | PA      | $1844511.14    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFKF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     929835 | PA      | $851584.32     | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     330446 | PA      | $302636.77     | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFPJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1686126 | PA      | $1591265.70    | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1585500 | PA      | $1544875.80    | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26507 | PA      | $25013.22      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFS80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91618 | PA      | $89270.66      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4792 | PA      | $4661.85       | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFT48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90073 | PA      | $88432.79      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFXW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11230 | PA      | $11032.04      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFYS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7200 | PA      | $7066.57       | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161309 | PA      | $157018.71     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WFZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41852 | PA      | $40712.78      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG4K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13277 | PA      | $11652.62      | 0.00%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG4S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392328 | PA      | $360594.57     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1340243 | PA      | $1314260.27    | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     940396 | PA      | $886816.23     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WG6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     590784 | PA      | $557043.44     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1259602 | PA      | $1188627.41    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95143 | PA      | $89781.78      | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69098 | PA      | $69181.60      | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGBA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263446 | PA      | $248601.41     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     875714 | PA      | $826369.74     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     803505 | PA      | $758229.78     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGDT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5264 | PA      | $5121.54       | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     504046 | PA      | $491667.34     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108730 | PA      | $99579.59      | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4039934 | PA      | $3856439.67    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115042 | PA      | $112094.74     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     929436 | PA      | $877064.58     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGHR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3525092 | PA      | $3364981.70    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221311 | PA      | $208840.35     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGL69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     487559 | PA      | $460086.42     | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGLF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139196 | PA      | $135627.38     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGLR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     690375 | PA      | $632276.13     | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGML5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1332886 | PA      | $1303462.57    | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224040 | PA      | $211251.87     | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGQU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     727502 | PA      | $714436.79     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGQV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164936 | PA      | $161992.71     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGRV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1668286 | PA      | $1637412.28    | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGS70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4067232 | PA      | $3956434.34    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGSM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189250 | PA      | $179265.06     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     866306 | PA      | $817492.09     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGT87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     452469 | PA      | $439111.27     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGTN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107416 | PA      | $107542.20     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGU44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367038 | PA      | $357277.98     | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393113 | PA      | $389602.41     | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGVQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5304 | PA      | $5001.17       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGX90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299916 | PA      | $272817.51     | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGXY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385856 | PA      | $374606.47     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGY65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3169681 | PA      | $3177282.89    | 0.01%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113438 | PA      | $106959.06     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384640 | PA      | $373425.99     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGZ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16002 | PA      | $15694.75      | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85069 | PA      | $82727.28      | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WGZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79542 | PA      | $77299.21      | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10053 | PA      | $9852.05       | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     862875 | PA      | $835804.86     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1220269 | PA      | $1181119.45    | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH6J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170365 | PA      | $154968.05     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123069 | PA      | $108014.84     | 0.00%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WH6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1422044 | PA      | $1293557.86    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHBG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13672 | PA      | $12436.72      | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHBP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299751 | PA      | $282642.13     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2062202 | PA      | $2001957.80    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHCC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48952 | PA      | $47587.25      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101405 | PA      | $100486.36     | 0.00%             | 2031-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHD33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24583 | PA      | $23883.95      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     561415 | PA      | $514759.71     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHER9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16453 | PA      | $14965.91      | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHEX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5652816 | PA      | $5191907.72    | 0.01%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3263523 | PA      | $3077579.52    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHFN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1233657 | PA      | $1123251.73    | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30373 | PA      | $29594.46      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29080 | PA      | $28235.03      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22693 | PA      | $22029.86      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHHW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23876 | PA      | $23199.61      | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2672357 | PA      | $2531355.48    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249033 | PA      | $241771.87     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7860 | PA      | $7411.87       | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     839895 | PA      | $792041.14     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHLQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     675036 | PA      | $619482.40     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHM66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18896 | PA      | $17187.89      | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38709 | PA      | $35552.52      | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3086002 | PA      | $2919846.89    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3394123 | PA      | $3211378.19    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHP30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     721494 | PA      | $699955.77     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11577 | PA      | $11232.06      | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1326970 | PA      | $1288281.52    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHRL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     664658 | PA      | $629979.99     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     749773 | PA      | $671390.99     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHSA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13282 | PA      | $13006.60      | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHSQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     620365 | PA      | $570186.95     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1269635 | PA      | $1265019.33    | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHT51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4322 | PA      | $4306.33       | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1689706 | PA      | $1643675.97    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     426680 | PA      | $414239.83     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133788 | PA      | $117422.92     | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     376693 | PA      | $356411.46     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     413208 | PA      | $400808.60     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129098 | PA      | $128628.83     | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WHZY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4030 | PA      | $4015.06       | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63795 | PA      | $58687.10      | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ5K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87319 | PA      | $82343.55      | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2628786 | PA      | $2558729.06    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198994 | PA      | $192643.98     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJ6R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     555932 | PA      | $554336.38     | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1422524 | PA      | $1345933.37    | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJA73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     823411 | PA      | $776412.58     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJAU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     478391 | PA      | $428379.78     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6379 | PA      | $6356.01       | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJBR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1220795 | PA      | $1175639.13    | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117796 | PA      | $117368.15     | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJCX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15599229 | PA      | $14189442.92   | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJDJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1058309 | PA      | $1002469.83    | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJEQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352846 | PA      | $342164.94     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJES3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2682117 | PA      | $2599940.44    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJG44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     484654 | PA      | $440749.23     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJGK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1721811 | PA      | $1580111.35    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJGL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55002 | PA      | $50489.13      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     713902 | PA      | $649531.20     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2298789 | PA      | $2249412.63    | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720300 | PA      | $655219.24     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4634971 | PA      | $4370418.63    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175493 | PA      | $170029.82     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1481110 | PA      | $1347254.25    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJM47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15075004 | PA      | $13712594.59   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     910157 | PA      | $827901.00     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8085001 | PA      | $7354316.23    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJMJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73115 | PA      | $68948.91      | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJN38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2095282 | PA      | $1927523.05    | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151099 | PA      | $146202.09     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJNC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457625 | PA      | $420610.48     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2881128 | PA      | $2646212.22    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1176568 | PA      | $1116922.68    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1055418 | PA      | $1001112.14    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2456757 | PA      | $2316446.24    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2166778 | PA      | $2120071.49    | 0.01%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJRD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287991 | PA      | $271553.52     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJRQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3200007 | PA      | $3100473.91    | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2734547 | PA      | $2648662.52    | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331179 | PA      | $320439.98     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5237936 | PA      | $4810854.88    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12474451 | PA      | $11347067.58   | 0.03%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJTK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1600821 | PA      | $1523641.55    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJU63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19259 | PA      | $18415.31      | 0.00%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJUG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262194 | PA      | $248514.17     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9719102 | PA      | $9165344.49    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64429 | PA      | $62546.59      | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJVA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1715577 | PA      | $1661300.09    | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367464 | PA      | $355248.06     | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJW53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1074066 | PA      | $1051800.24    | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJWD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5483 | PA      | $5303.26       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJWG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31819147 | PA      | $29200524.77   | 0.07%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJX29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269001 | PA      | $244696.41     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4242855 | PA      | $4050148.69    | 0.01%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     938487 | PA      | $853670.70     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJYG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20355 | PA      | $19193.12      | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJYT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135926 | PA      | $131963.46     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WJZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150691 | PA      | $142089.55     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WK2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7869549 | PA      | $7659825.87    | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WK3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3530779 | PA      | $3340849.61    | 0.01%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WK4Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39893 | PA      | $38619.96      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKL52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331289 | PA      | $314482.72     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKP74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2077811 | PA      | $1906813.37    | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2759096 | PA      | $2594121.63    | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50495 | PA      | $48883.50      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     477380 | PA      | $451700.65     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2024540 | PA      | $1914185.62    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     672165 | PA      | $654251.69     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1713249 | PA      | $1708330.39    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     724266 | PA      | $657879.40     | 0.00%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKTX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396523 | PA      | $375193.37     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKU37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1304603 | PA      | $1263496.87    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKUB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2714974 | PA      | $2533686.11    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3962144 | PA      | $3861364.84    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKXZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     838651 | PA      | $828740.38     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4702078 | PA      | $4582478.59    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKZ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2331513 | PA      | $2323235.85    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKZM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1546912 | PA      | $1507565.76    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WKZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29576 | PA      | $28632.04      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WLA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     427595 | PA      | $426367.11     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WLBQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5271416 | PA      | $4980439.52    | 0.01%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WLCJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36204 | PA      | $35048.33      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WLCK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248583 | PA      | $240650.79     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WM6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8079 | PA      | $7467.06       | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WMFX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106681 | PA      | $98615.16      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WML41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261566 | PA      | $250872.30     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WMSG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6535 | PA      | $6039.96       | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WMSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179739 | PA      | $171915.22     | 0.00%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WMSY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52975 | PA      | $53144.95      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WP3B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1938325 | PA      | $1853954.97    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPGA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77862 | PA      | $72098.09      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPGV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     601627 | PA      | $556690.84     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPGY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     464597 | PA      | $429418.95     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34907 | PA      | $32267.70      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WPNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519407 | PA      | $496820.37     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     716919 | PA      | $662636.08     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361724 | PA      | $326327.90     | 0.00%             | 2043-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19616 | PA      | $18130.45      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18977 | PA      | $18151.26      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294407 | PA      | $272114.89     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQR20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229234 | PA      | $220889.78     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189063 | PA      | $174747.81     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WQY89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13735 | PA      | $12733.41      | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4277 | PA      | $3955.10       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5924965 | PA      | $5476341.93    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     443631 | PA      | $453258.21     | 0.00%             | 2043-06-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRY46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87361 | PA      | $80755.38      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WRYT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190779 | PA      | $176333.49     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WSB72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294801 | PA      | $272421.78     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WSR67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88983 | PA      | $88041.51      | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WTPU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42302 | PA      | $41609.84      | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WTPW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2988 | PA      | $2938.43       | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WTRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6574 | PA      | $6076.11       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WTUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3690570 | PA      | $3411129.57    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WUA29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2075 | PA      | $2040.06       | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WUMB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13073 | PA      | $12083.60      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WUR54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28092 | PA      | $27604.99      | 0.00%             | 2028-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WV2K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     749430 | PA      | $692685.05     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WV3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55020 | PA      | $50854.10      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WV3Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6460 | PA      | $5970.92       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVC66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20872 | PA      | $19291.33      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVDR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69871 | PA      | $64580.76      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489369 | PA      | $452314.81     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVQ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12172 | PA      | $11277.31      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVRA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     876463 | PA      | $838426.97     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WVSK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     464790 | PA      | $429797.92     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WW3W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206153 | PA      | $190543.44     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568900 | PA      | $526070.45     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWGA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3580 | PA      | $3308.48       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176338 | PA      | $173445.98     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     639688 | PA      | $591252.69     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WWNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35117 | PA      | $31680.28      | 0.00%             | 2043-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WXK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21976 | PA      | $21621.90      | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WXLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128691 | PA      | $118947.20     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WXP92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50720 | PA      | $52422.76      | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WXYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2265690 | PA      | $2167070.57    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WZSF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8704 | PA      | $8547.77       | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138WZSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1932 | PA      | $1898.62       | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1BC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393012 | PA      | $387970.31     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1DS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16590 | PA      | $15333.82      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1T63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     553522 | PA      | $529428.41     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1V78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9932 | PA      | $9679.10       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1V94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     731517 | PA      | $712319.61     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1VG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41874 | PA      | $40925.03      | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1WM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5296 | PA      | $5160.82       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X1WT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1781 | PA      | $1637.04       | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X2PG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192130 | PA      | $189135.47     | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X2R63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106002 | PA      | $97975.82      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X2RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21714 | PA      | $20069.76      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X2W83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2316 | PA      | $2264.20       | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3BR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129216 | PA      | $119432.00     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3DP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184325 | PA      | $176674.53     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3F56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148502 | PA      | $147491.09     | 0.00%             | 2028-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3FD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4762 | PA      | $4554.99       | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3S37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1161 | PA      | $1139.18       | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3TW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6013 | PA      | $5557.74       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3VX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6428 | PA      | $6448.26       | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X3XU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19889 | PA      | $19512.19      | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X46Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70634 | PA      | $65286.06      | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4DF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3662 | PA      | $3596.52       | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4EB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1746399 | PA      | $1758229.32    | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4HL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116381 | PA      | $114214.34     | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4L40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3171 | PA      | $3114.64       | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4TM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39525 | PA      | $36532.71      | 0.00%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X4XB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97286 | PA      | $95767.49      | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X55K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     753652 | PA      | $772590.35     | 0.00%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X5CJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1176 | PA      | $1165.81       | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X5HP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57659 | PA      | $56290.31      | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X5YF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22666 | PA      | $22278.33      | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X5Z75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1001 | PA      | $981.72        | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X67G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10602 | PA      | $10404.60      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X6EL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2375 | PA      | $2382.20       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X6JX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4766 | PA      | $4702.28       | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X6KN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15123 | PA      | $14464.41      | 0.00%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X6M51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74178 | PA      | $73283.43      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X75C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     293527 | PA      | $288722.94     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X76C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4585 | PA      | $4237.53       | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X76Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71724 | PA      | $70452.78      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X8C41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18661 | PA      | $18758.39      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9AT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17073 | PA      | $17127.26      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9QH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198354 | PA      | $199697.66     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9WA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27673 | PA      | $25577.77      | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9Y94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139640 | PA      | $137257.06     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9YV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7612 | PA      | $7493.02       | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138X9ZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21845 | PA      | $21262.44      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBD50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     561571 | PA      | $537822.49     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133462 | PA      | $132516.70     | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99634 | PA      | $99951.55      | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120423 | PA      | $118903.11     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XBWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1899 | PA      | $1904.60       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XC4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129128 | PA      | $127491.03     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XCCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29467 | PA      | $29512.83      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XCGD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3127 | PA      | $3145.30       | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35692 | PA      | $35442.02      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDJ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22328 | PA      | $22167.85      | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178784 | PA      | $171001.63     | 0.00%             | 2043-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5613 | PA      | $5501.92       | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDSJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2550 | PA      | $2517.44       | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDTM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7986 | PA      | $7638.09       | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDTR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18066 | PA      | $17749.85      | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDTZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6670 | PA      | $6691.49       | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XDVQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2692 | PA      | $2637.15       | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XEFH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3899 | PA      | $3871.96       | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XF6Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20207 | PA      | $20336.47      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XGAC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10575 | PA      | $10642.51      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XGNL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     685676 | PA      | $690321.17     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XGTV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122739 | PA      | $121054.99     | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XHA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79840 | PA      | $80350.98      | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XHCR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3697 | PA      | $3649.17       | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XHUR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2722 | PA      | $2685.35       | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XHX97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21146 | PA      | $20745.56      | 0.00%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XHZD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56803 | PA      | $56388.97      | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ2V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67662 | PA      | $65951.88      | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174450 | PA      | $171083.58     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ3Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9303 | PA      | $9317.75       | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ5T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19739 | PA      | $19348.03      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51423 | PA      | $50123.10      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJ7L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39079 | PA      | $40130.06      | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9789 | PA      | $9716.67       | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XJXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70475 | PA      | $68551.42      | 0.00%             | 2029-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XLC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286653 | PA      | $287577.20     | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XLNJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24290 | PA      | $24409.61      | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XLZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3486 | PA      | $3398.00       | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XMGE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     581906 | PA      | $572608.20     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XMHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125308 | PA      | $124324.58     | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XMLY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        748 | PA      | $737.63        | 0.00%             | 2029-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XMXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2231 | PA      | $2241.53       | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XP3D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57054 | PA      | $58918.93      | 0.00%             | 2044-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XP3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16211 | PA      | $16235.86      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XPHF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311740 | PA      | $321669.18     | 0.00%             | 2044-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XQ6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5868 | PA      | $5733.29       | 0.00%             | 2029-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XQCX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16398 | PA      | $16065.23      | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XQDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1693348 | PA      | $1662308.69    | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XQVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1700 | PA      | $1686.69       | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XR5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     711161 | PA      | $699019.03     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XRAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137587 | PA      | $135444.46     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XRAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10230 | PA      | $10064.21      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XRH51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     930801 | PA      | $935754.31     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XRYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11289 | PA      | $11306.48      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XSAE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21459 | PA      | $20525.09      | 0.00%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XSAG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100914 | PA      | $98363.58      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XSF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23659 | PA      | $23695.28      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XSUX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64084 | PA      | $64825.16      | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XT4Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122336 | PA      | $122796.77     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23394 | PA      | $23429.71      | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTDC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24130 | PA      | $23688.00      | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTED3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33173 | PA      | $33336.80      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68272 | PA      | $68378.20      | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XTUD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49639 | PA      | $48932.88      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XUAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4043 | PA      | $3979.29       | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XUAU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81028 | PA      | $79801.28      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XVKF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69017 | PA      | $67959.10      | 0.00%             | 2029-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XWFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1286 | PA      | $1267.57       | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XWXD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1103 | PA      | $1086.38       | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XX2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115932 | PA      | $113001.65     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XXFZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2296 | PA      | $2260.17       | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XXX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68833 | PA      | $71025.29      | 0.00%             | 2044-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XXZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241016 | PA      | $231243.82     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XY7E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7342 | PA      | $7378.46       | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XYAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7212 | PA      | $7029.98       | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XYCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     500771 | PA      | $493224.55     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XYG40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1735 | PA      | $1708.32       | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XYGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29245 | PA      | $28800.38      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XZFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25372 | PA      | $24988.65      | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XZHG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66448 | PA      | $66775.60      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138XZJT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21955 | PA      | $21508.77      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y12K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1993 | PA      | $1963.27       | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y15H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13527 | PA      | $13572.36      | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y16X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2185582 | PA      | $2061654.34    | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1CQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6705 | PA      | $6648.65       | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1DB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38660 | PA      | $39815.78      | 0.00%             | 2044-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1DH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        718 | PA      | $712.09        | 0.00%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1EG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1189 | PA      | $1179.20       | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1EV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5008 | PA      | $5016.09       | 0.00%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y1QG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2908 | PA      | $2834.75       | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2BA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2349 | PA      | $2310.91       | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2BR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23636 | PA      | $23248.30      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2EC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7449 | PA      | $7329.02       | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2GC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130679 | PA      | $127370.67     | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2JB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2043 | PA      | $2011.77       | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2QA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6528 | PA      | $6362.81       | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y2WS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14436 | PA      | $14075.52      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3MN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7949 | PA      | $7748.09       | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3SR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46976 | PA      | $46320.13      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3X71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101759 | PA      | $99186.88      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3XV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14026 | PA      | $13671.19      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3YF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28740 | PA      | $28289.71      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y3ZZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211943 | PA      | $202979.97     | 0.00%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y47E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29882 | PA      | $29620.31      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4GU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10673 | PA      | $10494.10      | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4KW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62259 | PA      | $60684.89      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4LT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16633 | PA      | $16423.92      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4NY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2759 | PA      | $2689.64       | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4PF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12788 | PA      | $12464.75      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y4ZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419191 | PA      | $401242.63     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5AP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15636 | PA      | $14352.95      | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5DZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7063 | PA      | $7021.24       | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20931 | PA      | $20401.93      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5VV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11247 | PA      | $11065.10      | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y5WF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9787 | PA      | $9539.20       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y64A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1029040 | PA      | $1034737.88    | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6KM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338725 | PA      | $324221.51     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6ME1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     293468 | PA      | $287804.43     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6ND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7099 | PA      | $6919.44       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6VF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10872 | PA      | $10688.04      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6YN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1964 | PA      | $1966.82       | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y6ZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17587 | PA      | $17437.71      | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y7A28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23110 | PA      | $22525.89      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y7CU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219013 | PA      | $214834.94     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y7J78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201231 | PA      | $197053.01     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y8C57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523404 | PA      | $479356.55     | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y8DK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22212 | PA      | $21842.15      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y8SK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90337 | PA      | $88792.25      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y8TR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11079016 | PA      | $10502457.93   | 0.03%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9AR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1146 | PA      | $1127.48       | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9AV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     578052 | PA      | $573278.29     | 0.00%             | 2029-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9BX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3107 | PA      | $3111.90       | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9C30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     302496 | PA      | $294849.37     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9CQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17293 | PA      | $17013.71      | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9DH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9124 | PA      | $8893.08       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9DP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78702 | PA      | $78822.88      | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9FH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4805 | PA      | $4683.88       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9LG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244674 | PA      | $240673.55     | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9MH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231168 | PA      | $225315.01     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9N38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1512847 | PA      | $1388723.80    | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9NT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13966 | PA      | $13495.14      | 0.00%             | 2030-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9RG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6251 | PA      | $5738.49       | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9SW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112451 | PA      | $106114.44     | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9V54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33222 | PA      | $32678.32      | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138Y9WF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13957 | PA      | $13978.40      | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YAFD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185342 | PA      | $180649.70     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YAT62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50182 | PA      | $49329.23      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YB2N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2321 | PA      | $2284.90       | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YB3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83856 | PA      | $82450.24      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBAX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7429 | PA      | $7274.46       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBKN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55031 | PA      | $52174.77      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBLZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194729 | PA      | $191469.10     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBNN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1725 | PA      | $1689.53       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61589 | PA      | $60190.04      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBSN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122205 | PA      | $119964.66     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1508855 | PA      | $1418998.14    | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YBUJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444336 | PA      | $406942.32     | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YCB26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10464 | PA      | $10376.53      | 0.00%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YD2Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108780 | PA      | $106933.68     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YDFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109478 | PA      | $100495.48     | 0.00%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YDLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5827 | PA      | $5686.71       | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YDUZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216485 | PA      | $212809.23     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YE6L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11015 | PA      | $11032.22      | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9952 | PA      | $9696.45       | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEDW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57152 | PA      | $52616.71      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1495334 | PA      | $1455260.16    | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96512 | PA      | $94072.85      | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3816 | PA      | $3736.50       | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YEXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1372 | PA      | $1344.56       | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YF6P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171946 | PA      | $168627.38     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YF7J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267769 | PA      | $263414.48     | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YFAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18992 | PA      | $18004.12      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YFC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160004 | PA      | $156188.01     | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YFLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111755 | PA      | $109902.20     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YFSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47197 | PA      | $43225.21      | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YG5A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66582 | PA      | $65420.55      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGAJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     921158 | PA      | $923366.97     | 0.00%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60929 | PA      | $59367.68      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36342 | PA      | $35416.52      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304992 | PA      | $280561.01     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGXL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     871233 | PA      | $802092.47     | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YGYF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89432 | PA      | $87200.09      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YH3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13192 | PA      | $12917.39      | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YH5Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361683 | PA      | $352540.69     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17636 | PA      | $16642.34      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59326 | PA      | $54333.28      | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHU32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226124 | PA      | $198308.33     | 0.00%             | 2045-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHVY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87532 | PA      | $85313.17      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHWU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107594 | PA      | $99055.48      | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YHYV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446519 | PA      | $439639.66     | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148534 | PA      | $145857.03     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47508 | PA      | $46686.36      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJLS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153576 | PA      | $150884.10     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJMR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11605 | PA      | $10628.14      | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJRU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3566 | PA      | $3479.77       | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJS23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3761 | PA      | $3664.43       | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     844304 | PA      | $846328.58     | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJXR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198066 | PA      | $194569.32     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143585 | PA      | $141079.24     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YJY34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457302 | PA      | $449351.95     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YK4D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20352 | PA      | $19788.15      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YK4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294901 | PA      | $286601.08     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YKAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98280 | PA      | $96565.16      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YKBM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3186005 | PA      | $3133025.97    | 0.01%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YKFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     779782 | PA      | $742130.86     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YKLS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4234 | PA      | $4239.23       | 0.00%             | 2045-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YL2F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16886 | PA      | $15465.06      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YL2H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1497252 | PA      | $1427120.09    | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YL2S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2480 | PA      | $2279.42       | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6821 | PA      | $6651.35       | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLHP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120414 | PA      | $117464.40     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84329 | PA      | $77695.19      | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257230 | PA      | $252971.84     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YLM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29030 | PA      | $28024.05      | 0.00%             | 2030-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YM2J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224234 | PA      | $220263.55     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMLZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40410 | PA      | $39659.09      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMN21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165980 | PA      | $145562.11     | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229795 | PA      | $210455.98     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134260 | PA      | $132065.61     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YMZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53764 | PA      | $52813.27      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YN3W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423012 | PA      | $412027.71     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YN3X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53735 | PA      | $52362.69      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNA56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48549 | PA      | $45813.45      | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YND61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497865 | PA      | $489423.85     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNDM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36060 | PA      | $35474.33      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97469 | PA      | $95071.17      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNEP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20401 | PA      | $19880.36      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180010 | PA      | $178437.58     | 0.00%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNFX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7880 | PA      | $7680.44       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23527 | PA      | $23114.78      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNL39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127961 | PA      | $125802.54     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNN94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71211 | PA      | $69366.51      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63499 | PA      | $61838.28      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214517 | PA      | $209013.84     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6728 | PA      | $6605.94       | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110238 | PA      | $107412.36     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNZF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18248 | PA      | $17780.31      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YNZX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8510 | PA      | $8291.65       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YP6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182157 | PA      | $179155.34     | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43103 | PA      | $39475.45      | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPBZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135649 | PA      | $133320.88     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPC67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18898 | PA      | $18597.53      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30905 | PA      | $27103.75      | 0.00%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPDG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106343 | PA      | $104518.70     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63482 | PA      | $58139.38      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59876 | PA      | $54836.74      | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPU34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201081 | PA      | $195940.46     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144996 | PA      | $141374.57     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198025 | PA      | $193073.30     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25757 | PA      | $25162.98      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     418334 | PA      | $407670.00     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPW81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22269 | PA      | $21922.13      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YPWU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     277752 | PA      | $272722.87     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YQA67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45020 | PA      | $43789.61      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YQB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7855 | PA      | $7194.03       | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YQCK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26374 | PA      | $25885.31      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YR5K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12810 | PA      | $11731.84      | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107814 | PA      | $104907.74     | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRCX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4169 | PA      | $4059.79       | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15712 | PA      | $15306.41      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRFL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10836 | PA      | $10550.31      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRGB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237826 | PA      | $231301.15     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRP85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336475 | PA      | $317515.73     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YRQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8840 | PA      | $8341.79       | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YS3G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136613 | PA      | $134028.15     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YS4D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77509 | PA      | $75525.43      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YS6K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     450776 | PA      | $439241.47     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSBU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4252 | PA      | $4173.84       | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2787 | PA      | $2738.88       | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSCZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65747 | PA      | $63932.89      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSL20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21258 | PA      | $20676.85      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30488 | PA      | $29692.35      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217874 | PA      | $214286.57     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSQY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2890794 | PA      | $2647516.37    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSRG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6453 | PA      | $6399.98       | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSSM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82145 | PA      | $80656.71      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSSX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1359 | PA      | $1324.51       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSSZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4115 | PA      | $3769.13       | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSTK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37058 | PA      | $36071.28      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSUA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14851 | PA      | $14462.15      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YSXF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3831 | PA      | $3615.34       | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YT6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6580 | PA      | $6411.13       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTLZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369082 | PA      | $351793.98     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190337 | PA      | $187040.46     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTMT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132203 | PA      | $128708.81     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTQ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8416 | PA      | $8196.80       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2066146 | PA      | $2015641.69    | 0.01%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTR22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391244 | PA      | $380783.19     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTRM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     585596 | PA      | $570591.61     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTRR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262041 | PA      | $255326.70     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTSC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200330 | PA      | $195197.14     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTSS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105290 | PA      | $102496.88     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTU51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269810 | PA      | $263332.23     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTU69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51401 | PA      | $50246.97      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2398 | PA      | $2334.08       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348551 | PA      | $339980.27     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTVU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45911 | PA      | $44797.76      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTVW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25656 | PA      | $25165.80      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTWA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393217 | PA      | $382895.76     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89321 | PA      | $86806.01      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTWC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     633018 | PA      | $616592.27     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTXW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17314 | PA      | $16850.46      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YTYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12688 | PA      | $12403.96      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YU5U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401157 | PA      | $390582.09     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8258 | PA      | $8107.51       | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUB42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31948 | PA      | $31406.92      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153227 | PA      | $149212.01     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUKT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2562 | PA      | $2494.92       | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YUVK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     828815 | PA      | $814474.05     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YV4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1889103 | PA      | $1840083.90    | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YVV55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18428 | PA      | $17928.28      | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWCS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34580 | PA      | $30325.82      | 0.00%             | 2045-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79365 | PA      | $77958.31      | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWN29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68769 | PA      | $66865.35      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWNH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229230 | PA      | $222820.92     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWNM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36915 | PA      | $36190.30      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37515 | PA      | $34357.81      | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1200 | PA      | $1168.87       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7586 | PA      | $7380.88       | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40734 | PA      | $39645.82      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YWZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4144 | PA      | $4038.12       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75478 | PA      | $73394.75      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3373351 | PA      | $3286918.77    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXNS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132626 | PA      | $128998.88     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444059 | PA      | $434790.02     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280259 | PA      | $274408.88     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YXV51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8027 | PA      | $7950.19       | 0.00%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YY3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276466 | PA      | $269382.42     | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YYD26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227680 | PA      | $208519.05     | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YYFF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132696 | PA      | $130333.14     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YYMW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1233636 | PA      | $1167215.54    | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3138YYWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8650 | PA      | $8428.27       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390BPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        210 | PA      | $221.99        | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390J3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $118.09        | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390M4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        196 | PA      | $206.06        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390MWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         70 | PA      | $73.18         | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390NTA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $65.27         | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390PGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1406 | PA      | $1479.57       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390PGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        453 | PA      | $479.54        | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390TM63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2771 | PA      | $2916.44       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390TY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        904 | PA      | $951.17        | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390UQB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        457 | PA      | $480.91        | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390UW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        108 | PA      | $113.24        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31390Y7F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2428 | PA      | $2521.70       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391FKJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $30.62         | 0.00%             | 2032-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391HDP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        690 | PA      | $723.44        | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391K5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        329 | PA      | $346.34        | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391N6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2167 | PA      | $2234.98       | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391PBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1918 | PA      | $2017.97       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391PNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1457 | PA      | $1514.10       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391RL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        270 | PA      | $280.51        | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391RZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1882 | PA      | $1955.10       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391SS84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1842 | PA      | $1900.01       | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391TAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2499 | PA      | $2596.65       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391TD39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        877 | PA      | $904.47        | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391V2D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16169 | PA      | $16674.71      | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391VLS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1133 | PA      | $1177.29       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391VVE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        237 | PA      | $246.09        | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391VVG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2384 | PA      | $2525.27       | 0.00%             | 2032-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391YUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10189 | PA      | $10587.63      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31391YW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        167 | PA      | $172.41        | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400CCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        124 | PA      | $127.72        | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400CF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1445 | PA      | $1490.42       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1269 | PA      | $1320.10       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400EMP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2651 | PA      | $2766.24       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400EU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        313 | PA      | $325.19        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400HMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $44.36         | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400HPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        389 | PA      | $402.16        | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400HVF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        371 | PA      | $383.75        | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400JSC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        174 | PA      | $179.56        | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400NBM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1856 | PA      | $1898.29       | 0.00%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400QKT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        513 | PA      | $531.03        | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400QP98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        234 | PA      | $242.05        | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400QUG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1712 | PA      | $1789.66       | 0.00%             | 2033-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400QZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        464 | PA      | $480.13        | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400RDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16247 | PA      | $16804.36      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31400RH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        537 | PA      | $555.52        | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401A3Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        541 | PA      | $559.51        | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401AMG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7565 | PA      | $7823.90       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401BLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2329 | PA      | $2409.07       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401C5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3736 | PA      | $3933.80       | 0.00%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401CD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        260 | PA      | $275.45        | 0.00%             | 2033-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401D2L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11307 | PA      | $11693.82      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401HR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        730 | PA      | $754.53        | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401HUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $35.02         | 0.00%             | 2033-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401JAG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        753 | PA      | $778.34        | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401K2Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2240 | PA      | $2370.24       | 0.00%             | 2033-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401LPS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        755 | PA      | $772.81        | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401LRX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1963 | PA      | $1984.92       | 0.00%             | 2033-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401NWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        442 | PA      | $457.07        | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401PEU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1024 | PA      | $1059.21       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31401PF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5432 | PA      | $5618.50       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C3J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4541 | PA      | $4779.63       | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7445 | PA      | $7836.06       | 0.00%             | 2034-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1491 | PA      | $1507.30       | 0.00%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        137 | PA      | $143.96        | 0.00%             | 2034-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17713 | PA      | $18320.72      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7245 | PA      | $7493.70       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     883550 | PA      | $903833.24     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        110 | PA      | $115.61        | 0.00%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2304 | PA      | $2404.26       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4987 | PA      | $5101.72       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10151 | PA      | $10498.83      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        317 | PA      | $328.08        | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206095 | PA      | $215090.09     | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     627441 | PA      | $654824.56     | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1733 | PA      | $1772.77       | 0.00%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8612 | PA      | $8809.30       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402CYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8799 | PA      | $9001.12       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DF70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118337 | PA      | $123988.01     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66014 | PA      | $68895.03      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DGN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14363 | PA      | $14717.59      | 0.00%             | 2034-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4281 | PA      | $4468.21       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2466 | PA      | $2527.41       | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     496101 | PA      | $516033.03     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DK58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78410 | PA      | $82151.46      | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6214 | PA      | $6511.81       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DP46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        438 | PA      | $455.61        | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        736 | PA      | $765.51        | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DS27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        589 | PA      | $602.42        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402DU73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3456 | PA      | $3574.47       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402E2V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13539 | PA      | $13850.28      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402E2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        247 | PA      | $252.64        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402E6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2197 | PA      | $2220.96       | 0.00%             | 2033-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402ER91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        116 | PA      | $115.67        | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402EWL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $129.83        | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402EX37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1121 | PA      | $1146.65       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402EXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3183 | PA      | $3256.08       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402GSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        577 | PA      | $590.50        | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402GXE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1005 | PA      | $1028.36       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402JAG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14017 | PA      | $14497.29      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402JXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6018 | PA      | $6084.62       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402N4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        595 | PA      | $601.13        | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402Q2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25614 | PA      | $26247.05      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402Q3E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        178 | PA      | $179.62        | 0.00%             | 2028-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QLG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8486 | PA      | $8579.17       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QLK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2810 | PA      | $2841.31       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57560 | PA      | $60309.02      | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        333 | PA      | $348.51        | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QWA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21163 | PA      | $22013.37      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3637 | PA      | $3864.74       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402QYV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5388 | PA      | $5604.75       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4948 | PA      | $5069.89       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1324 | PA      | $1380.18       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1321 | PA      | $1384.50       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        672 | PA      | $703.96        | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48355 | PA      | $49549.73      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1706 | PA      | $1805.39       | 0.00%             | 2035-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RH28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6706 | PA      | $6966.31       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2913 | PA      | $3013.27       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     533616 | PA      | $546797.05     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RL31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17328 | PA      | $18245.87      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1879 | PA      | $1925.56       | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RP45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2778 | PA      | $2890.12       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RRR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7954 | PA      | $8376.59       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RRS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2337 | PA      | $2435.91       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402RUN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11770 | PA      | $12173.73      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402TRS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        949 | PA      | $981.99        | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402TWU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1595 | PA      | $1649.74       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402UR87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5201 | PA      | $5258.63       | 0.00%             | 2033-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402URB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        147 | PA      | $155.38        | 0.00%             | 2032-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402V4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7955 | PA      | $8137.96       | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402WN20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $164.74        | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402XER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $27.74         | 0.00%             | 2033-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402YF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122647 | PA      | $126844.58     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31402YGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        388 | PA      | $396.63        | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403A2N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $95.52         | 0.00%             | 2028-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403BHV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        683 | PA      | $713.02        | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5260 | PA      | $5398.03       | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18129 | PA      | $19098.23      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2528 | PA      | $2635.28       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CZD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10219 | PA      | $10486.69      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        564 | PA      | $570.11        | 0.00%             | 2035-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10064 | PA      | $10328.00      | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403CZT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1185 | PA      | $1248.47       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10775 | PA      | $11057.65      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DBQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        583 | PA      | $613.67        | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328260 | PA      | $336862.26     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4223 | PA      | $4386.99       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     813393 | PA      | $847752.62     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259214 | PA      | $266006.56     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170899 | PA      | $178118.12     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1330 | PA      | $1419.80       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1081 | PA      | $1152.88       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DJZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        870 | PA      | $892.91        | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295360 | PA      | $311054.88     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DLY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        268 | PA      | $286.20        | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        486 | PA      | $518.79        | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        906 | PA      | $942.41        | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94410 | PA      | $101008.71     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DT90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        854 | PA      | $913.62        | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        656 | PA      | $685.01        | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16815 | PA      | $17990.17      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403DWU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4768 | PA      | $4976.33       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403EM53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60226 | PA      | $62290.80      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3649 | PA      | $3688.98       | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403KUF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3457 | PA      | $3596.38       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403MQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        176 | PA      | $181.94        | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403MUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3739 | PA      | $3902.55       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403MX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2251 | PA      | $2328.53       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403Q4M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        739 | PA      | $764.54        | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403QVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        927 | PA      | $958.80        | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403RNA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33676 | PA      | $34829.14      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403RR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        509 | PA      | $529.35        | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403T4R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1970 | PA      | $2052.97       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31403TBE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4955 | PA      | $5154.23       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404BVL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1337 | PA      | $1383.29       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404C6R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13831 | PA      | $14305.17      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404GS85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4055 | PA      | $4194.10       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404KXY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1668 | PA      | $1747.61       | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404MCN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        408 | PA      | $412.77        | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404QH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1693 | PA      | $1773.59       | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404QP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13833 | PA      | $14174.98      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404QY78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3508 | PA      | $3546.45       | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404R4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7188 | PA      | $7477.16       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404R4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1223 | PA      | $1236.94       | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404RU39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1232 | PA      | $1245.74       | 0.00%             | 2034-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404RYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1101 | PA      | $1145.01       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404VA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3746 | PA      | $3896.08       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404WZA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        420 | PA      | $436.45        | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31404YBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1848 | PA      | $1922.43       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405AUU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        391 | PA      | $400.54        | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405CJH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4997 | PA      | $5120.77       | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405CU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2148 | PA      | $2171.35       | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405EPF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22939 | PA      | $23505.18      | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405NC60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        393 | PA      | $412.05        | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405NTU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        889 | PA      | $911.43        | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405PVB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4764 | PA      | $5064.23       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405QLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8534 | PA      | $8944.22       | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405QP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1174 | PA      | $1202.49       | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405QUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1151 | PA      | $1163.77       | 0.00%             | 2034-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405SEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        566 | PA      | $580.92        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405SFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2578 | PA      | $2645.59       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405SKV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1134 | PA      | $1164.01       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405U3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        356 | PA      | $372.77        | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405VCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5972 | PA      | $6211.85       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405WG74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3801 | PA      | $3895.38       | 0.00%             | 2034-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405WR64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        362 | PA      | $367.30        | 0.00%             | 2032-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31405XC27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        806 | PA      | $838.37        | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406AJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1594 | PA      | $1670.36       | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406AT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        532 | PA      | $545.26        | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406E6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $74.19         | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406EGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1050 | PA      | $1092.01       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406EJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        793 | PA      | $813.04        | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406EUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        523 | PA      | $529.08        | 0.00%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406EZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1173 | PA      | $1185.40       | 0.00%             | 2035-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406GQV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2054 | PA      | $2108.14       | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406GZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        817 | PA      | $837.71        | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406J2E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2316 | PA      | $2409.11       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406N4D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        275 | PA      | $278.39        | 0.00%             | 2035-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406NQS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        912 | PA      | $950.48        | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406PAP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6585 | PA      | $6863.08       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406PAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4697 | PA      | $4885.83       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406PHY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        682 | PA      | $715.05        | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406PMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19086 | PA      | $19891.94      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406QJL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4308 | PA      | $4490.34       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406QJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        190 | PA      | $198.15        | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406RDJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2485 | PA      | $2549.96       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406RLJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3662 | PA      | $3816.98       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406ST29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6748 | PA      | $7106.54       | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406STV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2019 | PA      | $2100.32       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406TFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1014 | PA      | $1040.44       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406ULW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2497 | PA      | $2562.70       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406VME3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        700 | PA      | $729.79        | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406VPB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        319 | PA      | $332.38        | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406VX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1690 | PA      | $1761.01       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406WCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        788 | PA      | $829.95        | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406WVS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8375 | PA      | $8729.39       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406XE32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        143 | PA      | $144.83        | 0.00%             | 2035-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406YTT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        738 | PA      | $756.96        | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31406YTU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1871 | PA      | $1949.99       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407A2K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10016 | PA      | $10278.87      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407AC41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2407 | PA      | $2470.34       | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407ADJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3292 | PA      | $3449.38       | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407CAE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1111 | PA      | $1139.89       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407CD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1588 | PA      | $1629.85       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407CGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9915 | PA      | $10440.59      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407CN94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        216 | PA      | $221.69        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407DZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1169 | PA      | $1218.05       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407EHX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2398 | PA      | $2461.34       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407EPG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        555 | PA      | $569.04        | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407FGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        445 | PA      | $457.03        | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407FQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        721 | PA      | $740.09        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407FW97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1628 | PA      | $1696.42       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407G6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.89         | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407G6W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        688 | PA      | $706.42        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407H6Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13636 | PA      | $14589.01      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407HHS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20249 | PA      | $20779.84      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407HWC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        299 | PA      | $307.56        | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407HZL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        376 | PA      | $397.32        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        616 | PA      | $659.16        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JEZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10707 | PA      | $11313.57      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        293 | PA      | $295.80        | 0.00%             | 2035-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        607 | PA      | $623.17        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407JYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5396 | PA      | $5537.81       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407KC31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1552 | PA      | $1592.40       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407KFR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1257 | PA      | $1309.70       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407KNV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        678 | PA      | $695.69        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407KPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1003 | PA      | $1029.71       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407LAB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1984 | PA      | $2089.77       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407LGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1599 | PA      | $1641.05       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407M2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122974 | PA      | $128168.91     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407M7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        389 | PA      | $405.92        | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407M7K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2285 | PA      | $2380.70       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407MZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2292 | PA      | $2352.12       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407NCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1998 | PA      | $2050.48       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407NEN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        899 | PA      | $922.07        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407NQC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        696 | PA      | $703.77        | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407NQM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4158 | PA      | $4203.32       | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407Q6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1457 | PA      | $1495.44       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407R2Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1904 | PA      | $1984.15       | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407RBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67721 | PA      | $69495.66      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407RZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        313 | PA      | $326.13        | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407SFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $99.49         | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407UJA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3567 | PA      | $3660.47       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407VTB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        564 | PA      | $587.93        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407W4Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        568 | PA      | $591.73        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407XA92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3232 | PA      | $3306.51       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407XTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        642 | PA      | $658.53        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407XY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10314 | PA      | $10584.48      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407Y2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        544 | PA      | $566.59        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407Y3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        593 | PA      | $617.95        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407YAH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        981 | PA      | $1022.36       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407YDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1653 | PA      | $1722.55       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407YDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        579 | PA      | $609.64        | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31407YES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3775 | PA      | $3934.44       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408AD98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2526 | PA      | $2632.87       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408BQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1160 | PA      | $1190.51       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408DFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1337 | PA      | $1393.70       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408DK94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16523 | PA      | $17220.99      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408DQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1127 | PA      | $1156.94       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408EBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        963 | PA      | $1003.58       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408EVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        322 | PA      | $330.59        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408EVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3831 | PA      | $3993.26       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408F3J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27269 | PA      | $28704.77      | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408GJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        630 | PA      | $646.88        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408GJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $116.17        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408GMC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1415 | PA      | $1536.38       | 0.00%             | 2036-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408GY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29153 | PA      | $30384.91      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408HA88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1272 | PA      | $1327.27       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408JDT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5437 | PA      | $5666.56       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408JEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         86 | PA      | $91.21         | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408JHD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        804 | PA      | $837.90        | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31408YSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        952 | PA      | $976.53        | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409AHN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        309 | PA      | $330.17        | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409AKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        840 | PA      | $876.63        | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409APS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8919 | PA      | $9295.54       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409C3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3486 | PA      | $3638.56       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409C4M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2261 | PA      | $2359.86       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409CZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2459 | PA      | $2566.39       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409EEF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        722 | PA      | $753.97        | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409ELR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12937 | PA      | $13669.70      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409FLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        312 | PA      | $320.57        | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409FSR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        774 | PA      | $828.99        | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409GGX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2821 | PA      | $2897.60       | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409JLP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1645 | PA      | $1738.33       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409JTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1928 | PA      | $2036.93       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409JYH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        362 | PA      | $387.10        | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409TT24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        177 | PA      | $189.30        | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409UB20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        482 | PA      | $503.29        | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409V2B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1422 | PA      | $1497.10       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409VDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        204 | PA      | $209.17        | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409WV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        631 | PA      | $666.29        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31409YA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2706 | PA      | $2824.98       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140A1TH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7806514 | PA      | $7941389.00    | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140A9Z94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6008599 | PA      | $6183180.19    | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ADN31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12526376 | PA      | $12855024.37   | 0.03%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AE2Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7773740 | PA      | $7990694.68    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AFWS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1364396 | PA      | $1439861.40    | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AGCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2291068 | PA      | $2388718.62    | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AGUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3925731 | PA      | $4023552.11    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AHE32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13378223 | PA      | $13742981.55   | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AHQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13884864 | PA      | $14348591.98   | 0.04%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AHQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6325062 | PA      | $6469370.13    | 0.02%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AJKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     376819 | PA      | $397081.30     | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AJMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7753373 | PA      | $7936910.73    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AMGP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4977002 | PA      | $4985940.22    | 0.01%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ANNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11949356 | PA      | $12196211.49   | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ANPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15015305 | PA      | $15457541.18   | 0.04%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ANPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21469691 | PA      | $22093499.02   | 0.06%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ANPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18831280 | PA      | $19392966.76   | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140APSL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15774222 | PA      | $15791656.36   | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AUXY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15017551 | PA      | $15065920.12   | 0.04%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AUYF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9280157 | PA      | $9470760.76    | 0.02%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140AXHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4067176 | PA      | $4174663.33    | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140B04Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39023647 | PA      | $40238131.36   | 0.10%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140BK2C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7233191 | PA      | $7416360.87    | 0.02%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E02Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177389 | PA      | $172477.88     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E05K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9170 | PA      | $8397.88       | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0AU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1108 | PA      | $1079.56       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0CG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44576 | PA      | $43771.56      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0E76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11623 | PA      | $11636.64      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0EH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     312076 | PA      | $304090.51     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0HF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218411 | PA      | $200030.18     | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0LY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3563 | PA      | $3474.48       | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0PR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15009 | PA      | $14624.89      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0RN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5278 | PA      | $4981.03       | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0SM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10666 | PA      | $10678.14      | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0VN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3564766 | PA      | $3363901.66    | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E0ZD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14221 | PA      | $13857.35      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E14G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273853 | PA      | $266578.01     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E15W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9347 | PA      | $9075.25       | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1GC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4487 | PA      | $4356.39       | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1ML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73258 | PA      | $67093.10      | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1MW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305412 | PA      | $279709.93     | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1UF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     323076 | PA      | $295887.18     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E1ZQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     914645 | PA      | $898455.56     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E24G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260644 | PA      | $253974.92     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E26C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232752 | PA      | $226787.91     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2FS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377847 | PA      | $369960.09     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2GG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4481 | PA      | $4401.93       | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23563 | PA      | $22959.22      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193279 | PA      | $188400.61     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2P96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3958 | PA      | $3625.31       | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2RV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139680 | PA      | $135892.67     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E2UZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56311 | PA      | $51750.85      | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E3CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     678490 | PA      | $665578.17     | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E44U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22924 | PA      | $22336.66      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E45H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2879 | PA      | $2816.68       | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E5CC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183313 | PA      | $179819.12     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E5CK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7982 | PA      | $7919.07       | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E5Y40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11039 | PA      | $10137.79      | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E5Y65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83735 | PA      | $81678.66      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E6MK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3520 | PA      | $3321.90       | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E6NC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6032 | PA      | $5923.26       | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E6RR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8154 | PA      | $7467.69       | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E74H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2116 | PA      | $2061.65       | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E7JG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6985 | PA      | $6859.61       | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E7LM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2548 | PA      | $2404.76       | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E7QA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     630276 | PA      | $597845.69     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8AB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7017 | PA      | $6837.53       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8F29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1875067 | PA      | $1717268.83    | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8QT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49919 | PA      | $48753.27      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8X86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17135 | PA      | $16695.54      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E8ZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     537660 | PA      | $526437.00     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9HM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2681 | PA      | $2612.57       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9J23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72763 | PA      | $70898.45      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9JT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8063 | PA      | $7914.56       | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9KP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15960 | PA      | $15551.48      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9LD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4431 | PA      | $4058.53       | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140E9NN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1301877 | PA      | $1262975.94    | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EATP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22687 | PA      | $20777.82      | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EAUB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     336943 | PA      | $317957.21     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140496 | PA      | $128672.82     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBDW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     509381 | PA      | $466513.42     | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBNN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38135 | PA      | $37157.28      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBRU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15537 | PA      | $15139.29      | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11357 | PA      | $11066.26      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBWE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9333 | PA      | $8840.52       | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBXA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104379 | PA      | $101330.16     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EBXN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97439 | PA      | $89239.17      | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ECR92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     503621 | PA      | $471453.87     | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140ECRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     943596 | PA      | $883326.37     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU2A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30954 | PA      | $30990.88      | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU2G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     621953 | PA      | $610921.01     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU4M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25121 | PA      | $25043.54      | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU4Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387876 | PA      | $352821.88     | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU6Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121292 | PA      | $117987.54     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EU6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369495 | PA      | $330868.23     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367892 | PA      | $347148.64     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUE21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407978 | PA      | $388279.24     | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUE70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37924 | PA      | $35665.18      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76381 | PA      | $76471.04      | 0.00%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1536854 | PA      | $1540539.73    | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     710989 | PA      | $670382.52     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUKN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4005865 | PA      | $3777220.16    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80954 | PA      | $80942.88      | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUKZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2800 | PA      | $2789.60       | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EULA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219068 | PA      | $217185.45     | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EULG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     948234 | PA      | $894803.36     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EULL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235447 | PA      | $215632.81     | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241115 | PA      | $227519.90     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUUC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39598 | PA      | $38416.00      | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EUWM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5984 | PA      | $5642.83       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVA56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122939 | PA      | $120498.53     | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     606833 | PA      | $595800.45     | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11548 | PA      | $11225.58      | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23841409 | PA      | $22498015.21   | 0.06%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVJR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332245 | PA      | $313280.85     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     787551 | PA      | $766096.97     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVK97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     769591 | PA      | $725637.85     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53815 | PA      | $52480.01      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVTN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54654 | PA      | $47968.91      | 0.00%             | 2046-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVTP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216180 | PA      | $199024.48     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVTZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369011 | PA      | $361420.08     | 0.00%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVU96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42400 | PA      | $42245.46      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EVUP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1469822 | PA      | $1349978.87    | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EW6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6979 | PA      | $6348.54       | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWA96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387508 | PA      | $376888.72     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWCK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229980 | PA      | $223514.83     | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWE68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127792 | PA      | $120498.40     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185976 | PA      | $170325.31     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10075 | PA      | $9781.03       | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EWWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175708 | PA      | $172573.49     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444903 | PA      | $431752.19     | 0.00%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXD91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7442 | PA      | $7414.77       | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64610 | PA      | $63007.37      | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49118 | PA      | $43109.61      | 0.00%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135765 | PA      | $132286.37     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXHC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52850 | PA      | $49833.23      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EXHL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112430 | PA      | $109413.62     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EY2N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20500 | PA      | $19326.50      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EY3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194206 | PA      | $190538.02     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EY3U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105283 | PA      | $104363.54     | 0.00%             | 2031-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EY4Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246621 | PA      | $242214.06     | 0.00%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     464408 | PA      | $455865.96     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55875 | PA      | $52686.07      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9243 | PA      | $9155.24       | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYY88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105768 | PA      | $96209.27      | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140EYYU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15410 | PA      | $14017.22      | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F03U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     648159 | PA      | $635788.03     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F04A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324522 | PA      | $316207.14     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F07H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7445 | PA      | $7227.30       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0B60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8626 | PA      | $8170.61       | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0CF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239254 | PA      | $238384.99     | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0D68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326443 | PA      | $326590.45     | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0FJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165541 | PA      | $156481.68     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0GB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     743992 | PA      | $701526.55     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0GY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1019997 | PA      | $935231.55     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59598 | PA      | $58119.62      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0HD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     649207 | PA      | $590534.97     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0JJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1536394 | PA      | $1397541.97    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0JL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     476486 | PA      | $474756.10     | 0.00%             | 2046-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0JX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     637799 | PA      | $618190.07     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0KT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154801 | PA      | $150196.96     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0LV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1425300 | PA      | $1249971.08    | 0.00%             | 2046-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0N91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27937 | PA      | $27835.90      | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0NL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1649894 | PA      | $1511045.58    | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0R89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140429 | PA      | $140492.27     | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F0UQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1152948 | PA      | $1131090.23    | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F14D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253480 | PA      | $246408.32     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F1FX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46172 | PA      | $43536.90      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F1NY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184242 | PA      | $182563.57     | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F1T28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283791 | PA      | $275720.69     | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F1V82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2349388 | PA      | $2228502.62    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F23F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47548 | PA      | $46172.17      | 0.00%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F2AR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5145 | PA      | $4995.10       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F2HJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5915 | PA      | $5577.58       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F2QS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196809 | PA      | $185575.49     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F3BT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306687 | PA      | $299831.46     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F3KB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1361612 | PA      | $1321883.58    | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F3PT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37013 | PA      | $34900.49      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4BN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316390 | PA      | $287796.21     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4BP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42184 | PA      | $38371.70      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4HR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45633 | PA      | $40051.26      | 0.00%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4L95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395106 | PA      | $369869.34     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4NA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292133 | PA      | $273474.14     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4NV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     411663 | PA      | $402820.64     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4NZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367745 | PA      | $359524.66     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4QZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     538058 | PA      | $489431.25     | 0.00%             | 2041-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4TE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74214 | PA      | $69474.14      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4TJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19714 | PA      | $17302.36      | 0.00%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4UV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2960741 | PA      | $2874246.98    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F4ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1116863 | PA      | $1084555.02    | 0.00%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F54F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75342 | PA      | $73716.15      | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2148080 | PA      | $1953946.10    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5AQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     372729 | PA      | $353062.44     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5BH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310292 | PA      | $300824.79     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5CD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3076321 | PA      | $2798297.49    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195085 | PA      | $182624.15     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5CV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     975551 | PA      | $887385.11     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5CW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1146785 | PA      | $1088649.19    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5HQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     480825 | PA      | $480760.72     | 0.00%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5MJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1329306 | PA      | $1209169.48    | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5RX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66795 | PA      | $62982.43      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F5YU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109123 | PA      | $99260.74      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F73S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44329 | PA      | $43936.80      | 0.00%             | 2031-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7AU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     389416 | PA      | $357368.45     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7JC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22482 | PA      | $21823.10      | 0.00%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7P78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     512639 | PA      | $486651.18     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7QU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     333404 | PA      | $330440.63     | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7VR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5725458 | PA      | $5398662.87    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7WC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     340650 | PA      | $339872.27     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7WF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101468 | PA      | $101108.29     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F7XS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122218 | PA      | $124786.23     | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8AF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34655 | PA      | $33643.94      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8CU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1411443 | PA      | $1379893.63    | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8H75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33264 | PA      | $30257.71      | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8JH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4103803 | PA      | $3762763.41    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8KT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216595 | PA      | $210267.41     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8LS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     393904 | PA      | $382680.57     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8RA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284181 | PA      | $258497.95     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8RX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     620643 | PA      | $564419.52     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F8SF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1488356 | PA      | $1444962.28    | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9FS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     728670 | PA      | $728572.32     | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9N76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77192 | PA      | $76427.60      | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9V69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123990 | PA      | $116912.70     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9V85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80592 | PA      | $80299.15      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     764389 | PA      | $720759.62     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9WL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2253446 | PA      | $2124824.75    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9Y25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361295 | PA      | $323525.22     | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71137 | PA      | $66593.37      | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140F9ZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76030 | PA      | $66730.18      | 0.00%             | 2046-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FA6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     659660 | PA      | $622761.43     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FAGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6678 | PA      | $6653.46       | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FAKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     770008 | PA      | $689511.10     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FALF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271135 | PA      | $249204.45     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FALQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253220 | PA      | $230335.55     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FAW57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3985 | PA      | $3868.59       | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FB5S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55637 | PA      | $53948.21      | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FB7H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17263 | PA      | $17110.11      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244982 | PA      | $243727.02     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBDW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     584081 | PA      | $554471.38     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137274 | PA      | $132870.73     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBG20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1298101 | PA      | $1190224.55    | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41163 | PA      | $40001.93      | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105535 | PA      | $102456.02     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     379893 | PA      | $368808.69     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     530450 | PA      | $517619.70     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBVY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2678367 | PA      | $2398369.46    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FBYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1922665 | PA      | $1879687.88    | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCAB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279158 | PA      | $273417.89     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335396 | PA      | $316252.63     | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64716 | PA      | $61022.43      | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     648840 | PA      | $631548.14     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCTC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1415944 | PA      | $1335125.28    | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCTD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3044599 | PA      | $2769441.92    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23695 | PA      | $20796.23      | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCXJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19554 | PA      | $19482.64      | 0.00%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCY28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257170 | PA      | $250479.63     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67780 | PA      | $67533.45      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FCYL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        470 | PA      | $468.73        | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FD3R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15257 | PA      | $14791.07      | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FDCM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96590 | PA      | $91550.23      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FDHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197277 | PA      | $188717.80     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204414 | PA      | $185939.88     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     909032 | PA      | $862916.15     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123593 | PA      | $118088.56     | 0.00%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250646 | PA      | $242648.56     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FE5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1257532 | PA      | $1146602.48    | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FECL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226526 | PA      | $215042.41     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FED92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2382948 | PA      | $2246935.00    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     965045 | PA      | $915388.96     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1198122 | PA      | $1102194.18    | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     450684 | PA      | $426418.32     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEFU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     621980 | PA      | $608620.53     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     517793 | PA      | $475574.29     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEX25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146531 | PA      | $133287.99     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FEZ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2394 | PA      | $2317.83       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FF7M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48623 | PA      | $45969.61      | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129342 | PA      | $118697.93     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFC41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2584146 | PA      | $2351140.07    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     386232 | PA      | $377598.77     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFDE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461648 | PA      | $452470.64     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFEY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173643 | PA      | $168576.49     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFRL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11303 | PA      | $9920.15       | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FFY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157842 | PA      | $149606.44     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FG4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2337888 | PA      | $2148789.84    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FG7K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171627 | PA      | $163352.02     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGAD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     728538 | PA      | $662847.23     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGEK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43613 | PA      | $38277.75      | 0.00%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGGC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136111 | PA      | $123809.99     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279500 | PA      | $264917.62     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGPX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1725460 | PA      | $1636677.45    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FGVA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525007 | PA      | $482542.24     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FH3M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190789 | PA      | $190112.36     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FH7C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1919568 | PA      | $1662261.09    | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHCD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1705394 | PA      | $1657823.27    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHDU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     608067 | PA      | $564700.67     | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHKX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     756721 | PA      | $693470.43     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHLJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12643 | PA      | $11921.59      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248440 | PA      | $218049.92     | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FHSP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1443697 | PA      | $1325983.87    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FJCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5803 | PA      | $5278.30       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FJCC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345787 | PA      | $327745.70     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338585 | PA      | $319259.48     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKFD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1036193 | PA      | $1005922.45    | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167366 | PA      | $161773.53     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKT59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239633 | PA      | $233989.85     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FKTA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     713440 | PA      | $679043.82     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FL6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65208 | PA      | $62229.36      | 0.00%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242246 | PA      | $229965.22     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319748 | PA      | $318586.33     | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     510675 | PA      | $483730.61     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLSP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24691 | PA      | $22481.21      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5605 | PA      | $5098.74       | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FLV62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1008934 | PA      | $952498.71     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FM3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4672 | PA      | $4522.14       | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FM4S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     426449 | PA      | $403488.54     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMCZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2256404 | PA      | $2112282.89    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMFS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14772 | PA      | $13436.78      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164866 | PA      | $163052.31     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163000 | PA      | $153712.85     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FMXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5752 | PA      | $5485.06       | 0.00%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FN5P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1378147 | PA      | $1346954.58    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5892 | PA      | $5540.26       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNAD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684427 | PA      | $666187.35     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33282 | PA      | $31382.73      | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNME1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     921498 | PA      | $900899.86     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNQZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9298 | PA      | $9006.19       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNVZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350551 | PA      | $330542.72     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FNX25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429548 | PA      | $425432.60     | 0.00%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FP4X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36898 | PA      | $34795.39      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FP6R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     688720 | PA      | $649468.19     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPA82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64253 | PA      | $65572.40      | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     428639 | PA      | $414967.24     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278630 | PA      | $275419.44     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     668158 | PA      | $651583.55     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46485 | PA      | $46342.03      | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     400306 | PA      | $379184.90     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPPT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398849 | PA      | $377804.57     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294284 | PA      | $277487.27     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190092 | PA      | $172911.97     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPVS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1530765 | PA      | $1443393.11    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207234 | PA      | $188505.33     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110522 | PA      | $100533.40     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47169 | PA      | $42905.84      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FPXJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151067 | PA      | $137414.21     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQB30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13961 | PA      | $12253.64      | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57810 | PA      | $56003.48      | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173434 | PA      | $172901.86     | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQS40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     695794 | PA      | $681700.48     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     428727 | PA      | $409254.46     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQTZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2214064 | PA      | $2089307.82    | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQUB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384701 | PA      | $376908.92     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FQZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39880 | PA      | $37704.05      | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FR4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206408 | PA      | $204025.15     | 0.00%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FR5Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102896 | PA      | $101746.14     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FR5T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37804 | PA      | $37436.24      | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3809 | PA      | $3695.77       | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRGW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10370 | PA      | $9432.83       | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRH57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157896 | PA      | $143626.04     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245315 | PA      | $231312.75     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRJQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9261 | PA      | $9068.08       | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85226 | PA      | $84916.45      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRTD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1776 | PA      | $1769.99       | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FRUC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8762 | PA      | $8730.45       | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FS2U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24335 | PA      | $24246.10      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FS3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97621 | PA      | $97266.63      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FS5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257717 | PA      | $254752.41     | 0.00%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19367 | PA      | $19296.21      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSGM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12267 | PA      | $12251.37      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     689993 | PA      | $650585.97     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6045 | PA      | $6023.36       | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FSRA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13328 | PA      | $11686.70      | 0.00%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61317 | PA      | $59177.90      | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTJF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99593 | PA      | $90591.87      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8477 | PA      | $8210.77       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTLR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388955 | PA      | $353994.13     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTW72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48493 | PA      | $48316.69      | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     454394 | PA      | $443677.14     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FTZ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596522 | PA      | $562473.64     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307694 | PA      | $307531.79     | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUGF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278729 | PA      | $275618.43     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUGZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72733 | PA      | $72325.07      | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUJH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20363 | PA      | $19733.17      | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     697738 | PA      | $659722.14     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUNM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48366 | PA      | $48245.79      | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318205 | PA      | $317477.91     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246986 | PA      | $244023.11     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FUXH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1544238 | PA      | $1504959.95    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FV3J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     346395 | PA      | $327521.64     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVAJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228677 | PA      | $223146.37     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVBY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1272393 | PA      | $1257394.24    | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVCT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     700920 | PA      | $661713.40     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1709832 | PA      | $1666341.05    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66738 | PA      | $66501.51      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348076 | PA      | $336973.67     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256784 | PA      | $248593.56     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49915 | PA      | $49738.23      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FVZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345787 | PA      | $326938.99     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FWDD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54784 | PA      | $54174.09      | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FXF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3997748 | PA      | $3835851.76    | 0.01%             | 2057-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FXFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3664955 | PA      | $3516536.11    | 0.01%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FXGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4597445 | PA      | $4337774.27    | 0.01%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140FXGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5645917 | PA      | $5535664.56    | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GN3G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186169 | PA      | $175040.70     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GN4S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118236 | PA      | $111168.00     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNA29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84967 | PA      | $82805.90      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200236 | PA      | $199526.56     | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNL68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198747 | PA      | $188735.92     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179834 | PA      | $177727.03     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193345 | PA      | $191027.41     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNZB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     538320 | PA      | $519300.70     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GNZD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     877887 | PA      | $846869.88     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPBU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     762394 | PA      | $761542.97     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPG93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1074429 | PA      | $1045795.46    | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     750311 | PA      | $722495.42     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189613 | PA      | $183564.63     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GPUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75806 | PA      | $71673.49      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQ3C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     541166 | PA      | $508817.35     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQ3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1230684 | PA      | $1191414.69    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQ4E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327583 | PA      | $308001.46     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     750814 | PA      | $726865.25     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQFS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     978675 | PA      | $955583.44     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQMC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51995 | PA      | $50609.24      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQN93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82916 | PA      | $77960.12      | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQW28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     790611 | PA      | $772454.76     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQXV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1092772 | PA      | $1062290.10    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GQZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140428 | PA      | $136962.17     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153241 | PA      | $156958.13     | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41596 | PA      | $37783.13      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRDD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79372 | PA      | $77594.90      | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GREL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31816 | PA      | $28899.76      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     900730 | PA      | $851011.06     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227265 | PA      | $222039.58     | 0.00%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRLP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1285949 | PA      | $1244931.36    | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263872 | PA      | $257376.34     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     534306 | PA      | $532771.69     | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRYT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     463350 | PA      | $457807.92     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128225 | PA      | $126696.86     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRYX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149075 | PA      | $149026.73     | 0.00%             | 2032-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRZA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     159541 | PA      | $150617.02     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GRZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     503736 | PA      | $492167.71     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GS2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1965551 | PA      | $1908244.19    | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217512 | PA      | $221179.23     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSNW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3179765 | PA      | $3078302.11    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141407 | PA      | $136896.51     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419871 | PA      | $394772.74     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSSZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316019 | PA      | $308866.07     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GST51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276503 | PA      | $261981.77     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GSX64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124598 | PA      | $121685.59     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GTBK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196039 | PA      | $189169.28     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GTSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5156 | PA      | $4994.93       | 0.00%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GTVM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     421585 | PA      | $396384.55     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GTZ37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238574 | PA      | $235867.56     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202662 | PA      | $202199.13     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435032 | PA      | $405983.74     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUMA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83975 | PA      | $78955.71      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUUJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     476279 | PA      | $473608.77     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GUYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142724 | PA      | $142564.33     | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GV2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21985 | PA      | $21906.92      | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GV2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1115561 | PA      | $1074323.16    | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GV4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140299 | PA      | $138492.46     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVHJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1320834 | PA      | $1278665.96    | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVKY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220653 | PA      | $217882.56     | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVRK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1062975 | PA      | $1023568.34    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVS89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390274 | PA      | $370475.12     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97348 | PA      | $97182.00      | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GVV44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273400 | PA      | $258974.96     | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GW6Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108811 | PA      | $108562.11     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8894 | PA      | $8862.32       | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272846 | PA      | $258516.76     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457237 | PA      | $433865.90     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWR39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367754 | PA      | $358866.15     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GWT60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175100 | PA      | $164633.56     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GXC66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184149 | PA      | $183728.36     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GXPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4478442 | PA      | $4210742.05    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GY3A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     447813 | PA      | $446789.94     | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYJ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203779 | PA      | $193441.50     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420753 | PA      | $410050.87     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176351 | PA      | $172453.99     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYLY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74571 | PA      | $70113.46      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2039494 | PA      | $1987617.89    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140GYZ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     718971 | PA      | $679781.20     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1AD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1002804 | PA      | $935843.08     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1AU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     346090 | PA      | $328039.59     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1DJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113831 | PA      | $107026.67     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1F47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303548 | PA      | $287643.09     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1JW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1540 | PA      | $1535.04       | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1LM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     662704 | PA      | $647484.71     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1M31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1674871 | PA      | $1632269.86    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1PZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190895 | PA      | $186132.27     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1QG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242452 | PA      | $235991.17     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1RD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     511086 | PA      | $485158.41     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1S68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278937 | PA      | $266795.35     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1V31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281285 | PA      | $280725.18     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1WA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     697568 | PA      | $709176.66     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H1YS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     737574 | PA      | $720635.11     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H23H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     851816 | PA      | $832992.83     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2B49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9522 | PA      | $9150.08       | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2C63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64193 | PA      | $60355.92      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2FT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79042 | PA      | $76935.46      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2G51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1899029 | PA      | $1802689.22    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2JE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1199923 | PA      | $1139049.95    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2PH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193285 | PA      | $182473.79     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2V47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116792 | PA      | $110426.29     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2W61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     411507 | PA      | $398376.47     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H2YR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209536 | PA      | $207080.20     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224184 | PA      | $221489.49     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3JQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     415813 | PA      | $394718.78     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3K54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1807754 | PA      | $1750040.31    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3NK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193920 | PA      | $183805.44     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3XW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1541158 | PA      | $1449035.06    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3ZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5504 | PA      | $4999.77       | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H3ZU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11284 | PA      | $10249.50      | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H42Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     437989 | PA      | $435746.65     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4C51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1226772 | PA      | $1198598.63    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4DM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     312262 | PA      | $295975.30     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4E26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     516785 | PA      | $504591.31     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4ED2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     792984 | PA      | $775460.10     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4JV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209973 | PA      | $205120.92     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390430 | PA      | $381463.67     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4KC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123867 | PA      | $119105.82     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H4Y65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374953 | PA      | $349762.83     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5AN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2000087 | PA      | $1899337.69    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5EQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6399 | PA      | $6184.42       | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5FQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2365005 | PA      | $2207085.89    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5G96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1087548 | PA      | $1052859.27    | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5L25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8464 | PA      | $8111.20       | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5MC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3444 | PA      | $3237.72       | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5TQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     618628 | PA      | $604031.75     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5X97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     644256 | PA      | $623706.09     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5XU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289246 | PA      | $274160.15     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5XV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     368492 | PA      | $348571.48     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5YE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1743075 | PA      | $1736198.54    | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H5Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5479 | PA      | $5211.06       | 0.00%             | 2032-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H63G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1044292 | PA      | $1010963.79    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6BQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1419665 | PA      | $1334804.56    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6CT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2058823 | PA      | $1935756.21    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6D63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     592129 | PA      | $591526.99     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6DC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1910791 | PA      | $1783201.09    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6FR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200711 | PA      | $195856.15     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6LE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378034 | PA      | $365971.12     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6M89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6200 | PA      | $5829.57       | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6N88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3604971 | PA      | $3489985.37    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6X38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327861 | PA      | $310791.18     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H6ZR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     315953 | PA      | $297067.27     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H72B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68556 | PA      | $66368.79      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H72D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233701 | PA      | $219727.33     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H72F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1110297 | PA      | $1074868.90    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H72P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     389593 | PA      | $369828.17     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H73M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392227 | PA      | $370576.90     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7DD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     564411 | PA      | $530260.61     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7E52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360235 | PA      | $344645.60     | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7JT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46656 | PA      | $44848.87      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7LJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232016 | PA      | $230826.78     | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7NA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200813 | PA      | $203997.30     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7QS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140201 | PA      | $134852.97     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7S32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2572327 | PA      | $2469822.56    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7T64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     453078 | PA      | $452179.06     | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7UM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     875748 | PA      | $852868.88     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7VB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     499342 | PA      | $487874.32     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7Z42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     428946 | PA      | $415259.05     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7ZA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303640 | PA      | $286655.96     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H7ZR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     998662 | PA      | $944941.14     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8CP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     755571 | PA      | $715980.73     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8CT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1110903 | PA      | $1084691.70    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8CU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2141552 | PA      | $2088403.01    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8LT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236652 | PA      | $227241.62     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8WT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     587602 | PA      | $584593.92     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8YY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     635427 | PA      | $651968.18     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H8ZV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4235658 | PA      | $4213954.24    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9H63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1048552 | PA      | $1013180.54    | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9PK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1635692 | PA      | $1536720.88    | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9Q89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     874081 | PA      | $867041.05     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9RP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1216663 | PA      | $1214239.50    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9RR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1242654 | PA      | $1210299.95    | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9S95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568430 | PA      | $515864.84     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9T29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     443480 | PA      | $435719.51     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9TD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308854 | PA      | $314745.57     | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9TM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     358378 | PA      | $325783.95     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140H9U27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430000 | PA      | $399481.30     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HA2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8161 | PA      | $7391.61       | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56086 | PA      | $55958.33      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21076 | PA      | $21015.37      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77326 | PA      | $77053.51      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331718 | PA      | $322026.50     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     449011 | PA      | $404596.54     | 0.00%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HANK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370962 | PA      | $359387.13     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HAZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189397 | PA      | $188427.62     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217695 | PA      | $214220.64     | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBBW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490362 | PA      | $484221.82     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343699 | PA      | $326262.85     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2947 | PA      | $2847.83       | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBGZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209551 | PA      | $202482.51     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBH68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     467170 | PA      | $451410.43     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBHS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24954 | PA      | $25814.26      | 0.00%             | 2048-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     635724 | PA      | $615438.65     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBJ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6911 | PA      | $6677.44       | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     760733 | PA      | $775540.76     | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     481756 | PA      | $438378.98     | 0.00%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265435 | PA      | $250552.76     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBLZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     394780 | PA      | $358840.83     | 0.00%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HBM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     872525 | PA      | $825862.89     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HD3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     613470 | PA      | $598995.31     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HD5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1815789 | PA      | $1724323.65    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HDFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441513 | PA      | $415121.27     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HDGH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1096211 | PA      | $1059137.52    | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HDPT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5526094 | PA      | $5133883.00    | 0.01%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HDQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301596 | PA      | $306797.09     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HDZP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     825298 | PA      | $783143.99     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HE4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     800458 | PA      | $768561.11     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HE5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     553042 | PA      | $515887.83     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1446286 | PA      | $1358775.84    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEAL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246008 | PA      | $239602.56     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324099 | PA      | $313166.05     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     662667 | PA      | $679657.82     | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62162 | PA      | $61843.87      | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEJU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1124377 | PA      | $1143245.67    | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEMT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     972275 | PA      | $969389.30     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEN40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339163 | PA      | $338487.59     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HENF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251316 | PA      | $249600.69     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     404884 | PA      | $413705.39     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEP63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258508 | PA      | $252408.10     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289661 | PA      | $288800.85     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     415082 | PA      | $424838.70     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     500980 | PA      | $474551.59     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50873 | PA      | $50622.23      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HEZY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461744 | PA      | $469923.71     | 0.00%             | 2048-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HF3J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     446560 | PA      | $433952.64     | 0.00%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HF6T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     882023 | PA      | $828899.72     | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HFCA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     687543 | PA      | $670480.06     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HFFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157146 | PA      | $156832.63     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HFFY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1552629 | PA      | $1531223.11    | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HFSE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8122325 | PA      | $7749905.23    | 0.02%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1672115 | PA      | $1439445.23    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGKK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1323762 | PA      | $1261670.10    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308720 | PA      | $265722.13     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720525 | PA      | $709949.47     | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181386 | PA      | $169200.12     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338287 | PA      | $346801.11     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HGZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     467654 | PA      | $477746.98     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HH4K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2172222 | PA      | $2085661.54    | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HH4V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     891104 | PA      | $885014.38     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HHKL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1091966 | PA      | $1060863.33    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HHLK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317227 | PA      | $316285.45     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJD99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     731851 | PA      | $715464.70     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJDU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     634942 | PA      | $632436.88     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJFD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     323614 | PA      | $316368.07     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJJE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532462 | PA      | $531401.79     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJJL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8408140 | PA      | $8366763.35    | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     823432 | PA      | $819212.70     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207620 | PA      | $188512.00     | 0.00%             | 2048-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HJYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19818 | PA      | $19149.53      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HK3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252171 | PA      | $246302.96     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HK5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320951 | PA      | $319998.25     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179331 | PA      | $175100.17     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKAS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     845784 | PA      | $817252.88     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9561912 | PA      | $8323684.96    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     560176 | PA      | $555539.77     | 0.00%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKV47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     488735 | PA      | $487284.54     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HKZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296055 | PA      | $301817.99     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HL3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29178 | PA      | $29559.45      | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HL3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34102 | PA      | $32951.31      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HL4P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     505691 | PA      | $493759.76     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1477808 | PA      | $1467709.46    | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140355 | PA      | $139635.95     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLVU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     415803 | PA      | $414568.77     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190067 | PA      | $189503.05     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLWA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109013 | PA      | $106174.67     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HLWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     315343 | PA      | $325591.17     | 0.00%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     593501 | PA      | $573480.47     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HM6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     804899 | PA      | $800777.85     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMCP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31560 | PA      | $30495.82      | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMMY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1223783 | PA      | $1217760.25    | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMNV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1639061 | PA      | $1630664.48    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMP24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     730785 | PA      | $720127.41     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMPJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2106433 | PA      | $2096066.95    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMUZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384723 | PA      | $383983.74     | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     623772 | PA      | $621920.48     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HMXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387123 | PA      | $393565.72     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HN4C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13408 | PA      | $13590.47      | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HNFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1253223 | PA      | $1131827.43    | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HNFP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1757298 | PA      | $1597410.21    | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HNU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207195 | PA      | $200187.27     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HNVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264862 | PA      | $254329.79     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     477988 | PA      | $461863.47     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268469 | PA      | $267967.44     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     645912 | PA      | $624123.23     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPCL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307206 | PA      | $302555.03     | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPF77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310079 | PA      | $308490.89     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPFP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57819 | PA      | $57523.22      | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPN78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152142 | PA      | $148552.35     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPNF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208077 | PA      | $207677.82     | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPNY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177097 | PA      | $172976.23     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107447 | PA      | $109480.23     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317063 | PA      | $316476.36     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259486 | PA      | $264973.06     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69563 | PA      | $70641.11      | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419684 | PA      | $428557.76     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     756280 | PA      | $751112.63     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1114619 | PA      | $1112399.04    | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPSC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     573417 | PA      | $570482.00     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPWR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66644 | PA      | $64396.01      | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140HPZY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187404 | PA      | $181066.50     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J52B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     902505 | PA      | $882155.64     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J54Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25146 | PA      | $24444.42      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J56M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     672643 | PA      | $670712.25     | 0.00%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J56V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5594969 | PA      | $5311334.84    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J56W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6617719 | PA      | $6312338.14    | 0.02%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J56X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2262315 | PA      | $2209464.91    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J57C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158538 | PA      | $156413.28     | 0.00%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J57D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54812 | PA      | $53577.20      | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J57G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1040015 | PA      | $1012298.52    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5DM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2101448 | PA      | $2033040.61    | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5E54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2657127 | PA      | $2589541.10    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4325384 | PA      | $4192836.50    | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5G78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13631404 | PA      | $12920204.83   | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5H93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160878 | PA      | $156887.35     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5JJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1083342 | PA      | $1022298.53    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303205 | PA      | $287385.77     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5KQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9979 | PA      | $9990.70       | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5LF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165645 | PA      | $161976.10     | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5LJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     569322 | PA      | $558431.74     | 0.00%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3350 | PA      | $3322.30       | 0.00%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1840412 | PA      | $1834050.60    | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5NU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191192 | PA      | $175602.63     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5NV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254578 | PA      | $245887.61     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5QK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106357 | PA      | $106945.71     | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5SM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103788 | PA      | $100646.48     | 0.00%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5U49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20489 | PA      | $20179.99      | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5U98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209586 | PA      | $206257.99     | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5US6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568420 | PA      | $553271.28     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5V97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3546469 | PA      | $3456262.18    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5XT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1737625 | PA      | $1814556.41    | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444676 | PA      | $437612.39     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177012 | PA      | $172294.43     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J5ZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1281189 | PA      | $1210468.29    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6C21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1585244 | PA      | $1559395.56    | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6DQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266440 | PA      | $261298.14     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6DR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60517 | PA      | $59103.00      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6DV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102445 | PA      | $101198.19     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6EN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2031322 | PA      | $1925341.03    | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6F77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4917862 | PA      | $4786801.78    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6FB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8856171 | PA      | $8326633.83    | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6FC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1660927 | PA      | $1596999.99    | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6GJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1168421 | PA      | $1101730.12    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6GL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5283754 | PA      | $5115220.74    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4451820 | PA      | $4309822.40    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J6GR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4986148 | PA      | $4817946.99    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J73P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7860025 | PA      | $7619156.00    | 0.02%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J73Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7797177 | PA      | $7140998.93    | 0.02%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J74A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89559 | PA      | $88209.45      | 0.00%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J74S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     413480 | PA      | $400291.75     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J74Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175096 | PA      | $172926.46     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J75K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1816739 | PA      | $1770189.90    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J75S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1496558 | PA      | $1463486.93    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J76B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271356 | PA      | $249230.87     | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J76D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1390889 | PA      | $1355510.65    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J77A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2856020 | PA      | $2815270.20    | 0.01%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7L94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1404567 | PA      | $1401357.98    | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7MQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     376292 | PA      | $386769.37     | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7N27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3561455 | PA      | $3572857.68    | 0.01%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7N50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     882078 | PA      | $834629.03     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7NT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     396483 | PA      | $363116.37     | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7Q24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     687546 | PA      | $679893.49     | 0.00%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7QE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2777657 | PA      | $2776188.38    | 0.01%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1607658 | PA      | $1526158.55    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     952969 | PA      | $930762.83     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7RM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1185978 | PA      | $1148149.85    | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7RU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3500474 | PA      | $3315778.75    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7S30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8333531 | PA      | $7943184.99    | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7T39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     933639 | PA      | $903526.91     | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123695 | PA      | $123255.92     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7UN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1799641 | PA      | $1704687.11    | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7V85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1028327 | PA      | $1033788.00    | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7VU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237794 | PA      | $225730.32     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7VX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285135 | PA      | $274245.47     | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7W35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87127 | PA      | $84765.39      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7XG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1154052 | PA      | $1069224.76    | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7XH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4937321 | PA      | $4530993.64    | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7XT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1551005 | PA      | $1515386.49    | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7YU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301686 | PA      | $298086.72     | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J7Z32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144529 | PA      | $139919.13     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J82S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3888095 | PA      | $3814382.84    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J82U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     918153 | PA      | $903519.63     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J83Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2486 | PA      | $2447.60       | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J86T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     488479 | PA      | $470523.17     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8A52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319386 | PA      | $295202.58     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8AM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2858378 | PA      | $2802555.31    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8C27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7290621 | PA      | $6879815.88    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8CA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4561408 | PA      | $4216029.88    | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8CQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     402211 | PA      | $397475.22     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8CT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43550 | PA      | $42598.36      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8DJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5549592 | PA      | $5129390.88    | 0.01%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8DM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2795736 | PA      | $2453751.48    | 0.01%             | 2047-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8DW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268753 | PA      | $264756.65     | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8EV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     635834 | PA      | $593377.78     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8EY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50379 | PA      | $49774.92      | 0.00%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8F32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299670 | PA      | $288225.81     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8FH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3618830 | PA      | $3474623.84    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8G98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     948404 | PA      | $905563.05     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     618791 | PA      | $602452.70     | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7698667 | PA      | $7002897.55    | 0.02%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     255194 | PA      | $240627.95     | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398124 | PA      | $380794.84     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8GY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1135852 | PA      | $1101014.88    | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8HQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1232684 | PA      | $1193366.17    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8JE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     773164 | PA      | $748821.28     | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8JH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     628741 | PA      | $621021.00     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8JN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3188947 | PA      | $3125798.88    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8K93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1143245 | PA      | $1116354.86    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8KV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2525937 | PA      | $2612546.53    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8KW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1152845 | PA      | $1201544.12    | 0.00%             | 2047-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8LN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     452025 | PA      | $426224.38     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8M34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2027144 | PA      | $1980089.72    | 0.01%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8MD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1470019 | PA      | $1440935.60    | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8MG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1437375 | PA      | $1372446.53    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8MJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252674 | PA      | $250635.74     | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8MQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326594 | PA      | $318287.18     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8PW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1682421 | PA      | $1530371.48    | 0.00%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8RJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1473392 | PA      | $1445915.99    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8RQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1844085 | PA      | $1677425.28    | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8SK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2127425 | PA      | $1935158.17    | 0.00%             | 2048-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8ST1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36983 | PA      | $36543.57      | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8SW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185679 | PA      | $183076.07     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8T37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4287819 | PA      | $4186648.06    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8UN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2704562 | PA      | $2502554.03    | 0.01%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8VQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9781824 | PA      | $9041168.86    | 0.02%             | 2044-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2030425 | PA      | $2011716.80    | 0.01%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J8ZC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2034466 | PA      | $1971052.77    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J92G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1461274 | PA      | $1423833.45    | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J93N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     464544 | PA      | $455732.74     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J93T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8457867 | PA      | $8233987.52    | 0.02%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J94U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217816 | PA      | $204862.14     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J95A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126879 | PA      | $124972.44     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J95Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     994597 | PA      | $969104.36     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J96D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2711063 | PA      | $2495920.51    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J96V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1063367 | PA      | $1030359.28    | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9AY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2372795 | PA      | $2252420.23    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9BB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        497 | PA      | $495.62        | 0.00%             | 2027-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9CR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6516050 | PA      | $5834858.97    | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9D32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     796344 | PA      | $760371.77     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9D65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     807443 | PA      | $792558.64     | 0.00%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9E56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360773 | PA      | $340180.89     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9E64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170247 | PA      | $160653.67     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9EM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3681852 | PA      | $3511921.45    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9EY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17827171 | PA      | $16477342.87   | 0.04%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     588384 | PA      | $585488.75     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9G96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     442761 | PA      | $467830.45     | 0.00%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9HV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15177 | PA      | $14871.45      | 0.00%             | 2030-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9KD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     859653 | PA      | $865153.42     | 0.00%             | 2046-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9KU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369420 | PA      | $336033.89     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9KX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     699111 | PA      | $682615.79     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9LV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1044274 | PA      | $1017085.41    | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9MB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2255774 | PA      | $2218809.10    | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9Q53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1993611 | PA      | $1943217.93    | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9QD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2269743 | PA      | $2265221.80    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9RC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35001773 | PA      | $32351527.29   | 0.08%             | 2044-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9RY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1562029 | PA      | $1499854.04    | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9RZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1670895 | PA      | $1633546.22    | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9SE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1812979 | PA      | $1782902.51    | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133891 | PA      | $131738.11     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13337331 | PA      | $12114827.29   | 0.03%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9T92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6738061 | PA      | $6234785.31    | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9UB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7483966 | PA      | $7145903.57    | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9UE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3506655 | PA      | $3398238.65    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9UR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1494408 | PA      | $1545904.17    | 0.00%             | 2048-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     848492 | PA      | $831758.18     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65804 | PA      | $64207.52      | 0.00%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9VG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104752 | PA      | $102205.06     | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9VV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430538 | PA      | $410371.29     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9W56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213065 | PA      | $210987.52     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9WK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1147626 | PA      | $1060730.36    | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9XH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103026 | PA      | $93714.54      | 0.00%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9YJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     663627 | PA      | $660227.35     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9ZA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1370849 | PA      | $1347100.87    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9ZB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2307470 | PA      | $2266135.71    | 0.01%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140J9ZC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     770885 | PA      | $757510.62     | 0.00%             | 2031-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAAZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8991544 | PA      | $8585381.10    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JABV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1043257 | PA      | $1062494.28    | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAD39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15537 | PA      | $14650.27      | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     312762 | PA      | $307509.72     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3803281 | PA      | $3731176.63    | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153261 | PA      | $144624.89     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1204405 | PA      | $1225073.32    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     333204 | PA      | $316184.69     | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6926429 | PA      | $6724335.04    | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JANZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     270476 | PA      | $254308.08     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179214 | PA      | $163017.39     | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15275738 | PA      | $15387093.50   | 0.04%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JAVP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210973 | PA      | $207467.88     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGNP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260829 | PA      | $267393.08     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGNX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     577088 | PA      | $573144.83     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGPQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     182663 | PA      | $180146.67     | 0.00%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGRG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519252 | PA      | $527605.64     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGVQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138281 | PA      | $137572.19     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9977 | PA      | $10098.81      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGWH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2550 | PA      | $2590.33       | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JGZ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212713 | PA      | $217347.63     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JH6H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284562 | PA      | $291481.60     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JH6J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1203428 | PA      | $1195205.15    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHFJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     848927 | PA      | $815098.64     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHHQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137468 | PA      | $140002.83     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHJN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     581299 | PA      | $592017.80     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435265 | PA      | $446219.29     | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     689710 | PA      | $707067.50     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHSF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     754765 | PA      | $729303.71     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     736609 | PA      | $707256.36     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JHY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50991 | PA      | $52760.11      | 0.00%             | 2048-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     614755 | PA      | $598974.96     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJGS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1962583 | PA      | $1916275.76    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     270057 | PA      | $263354.67     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJLL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     373103 | PA      | $371193.35     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1180153 | PA      | $1133125.72    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     499816 | PA      | $487721.15     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173158 | PA      | $168650.17     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343503 | PA      | $334685.70     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JJZ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     535012 | PA      | $522388.58     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JK6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326379 | PA      | $334592.49     | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JK6N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1180134 | PA      | $1205603.25    | 0.00%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKC53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     842720 | PA      | $822836.18     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKNQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150762 | PA      | $146958.79     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257590 | PA      | $249825.61     | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKRL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     831902 | PA      | $831055.44     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275850 | PA      | $275031.18     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKT48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143712 | PA      | $146456.40     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301013 | PA      | $293542.91     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1233425 | PA      | $1228559.20    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307994 | PA      | $313099.63     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118945 | PA      | $120818.72     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     617756 | PA      | $603179.81     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKTY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     839239 | PA      | $833504.57     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKUE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     675044 | PA      | $652272.73     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKVL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     829616 | PA      | $827153.68     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKVS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     991934 | PA      | $1007786.00    | 0.00%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKW77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     954954 | PA      | $977400.17     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JKYD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151533 | PA      | $146421.16     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JL6K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1283802 | PA      | $1277224.30    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313342 | PA      | $306326.07     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     499075 | PA      | $484859.83     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLL28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1748369 | PA      | $1698570.06    | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLL36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2367151 | PA      | $2449521.96    | 0.01%             | 2049-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1281552 | PA      | $1274985.26    | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183439 | PA      | $183024.69     | 0.00%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     672373 | PA      | $667778.41     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JLZ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43721 | PA      | $43591.41      | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JM4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1124304 | PA      | $1056741.16    | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JM4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1992438 | PA      | $2029575.33    | 0.01%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JM4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8796191 | PA      | $8433283.38    | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     946986 | PA      | $915144.94     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMB84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     482084 | PA      | $490870.73     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMCR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321007 | PA      | $326643.27     | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMGJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     483480 | PA      | $490926.47     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     492328 | PA      | $480711.28     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMK84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326792 | PA      | $321961.63     | 0.00%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72792 | PA      | $71722.73      | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMKY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164368 | PA      | $161876.83     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMMB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77856 | PA      | $76411.06      | 0.00%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JMTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387085 | PA      | $393568.47     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JN2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102474 | PA      | $99843.63      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JN3Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1623552 | PA      | $1610476.25    | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JND49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19057 | PA      | $18963.66      | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNE89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1497482 | PA      | $1487249.38    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNFQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559044 | PA      | $506920.58     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309098 | PA      | $308482.71     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNPA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263152 | PA      | $256397.62     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNQH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     715329 | PA      | $711809.69     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JNWG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3038197 | PA      | $2822562.69    | 0.01%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     755833 | PA      | $741964.21     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPD85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356848 | PA      | $355884.74     | 0.00%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPEL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1089507 | PA      | $1107749.11    | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4487497 | PA      | $4071006.18    | 0.01%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPME2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146360 | PA      | $143783.07     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPU52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1982538 | PA      | $1887715.26    | 0.00%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JPXY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153955 | PA      | $139717.82     | 0.00%             | 2049-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173320 | PA      | $172298.78     | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQDH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518219 | PA      | $503406.69     | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQHC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     833467 | PA      | $756111.49     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     954620 | PA      | $849923.22     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JQSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     365226 | PA      | $354719.57     | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JR6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2443033 | PA      | $2322415.48    | 0.01%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRE49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     460363 | PA      | $452733.37     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRFL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     849841 | PA      | $833747.28     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     572512 | PA      | $520235.73     | 0.00%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRQ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422925 | PA      | $415462.12     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRQM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71739 | PA      | $70785.62      | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRRB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332508 | PA      | $326192.64     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JRUM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     484917 | PA      | $450500.67     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JTB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1081358 | PA      | $1016376.33    | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     415818 | PA      | $413258.09     | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     433570 | PA      | $420466.55     | 0.00%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUD84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     902044 | PA      | $885373.47     | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360030 | PA      | $348855.36     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     779560 | PA      | $756497.29     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1248190 | PA      | $1240496.70    | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUNV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     542702 | PA      | $533260.13     | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUPL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257762 | PA      | $257065.85     | 0.00%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JUQH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     821680 | PA      | $800589.01     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JV6Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1674891 | PA      | $1702933.92    | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVC91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430182 | PA      | $427529.74     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3388172 | PA      | $3086575.56    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVXD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     539665 | PA      | $531216.52     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345970 | PA      | $339809.29     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JVZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260364 | PA      | $255326.90     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154788 | PA      | $150218.16     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWB25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4381655 | PA      | $3981563.60    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWC57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     414581 | PA      | $377218.02     | 0.00%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205620 | PA      | $201796.17     | 0.00%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWFJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264973 | PA      | $253708.77     | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240377 | PA      | $234068.42     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1128653 | PA      | $1076185.26    | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1090893 | PA      | $1058700.31    | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JWV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229920 | PA      | $207167.50     | 0.00%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1073845 | PA      | $980476.89     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     564271 | PA      | $502325.74     | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1026281 | PA      | $968871.23     | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     408375 | PA      | $396367.99     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JX5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     628368 | PA      | $607617.52     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXBU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     528382 | PA      | $515157.87     | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286946 | PA      | $290197.33     | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317683 | PA      | $322002.24     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXCZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260786 | PA      | $253297.27     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     644097 | PA      | $631107.35     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1862967 | PA      | $1687957.12    | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXGP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345735 | PA      | $336919.27     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXH43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4830066 | PA      | $4299826.70    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359898 | PA      | $342784.32     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXKU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1699332 | PA      | $1652830.06    | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282494 | PA      | $274307.73     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     561418 | PA      | $538053.77     | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXSQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     453649 | PA      | $440104.21     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JXUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1419839 | PA      | $1288061.97    | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JY7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532856 | PA      | $522527.92     | 0.00%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     707188 | PA      | $702829.16     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYGX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29373 | PA      | $27617.50      | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     756590 | PA      | $714586.53     | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     389828 | PA      | $376194.75     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140JYXC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1148725 | PA      | $1081386.50    | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K06S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4064012 | PA      | $3686825.17    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0HK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198953 | PA      | $195973.30     | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0P77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406586 | PA      | $398669.44     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0QC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169938 | PA      | $166982.25     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0T81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269562 | PA      | $263205.35     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0VJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332529 | PA      | $322866.79     | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K0VT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     491839 | PA      | $483109.50     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K14S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2235080 | PA      | $2194549.89    | 0.01%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K15M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1668870 | PA      | $1585028.93    | 0.00%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1C87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3609296 | PA      | $3274311.94    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1EN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     649850 | PA      | $622695.16     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1H33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360528 | PA      | $349254.05     | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434297 | PA      | $414169.50     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369076 | PA      | $351045.81     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1JP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     404432 | PA      | $385123.17     | 0.00%             | 2034-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1TM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     656074 | PA      | $623027.46     | 0.00%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1V37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1000938 | PA      | $906596.80     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1WE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385634 | PA      | $358973.88     | 0.00%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1XX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154254 | PA      | $157129.39     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1YJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     737033 | PA      | $703596.81     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K1YN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423861 | PA      | $404106.75     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K22V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240498 | PA      | $243489.86     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K22X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     730606 | PA      | $739568.06     | 0.00%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K22Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187648 | PA      | $189558.29     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K24E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490412 | PA      | $476809.55     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K24K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     636693 | PA      | $626405.15     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K26D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     405368 | PA      | $387155.96     | 0.00%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K26E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319478 | PA      | $304255.71     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K26F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     622385 | PA      | $593997.62     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2F74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     732825 | PA      | $652376.24     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2FD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2447638 | PA      | $2216940.96    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2PR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1334805 | PA      | $1240851.50    | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2VG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1318222 | PA      | $1257976.66    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2VL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     282232 | PA      | $268764.38     | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2VM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267431 | PA      | $255347.48     | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2VU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     411065 | PA      | $403186.06     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K2XP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1677740 | PA      | $1574152.77    | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K33C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     628940 | PA      | $566700.81     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K34D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1252651 | PA      | $1045362.24    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3BP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93794 | PA      | $84516.45      | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3CB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     708058 | PA      | $714705.32     | 0.00%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3FN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     680119 | PA      | $619883.97     | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3K50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217858 | PA      | $210158.71     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3R61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     477917 | PA      | $469057.26     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3SD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     732593 | PA      | $720660.79     | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     481089 | PA      | $458006.85     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3U67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523516 | PA      | $493720.80     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3U75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430911 | PA      | $430052.13     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3VP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     851926 | PA      | $796590.63     | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3XJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     323116 | PA      | $305549.79     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K3XK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1145046 | PA      | $1036254.32    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K4TZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13247964 | PA      | $11983535.37   | 0.03%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K4VR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300669 | PA      | $287982.86     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K4VV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210720 | PA      | $200882.24     | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K4VX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720639 | PA      | $707530.29     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5CC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     778059 | PA      | $734535.01     | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5LB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2131351 | PA      | $2113665.99    | 0.01%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5LF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8993 | PA      | $9026.03       | 0.00%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5LL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22391 | PA      | $21560.03      | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5UL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213805 | PA      | $208316.96     | 0.00%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5VK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422790 | PA      | $399750.04     | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5VL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     754308 | PA      | $712112.99     | 0.00%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5W78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350647 | PA      | $335282.61     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5W86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1147149 | PA      | $1097308.91    | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5X93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     575308 | PA      | $558302.01     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5XW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78453 | PA      | $71058.64      | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5XY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     680020 | PA      | $642961.97     | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5XZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     892320 | PA      | $842403.90     | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5ZJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1325117 | PA      | $1209901.45    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K5ZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2166796 | PA      | $1971521.28    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K6BQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     851722 | PA      | $850025.25     | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K74M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     685753 | PA      | $681526.76     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K75Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1223364 | PA      | $1143808.16    | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7AZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     914400 | PA      | $886713.02     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7EL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     978097 | PA      | $937743.70     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7EM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359225 | PA      | $341253.03     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7EN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304394 | PA      | $296045.47     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K7W33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     667943 | PA      | $654271.08     | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K84L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     955055 | PA      | $794240.67     | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8B26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     342432 | PA      | $310003.31     | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8B42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     491755 | PA      | $462393.74     | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8BP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1763252 | PA      | $1682324.75    | 0.00%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8DM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1295345 | PA      | $1171071.90    | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     463104 | PA      | $442515.31     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8K83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1691586 | PA      | $1544506.45    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8K91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1923263 | PA      | $1753069.45    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8L90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     841168 | PA      | $790089.50     | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8LA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1651611 | PA      | $1502765.79    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8LJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     604246 | PA      | $569367.51     | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8LQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     560068 | PA      | $546833.55     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8LS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     946481 | PA      | $922185.96     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8NK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75165 | PA      | $70326.84      | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8TQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2062430 | PA      | $1969645.18    | 0.00%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8V40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     593524 | PA      | $562066.77     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K8W64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246563 | PA      | $241515.95     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9BJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     384752 | PA      | $382382.88     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9NY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6944726 | PA      | $6301760.20    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9RX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     966989 | PA      | $875847.71     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9YX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1366356 | PA      | $1315576.60    | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140K9ZL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2166693 | PA      | $1962499.24    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KA3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     329216 | PA      | $305739.66     | 0.00%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KA6T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469589 | PA      | $443941.21     | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KAJZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     547528 | PA      | $527180.02     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KAR73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     800987 | PA      | $796027.19     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KB2U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     346341 | PA      | $327423.95     | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KB6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     703334 | PA      | $681651.81     | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KB6N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1297001 | PA      | $1256990.41    | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     710935 | PA      | $670210.28     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374049 | PA      | $351520.59     | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     931610 | PA      | $881918.11     | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     483422 | PA      | $453104.33     | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1186448 | PA      | $1123564.52    | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBTT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274056 | PA      | $266318.34     | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBV76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3015749 | PA      | $2597985.41    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBXC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2155554 | PA      | $1951420.66    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBY32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1491894 | PA      | $1351761.98    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     677910 | PA      | $632928.17     | 0.00%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KBZA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4245841 | PA      | $3817450.75    | 0.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KC3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     496334 | PA      | $480988.54     | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KC3V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     604255 | PA      | $591873.85     | 0.00%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KCAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     582258 | PA      | $563923.37     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KCBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351427 | PA      | $344212.06     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KCP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     445669 | PA      | $441977.69     | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KCQD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     534007 | PA      | $509393.33     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KCWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     767232 | PA      | $695401.82     | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KD2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     986589 | PA      | $922430.95     | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KD3D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     590619 | PA      | $564274.82     | 0.00%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KDAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1008394 | PA      | $882154.18     | 0.00%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KDQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7623490 | PA      | $6566443.40    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     560273 | PA      | $542951.44     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEGW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     498710 | PA      | $475054.85     | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1355089 | PA      | $1263922.13    | 0.00%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEMJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2147320 | PA      | $2045773.69    | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     524334 | PA      | $476896.48     | 0.00%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KEWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     498284 | PA      | $475038.11     | 0.00%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KFK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   81370718 | PA      | $69962021.32   | 0.18%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KFP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     533227 | PA      | $497522.03     | 0.00%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KG2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1110578 | PA      | $965435.58     | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KG5Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     581216 | PA      | $563246.37     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KG7E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9863 | PA      | $8858.36       | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KGBD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260888 | PA      | $252840.04     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KGD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1983060 | PA      | $1802743.53    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KGRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8686780 | PA      | $8281415.36    | 0.02%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KGWL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3240883 | PA      | $2936681.45    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KH2G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     702027 | PA      | $669514.60     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KH3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1115410 | PA      | $1040711.03    | 0.00%             | 2035-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHBB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     494259 | PA      | $471264.55     | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHJN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3584339 | PA      | $3197785.09    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHLD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1922553 | PA      | $1830647.22    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHP21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     851221 | PA      | $810855.81     | 0.00%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KHP54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233088 | PA      | $225853.68     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     776208 | PA      | $701499.26     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236144 | PA      | $213023.07     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170287 | PA      | $154080.79     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK7D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231061 | PA      | $220359.83     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     550139 | PA      | $480757.11     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KK7J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1009576 | PA      | $880233.34     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339266 | PA      | $307503.10     | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1705023 | PA      | $1487396.23    | 0.00%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     992315 | PA      | $945290.88     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKP73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     655897 | PA      | $593474.99     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     680298 | PA      | $647254.66     | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KKWS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1145615 | PA      | $1090850.10    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KL4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3861908 | PA      | $3361093.89    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KL5A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1734451 | PA      | $1557839.95    | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1108686 | PA      | $1035285.06    | 0.00%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     670111 | PA      | $626022.08     | 0.00%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112425 | PA      | $97737.72      | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1890770 | PA      | $1762881.06    | 0.00%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLHV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     719826 | PA      | $685447.98     | 0.00%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLK84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     685767 | PA      | $654007.15     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8320778 | PA      | $6849252.41    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLQH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3501515 | PA      | $3048521.51    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1475881 | PA      | $1290779.93    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLVG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1512010 | PA      | $1321910.03    | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLWD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258765 | PA      | $250782.80     | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369441 | PA      | $332879.17     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2296611 | PA      | $2189368.98    | 0.01%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1789733 | PA      | $1565269.08    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2834547 | PA      | $2467839.28    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLZQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3824098 | PA      | $3329371.22    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KLZS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1755650 | PA      | $1590389.62    | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KM4D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3460966 | PA      | $3227039.79    | 0.01%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KM6X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     452983 | PA      | $411373.74     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KMC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1121322 | PA      | $976256.07     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KMR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1693951 | PA      | $1616149.53    | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KMVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4525040 | PA      | $3779388.88    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KMXD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1482598 | PA      | $1296196.08    | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KN3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294752 | PA      | $280700.16     | 0.00%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNAW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3582638 | PA      | $3054339.91    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNEJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3239944 | PA      | $2927104.43    | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     704472 | PA      | $666755.89     | 0.00%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     787756 | PA      | $745070.94     | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     729520 | PA      | $689282.91     | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNGW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     754330 | PA      | $710374.53     | 0.00%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNGY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     952939 | PA      | $900003.22     | 0.00%             | 2050-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNJA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304712 | PA      | $290286.98     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1951811 | PA      | $1834484.37    | 0.00%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNKN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1572691 | PA      | $1294426.59    | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNLB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4542670 | PA      | $3782937.30    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4870258 | PA      | $4237048.35    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNU48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     864580 | PA      | $720586.60     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1153612 | PA      | $1077768.89    | 0.00%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1310684 | PA      | $1093306.93    | 0.00%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNWY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2266959 | PA      | $1982642.30    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KNZV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     453959 | PA      | $432294.21     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KP3U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4892046 | PA      | $4204633.13    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2987901 | PA      | $2787186.38    | 0.01%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     939815 | PA      | $816407.94     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPDJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9818722 | PA      | $8513382.70    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPDM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     810623 | PA      | $706518.63     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPJR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8538980 | PA      | $7104144.92    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     417336 | PA      | $397578.73     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPNB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1346523 | PA      | $1247314.71    | 0.00%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPQD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5096046 | PA      | $4252751.29    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPQG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5320681 | PA      | $4627397.80    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7346989 | PA      | $6365700.60    | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPUJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1168643 | PA      | $973195.03     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     834717 | PA      | $755017.53     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     945708 | PA      | $790687.98     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPWD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1140802 | PA      | $953845.92     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KPZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     611665 | PA      | $569760.82     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQ2D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559903 | PA      | $548407.58     | 0.00%             | 2035-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQG54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1228944 | PA      | $1016455.79    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5158415 | PA      | $4471037.29    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1954988 | PA      | $1691326.93    | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQMG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4959446 | PA      | $4327657.30    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQQN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1122443 | PA      | $1061843.62    | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQU33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2103331 | PA      | $1875763.60    | 0.00%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQUB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     578565 | PA      | $505824.08     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KQWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9667511 | PA      | $7950239.62    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KR2Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10100732 | PA      | $8391537.16    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KR2Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9054326 | PA      | $7827603.58    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRCZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2977302 | PA      | $2560788.35    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRLJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5887891 | PA      | $4915613.12    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRNB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2157395 | PA      | $2013833.40    | 0.01%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRQ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21101765 | PA      | $18317823.80   | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4464272 | PA      | $3981265.63    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     811171 | PA      | $739009.48     | 0.00%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRT66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     323050 | PA      | $268909.46     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12449352 | PA      | $11607902.36   | 0.03%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KRZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3253892 | PA      | $2901841.27    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KS7L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     979021 | PA      | $815285.95     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSAT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3379817 | PA      | $3057269.48    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSCB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5641809 | PA      | $4904616.59    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSG50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14067294 | PA      | $12161107.65   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSLP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33349769 | PA      | $27349948.20   | 0.07%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSQU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3729444 | PA      | $3365191.12    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KSZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5121213 | PA      | $4192726.58    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KT7L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     722513 | PA      | $687164.34     | 0.00%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTCT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412267 | PA      | $384382.22     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTEG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12769559 | PA      | $10888406.50   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1628644 | PA      | $1407987.34    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4983585 | PA      | $4165131.71    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTPU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10873068 | PA      | $10137315.37   | 0.03%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTQE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4291267 | PA      | $3730544.37    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTS30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4816631 | PA      | $3978499.25    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KTTX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5279617 | PA      | $4338995.70    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     504782 | PA      | $455564.72     | 0.00%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUDH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2586888 | PA      | $2107594.91    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUK50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3597384 | PA      | $3274312.78    | 0.01%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1418847 | PA      | $1234502.95    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUP63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5805828 | PA      | $4823395.23    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KUVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1475848 | PA      | $1214203.65    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KV3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     953378 | PA      | $776738.21     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KV4C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3374345 | PA      | $2808831.44    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3997735 | PA      | $3336189.29    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVC57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2684356 | PA      | $2229187.02    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVCC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1060013 | PA      | $886567.63     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVCG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1882136 | PA      | $1573617.04    | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     639112 | PA      | $597188.51     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVF47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     843341 | PA      | $786418.11     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2037436 | PA      | $1897942.37    | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7159565 | PA      | $6155747.97    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVSY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6458086 | PA      | $5365281.17    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVWW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     905654 | PA      | $807562.53     | 0.00%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVY46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1507734 | PA      | $1405319.86    | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVZF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     397719 | PA      | $377943.06     | 0.00%             | 2036-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KVZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31742786 | PA      | $26098543.22   | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXBV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6566261 | PA      | $5708646.09    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXCC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2995105 | PA      | $2724047.39    | 0.01%             | 2036-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXM78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     761637 | PA      | $692297.88     | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     935734 | PA      | $817220.23     | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1107506 | PA      | $964247.29     | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXSG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     607820 | PA      | $508153.48     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3531780 | PA      | $2938651.16    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXTX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1103822 | PA      | $1049832.97    | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1060664 | PA      | $961776.69     | 0.00%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KXYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1208099 | PA      | $1095126.17    | 0.00%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KY2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6911871 | PA      | $5738585.10    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1211770 | PA      | $995033.96     | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KYG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9698311 | PA      | $9036876.05    | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140KYXJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14782196 | PA      | $12705055.09   | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L0Q83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25060270 | PA      | $23220999.69   | 0.06%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L17G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     728911 | PA      | $679129.75     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L1CB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2074033 | PA      | $1800504.31    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L1LT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     745200 | PA      | $695210.18     | 0.00%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L1UQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1084854 | PA      | $883535.22     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L23B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6299329 | PA      | $5177034.80    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L2L27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1336937 | PA      | $1159737.00    | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L3CM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2369355 | PA      | $1959751.85    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L3CN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2611609 | PA      | $2157168.27    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L3ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     574433 | PA      | $519654.81     | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L4M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     869646 | PA      | $755726.45     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L4M71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     771234 | PA      | $696431.68     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L4M97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1000894 | PA      | $830988.40     | 0.00%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L4Q36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1118278 | PA      | $871630.16     | 0.00%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L5SF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18179866 | PA      | $15713364.05   | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L5XT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2058870 | PA      | $1915575.84    | 0.00%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L63P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497640 | PA      | $431527.37     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L64H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1681229 | PA      | $1457874.89    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L6BK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233917 | PA      | $194795.33     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L6KP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10172245 | PA      | $8356953.24    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L6P99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8525913 | PA      | $7036389.75    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L6XC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3155687 | PA      | $2722790.20    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L7HD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1208413 | PA      | $1083383.89    | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L7RW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4693771 | PA      | $4352170.23    | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L8C99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     998738 | PA      | $928399.96     | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140L8DY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1002250 | PA      | $931201.98     | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LNT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5352533 | PA      | $4639782.36    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LP6T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2662738 | PA      | $2404477.80    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LPD66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     774449 | PA      | $701033.63     | 0.00%             | 2036-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LPJ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6259370 | PA      | $5648193.58    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4293776 | PA      | $3563395.38    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     902380 | PA      | $752125.93     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2860550 | PA      | $2384740.77    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2585490 | PA      | $2153731.72    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4880840 | PA      | $4059436.73    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQBY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6760655 | PA      | $5843422.35    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQEM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17455073 | PA      | $16160528.96   | 0.04%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LQVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2162959 | PA      | $1775340.07    | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LREH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2971491 | PA      | $2759204.57    | 0.01%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LREL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429971 | PA      | $400137.21     | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LRJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4873037 | PA      | $3994648.20    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LS3S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     710588 | PA      | $642570.25     | 0.00%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LSCT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1110336 | PA      | $1033429.71    | 0.00%             | 2051-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LSXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1185598 | PA      | $1022223.84    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1082161 | PA      | $939397.66     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTG57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2134795 | PA      | $1854781.03    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1882983 | PA      | $1633989.06    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5925799 | PA      | $5135959.38    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTHA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3798917 | PA      | $3279981.66    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4097768 | PA      | $3683610.36    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1147549 | PA      | $1067925.22    | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1221798 | PA      | $1135328.87    | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTSC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     541506 | PA      | $514443.82     | 0.00%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LTSE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459390 | PA      | $444198.02     | 0.00%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LUAE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1188098 | PA      | $1109069.46    | 0.00%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LUGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     780749 | PA      | $725434.67     | 0.00%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LUGU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     782267 | PA      | $726904.37     | 0.00%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LUY70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195288 | PA      | $160169.30     | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LV2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2829785 | PA      | $2542030.42    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LVN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     832981 | PA      | $725355.76     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LVR76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     676453 | PA      | $554519.08     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LVXL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5142201 | PA      | $4620892.56    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LWGU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1510080 | PA      | $1366263.56    | 0.00%             | 2036-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LWKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     785799 | PA      | $713557.72     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LWKC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3295525 | PA      | $2862242.62    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXDN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18979242 | PA      | $17541250.58   | 0.04%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     351336 | PA      | $338133.68     | 0.00%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXGS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4013409 | PA      | $3948073.51    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXNA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8959109 | PA      | $7635683.08    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXW43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     690637 | PA      | $649683.30     | 0.00%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXX34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3098387 | PA      | $2691982.28    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LXYB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2948376 | PA      | $2558501.07    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140LY6L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2472251 | PA      | $2042719.43    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M0BG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7480801 | PA      | $6456600.25    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M12Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6159790 | PA      | $5565723.05    | 0.01%             | 2036-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1GR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1597539 | PA      | $1309016.93    | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1P57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1187571 | PA      | $1103258.55    | 0.00%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1R48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1108117 | PA      | $991872.92     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1WS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2008762 | PA      | $1660458.00    | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M1XA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     768002 | PA      | $719266.23     | 0.00%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M2E24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13745567 | PA      | $11388251.87   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M2MV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5337843 | PA      | $4942510.43    | 0.01%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M2RB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8893363 | PA      | $8235700.14    | 0.02%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M2TJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45712171 | PA      | $37408509.07   | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M32Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10482508 | PA      | $8539938.50    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M3EK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5552791 | PA      | $4968568.43    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M3N89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     762109 | PA      | $708526.88     | 0.00%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M3PZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2217447 | PA      | $1921200.18    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M3QC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1679580 | PA      | $1458755.63    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M4BL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13764592 | PA      | $12810737.81   | 0.03%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M5AJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1828605 | PA      | $1648846.65    | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M5GB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     947272 | PA      | $775933.36     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M5V28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1695870 | PA      | $1783667.39    | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M6QA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4588100 | PA      | $4636206.68    | 0.01%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M7B75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13868424 | PA      | $14312555.59   | 0.04%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M7P54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10502033 | PA      | $9127717.47    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M7R52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369914 | PA      | $306346.06     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M7R60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5335804 | PA      | $4413319.62    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M83L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1669390 | PA      | $1429186.59    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M8A74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3382281 | PA      | $2895614.93    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M8QN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6886403 | PA      | $6378861.12    | 0.02%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M93D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193462 | PA      | $166794.95     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M9BY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4154929 | PA      | $3407432.68    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140M9YR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1934662 | PA      | $1591267.44    | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MA2A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5930189 | PA      | $5480878.89    | 0.01%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MACN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7625099 | PA      | $6525584.76    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MAD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4023423 | PA      | $3292564.39    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MAD84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5204298 | PA      | $4452242.48    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MAVR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12401106 | PA      | $11499927.45   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MAZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7407193 | PA      | $7143398.31    | 0.02%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MCA75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   55354467 | PA      | $45311134.80   | 0.11%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MCAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   93049365 | PA      | $76146854.64   | 0.19%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MEPS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1463643 | PA      | $1266566.44    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MESL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4337019 | PA      | $4481025.10    | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MFK77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1609707 | PA      | $1325888.89    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MFSZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     975551 | PA      | $834879.32     | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MGLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58336576 | PA      | $47752179.38   | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MHSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26624623 | PA      | $22785211.56   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MHT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7978507 | PA      | $6827964.08    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MJ5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26510572 | PA      | $22687607.17   | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MKGB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5400684 | PA      | $5171113.66    | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MLQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2201920 | PA      | $1886990.34    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MM4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11374594 | PA      | $10888007.57   | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MM5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11159558 | PA      | $10974432.89   | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MMT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9173712 | PA      | $7850892.60    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MNF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6789865 | PA      | $6688044.05    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MNP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5497428 | PA      | $5097934.18    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MQB65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3813290 | PA      | $3662796.82    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MRBL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4727797 | PA      | $4744215.88    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MRJZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1932943 | PA      | $1902403.16    | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MRR82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     825360 | PA      | $763353.56     | 0.00%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MRR90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1946717 | PA      | $1799928.21    | 0.00%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MRYN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31131809 | PA      | $30672356.55   | 0.08%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MSQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1022845 | PA      | $1013486.87    | 0.00%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MSQQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4412843 | PA      | $4372576.24    | 0.01%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MSU52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12237725 | PA      | $12296779.25   | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MTQB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7016337 | PA      | $7123058.02    | 0.02%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MUHR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6848917 | PA      | $6879023.00    | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5893743 | PA      | $5919689.44    | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5710376 | PA      | $5623859.89    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVS25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5017680 | PA      | $4791412.35    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVUM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3352813 | PA      | $3318101.20    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVUP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     850477 | PA      | $872709.34     | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVUT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     715554 | PA      | $723936.88     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MVUW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1041811 | PA      | $1063874.65    | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MWXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35523654 | PA      | $35650258.35   | 0.09%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MWYH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1987090 | PA      | $2024289.55    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MXKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4671152 | PA      | $4733055.23    | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MXMV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239080 | PA      | $233107.52     | 0.00%             | 2037-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MXQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     974575 | PA      | $965689.51     | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MY2Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     817390 | PA      | $809911.56     | 0.00%             | 2037-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MYAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     973697 | PA      | $991934.61     | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140MYWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1811990 | PA      | $1841783.81    | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N16T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21339939 | PA      | $20982629.08   | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N16U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3036831 | PA      | $3049373.98    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N1AE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8168945 | PA      | $8033431.20    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N25U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2629589 | PA      | $2697843.24    | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N25V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5274396 | PA      | $5401365.84    | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N25W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3537768 | PA      | $3605184.63    | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N2BG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     926120 | PA      | $927670.73     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N42J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10840186 | PA      | $11149153.53   | 0.03%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N4DG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1387403 | PA      | $1401862.58    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N4UL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2989617 | PA      | $3064555.85    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N6Q62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4389675 | PA      | $4493562.99    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N7QA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3486138 | PA      | $3543785.70    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N7Z45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2636814 | PA      | $2704476.04    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N8TM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2397567 | PA      | $2463071.98    | 0.01%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N8VF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6182328 | PA      | $6296095.88    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N8VH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7944483 | PA      | $8088978.67    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N8VN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18600156 | PA      | $18917473.77   | 0.05%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140N9UD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12679531 | PA      | $13040923.63   | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NA2R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2689018 | PA      | $2739158.48    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NA2S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6725236 | PA      | $6870142.47    | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NA3D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2424834 | PA      | $2497725.74    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NA3E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5469065 | PA      | $5613153.11    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NA3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5548032 | PA      | $5693448.36    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NA3G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4468410 | PA      | $4584605.10    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NAJL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3625309 | PA      | $3726574.86    | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NASV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10530607 | PA      | $10830751.21   | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NKFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20025343 | PA      | $20312004.68   | 0.05%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140NQDM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9386945 | PA      | $9621643.80    | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q72C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49056 | PA      | $46125.21      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q72X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     534679 | PA      | $527872.41     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q73S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     948593 | PA      | $918324.67     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q74Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     549132 | PA      | $516307.71     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q75N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2754649 | PA      | $2606469.69    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q75R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4297442 | PA      | $4057061.50    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7BW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11421 | PA      | $10920.21      | 0.00%             | 2032-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7DP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1416619 | PA      | $1331915.05    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7EF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1573711 | PA      | $1523495.99    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7GX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150415 | PA      | $146795.93     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7HP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3164481 | PA      | $3063545.15    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7HS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1251652 | PA      | $1176864.44    | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7JK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38692 | PA      | $37457.79      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7L47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2255219 | PA      | $2247218.74    | 0.01%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7L70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     334716 | PA      | $340303.43     | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7LA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4726453 | PA      | $4600493.74    | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7NJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1533612 | PA      | $1484675.99    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7NZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1151643 | PA      | $1082783.01    | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7PG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     511632 | PA      | $493408.55     | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259320 | PA      | $243814.52     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7RP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1049771 | PA      | $1016273.65    | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7RS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3806663 | PA      | $3797967.07    | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7TF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1168437 | PA      | $1131153.59    | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7TU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337440 | PA      | $342772.64     | 0.00%             | 2047-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7UL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199106 | PA      | $191880.77     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7UZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8658 | PA      | $8654.64       | 0.00%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335964 | PA      | $334772.74     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7X28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2062233 | PA      | $1996429.01    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7X51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2631901 | PA      | $2568242.24    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7XS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1478013 | PA      | $1411248.37    | 0.00%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q7XT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213934 | PA      | $203080.93     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q82U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1183444 | PA      | $1111837.78    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q83A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164129 | PA      | $159656.07     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q85X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166804 | PA      | $157283.10     | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q85Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1048950 | PA      | $998377.72     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q86B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48725 | PA      | $45812.48      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q86N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     565940 | PA      | $564315.55     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8BV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1146427 | PA      | $1118098.60    | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8CV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85511 | PA      | $85207.66      | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8D77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     765449 | PA      | $762733.82     | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     427304 | PA      | $416435.47     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8DV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2597624 | PA      | $2514693.75    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8E50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79328 | PA      | $74585.86      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8E84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303397 | PA      | $288005.52     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8FN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246917 | PA      | $232153.01     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8G58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     662793 | PA      | $645129.78     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8GQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     765308 | PA      | $755590.13     | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8H65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490053 | PA      | $460760.04     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8HK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188596 | PA      | $177763.52     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8HL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     656748 | PA      | $617490.27     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148537 | PA      | $139655.81     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172177 | PA      | $171565.94     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11953822 | PA      | $11239066.44   | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5186 | PA      | $4876.58       | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1643664 | PA      | $1605917.23    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215844 | PA      | $210623.73     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8KK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     344635 | PA      | $335450.52     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8LY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1027099 | PA      | $974993.51     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8MU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391123 | PA      | $385610.34     | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8QG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5762724 | PA      | $5429761.08    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8V28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1680289 | PA      | $1579063.11    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8VZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1662500 | PA      | $1577584.15    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3806495 | PA      | $3787009.99    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8W35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2040290 | PA      | $2029846.20    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8WC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4691916 | PA      | $4564043.29    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8WW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2368950 | PA      | $2356814.97    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q8Y33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455480 | PA      | $448856.34     | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q95B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192593 | PA      | $191606.24     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q95N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5560508 | PA      | $5653604.45    | 0.01%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q95P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12600 | PA      | $12800.94      | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q97M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348856 | PA      | $328003.40     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9AY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     604213 | PA      | $595482.49     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9CC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13442 | PA      | $12175.50      | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9DC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74449 | PA      | $74155.78      | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9DP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     910198 | PA      | $905538.82     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12614 | PA      | $12549.60      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9H89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     784138 | PA      | $780120.18     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9JA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171214 | PA      | $170336.45     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9JK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1317941 | PA      | $1341286.95    | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9N33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26020 | PA      | $25887.23      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9NZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2641104 | PA      | $2627581.36    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9SE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3885 | PA      | $3754.01       | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9T37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25184 | PA      | $25055.09      | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9T45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1260765 | PA      | $1254306.99    | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9T78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1441396 | PA      | $1464250.35    | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9VM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4583 | PA      | $4559.32       | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     700091 | PA      | $676478.17     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13812111 | PA      | $13261714.36   | 0.03%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9XM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304324 | PA      | $302765.21     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Q9XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1742000 | PA      | $1733074.16    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QA2C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11220306 | PA      | $10538970.53   | 0.03%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QA2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4522395 | PA      | $4393134.50    | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QA7F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     994367 | PA      | $975319.41     | 0.00%             | 2034-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1235771 | PA      | $1153254.67    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAB25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2840129 | PA      | $2885140.93    | 0.01%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QACR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3669309 | PA      | $3651252.53    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QADK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3576390 | PA      | $3558078.68    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QADS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49916 | PA      | $50887.28      | 0.00%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     941852 | PA      | $921913.01     | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAFU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1188329 | PA      | $1170160.36    | 0.00%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAH29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56896 | PA      | $54977.07      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1641028 | PA      | $1533950.78    | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     215815 | PA      | $214709.28     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAJQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2692386 | PA      | $2735074.90    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     444467 | PA      | $450044.92     | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     550021 | PA      | $547203.01     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAME7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350486 | PA      | $348690.12     | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QANN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87501 | PA      | $87052.25      | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QANZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1494344 | PA      | $1519363.04    | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1518921 | PA      | $1471785.54    | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QARE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4804472 | PA      | $4659885.26    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAS84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6464366 | PA      | $6563727.45    | 0.02%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QASP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176263 | PA      | $175176.08     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAT83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261559 | PA      | $255279.49     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAUH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416003 | PA      | $415086.55     | 0.00%             | 2034-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5459025 | PA      | $5233800.02    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1521458 | PA      | $1412950.14    | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAW97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     701970 | PA      | $661742.98     | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAWK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6858995 | PA      | $6974077.19    | 0.02%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAXE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9179718 | PA      | $8894851.07    | 0.02%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAXL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3721745 | PA      | $3791114.66    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5714434 | PA      | $5551102.45    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1032116 | PA      | $1049507.43    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAY46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1610810 | PA      | $1584807.80    | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     333615 | PA      | $332812.15     | 0.00%             | 2034-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14961263 | PA      | $14084227.39   | 0.04%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QAZD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2375464 | PA      | $2334789.83    | 0.01%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QB2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1194677 | PA      | $1187310.75    | 0.00%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QB4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296752 | PA      | $268346.91     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QB5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     588335 | PA      | $572781.80     | 0.00%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBBH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2642395 | PA      | $2560395.99    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBC63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1760279 | PA      | $1789761.85    | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBCF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6019041 | PA      | $5837901.90    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBG51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1477788 | PA      | $1372393.77    | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5327169 | PA      | $4671305.82    | 0.01%             | 2049-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBH68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4029598 | PA      | $4104705.44    | 0.01%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6791261 | PA      | $6616940.57    | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBHU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1393928 | PA      | $1385344.02    | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2420608 | PA      | $2273620.60    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBKN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1895039 | PA      | $1841302.94    | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     535482 | PA      | $519648.62     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBNC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37028 | PA      | $37602.02      | 0.00%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBPJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30207 | PA      | $28242.06      | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30297 | PA      | $30110.03      | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251785 | PA      | $251014.09     | 0.00%             | 2034-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBS74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2336814 | PA      | $2116563.06    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBSK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1518638 | PA      | $1373273.53    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBSY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     834594 | PA      | $754706.70     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2335462 | PA      | $2079077.14    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     996082 | PA      | $989940.21     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2658631 | PA      | $2580807.14    | 0.01%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1105927 | PA      | $1073634.46    | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3588876 | PA      | $3259918.97    | 0.01%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QBZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17697237 | PA      | $17268983.98   | 0.04%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QC2B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3395630 | PA      | $3234413.95    | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QC6X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1160662 | PA      | $1149363.90    | 0.00%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QC7A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2211872 | PA      | $2198232.39    | 0.01%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63769 | PA      | $60967.92      | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCGQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1362382 | PA      | $1302457.32    | 0.00%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6518812 | PA      | $5874051.79    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     934654 | PA      | $845188.12     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4358299 | PA      | $3927006.19    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     694122 | PA      | $681009.32     | 0.00%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     985239 | PA      | $1001701.76    | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCSH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1397250 | PA      | $1259051.63    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCT55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     490360 | PA      | $475320.52     | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCT97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519562 | PA      | $508679.04     | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCTU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242712 | PA      | $230924.39     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419893 | PA      | $413475.14     | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     890337 | PA      | $806420.63     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCVU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2189231 | PA      | $1973059.77    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5777987 | PA      | $5153195.94    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16990284 | PA      | $15413392.30   | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QD5C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17242012 | PA      | $16096991.23   | 0.04%             | 2035-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QD7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10077664 | PA      | $8595021.78    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4199222 | PA      | $4005818.46    | 0.01%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7405978 | PA      | $7176212.60    | 0.02%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1694363 | PA      | $1657277.23    | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7010009 | PA      | $6329278.78    | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDDQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8336170 | PA      | $7532870.15    | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2904016 | PA      | $2880206.52    | 0.01%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDFR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     604973 | PA      | $583582.16     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDHL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3498605 | PA      | $3390438.12    | 0.01%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDJB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10292606 | PA      | $9820675.47    | 0.02%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5830172 | PA      | $4974067.98    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDMC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     522843 | PA      | $503504.82     | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1662839 | PA      | $1619545.27    | 0.00%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDQQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     511685 | PA      | $508530.22     | 0.00%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2257916 | PA      | $2021872.29    | 0.01%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1298894 | PA      | $1224288.53    | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDST2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1287560 | PA      | $1260979.40    | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QDXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6323735 | PA      | $5478709.63    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QE2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4268527 | PA      | $4233393.57    | 0.01%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QE5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3200620 | PA      | $2987091.87    | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEAH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280486 | PA      | $242975.04     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3029134 | PA      | $2702807.88    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8042571 | PA      | $7254099.88    | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     973314 | PA      | $914382.47     | 0.00%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEHC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     243428 | PA      | $235901.86     | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5157909 | PA      | $4877100.26    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25783478 | PA      | $22371694.22   | 0.06%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15403889 | PA      | $13742652.45   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9181313 | PA      | $7996362.39    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35448422 | PA      | $30917890.34   | 0.08%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEP63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2858613 | PA      | $2579606.33    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337357 | PA      | $334580.61     | 0.00%             | 2050-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131304 | PA      | $130237.10     | 0.00%             | 2050-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     997714 | PA      | $991382.56     | 0.00%             | 2035-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEV41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1089516 | PA      | $928990.79     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16859837 | PA      | $14681778.14   | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QEZS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10868894 | PA      | $9821432.85    | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QF4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30674930 | PA      | $26156040.14   | 0.07%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17562429 | PA      | $15306975.06   | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2664605 | PA      | $2403708.71    | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26181644 | PA      | $22700953.70   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29409208 | PA      | $25442916.88   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23008311 | PA      | $19905281.40   | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42709 | PA      | $41387.67      | 0.00%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFMW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27180265 | PA      | $23506168.46   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFMX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38860615 | PA      | $33607625.87   | 0.09%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3027918 | PA      | $2466911.05    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41697629 | PA      | $36141267.79   | 0.09%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5572434 | PA      | $5058723.15    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFRR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332780 | PA      | $259019.86     | 0.00%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1731877 | PA      | $1497770.42    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3091440 | PA      | $2635191.31    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFU98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6203976 | PA      | $5625063.80    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3759606 | PA      | $3557367.45    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6521493 | PA      | $5679595.42    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     867995 | PA      | $828167.49     | 0.00%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QFYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1722189 | PA      | $1686793.06    | 0.00%             | 2035-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QG3B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8735089 | PA      | $7248106.39    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QG5R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     702629 | PA      | $606998.81     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3234258 | PA      | $2684814.93    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3323226 | PA      | $3199721.32    | 0.01%             | 2050-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGJ40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12495834 | PA      | $11650273.04   | 0.03%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     323785 | PA      | $307933.42     | 0.00%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGKL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1245356 | PA      | $1219760.00    | 0.00%             | 2035-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGKZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37181100 | PA      | $35353928.32   | 0.09%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17847923 | PA      | $14821565.87   | 0.04%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGUQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18651330 | PA      | $17368622.73   | 0.04%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23335243 | PA      | $21730409.36   | 0.06%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGV79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1562749 | PA      | $1485713.02    | 0.00%             | 2036-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24895115 | PA      | $23193740.22   | 0.06%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11065818 | PA      | $10310508.07   | 0.03%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QGZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13186387 | PA      | $11394333.51   | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHAJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1095190 | PA      | $1101127.73    | 0.00%             | 2051-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHBC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  141536642 | PA      | $116362324.72  | 0.30%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHC37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33960789 | PA      | $29324134.21   | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHCQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     694474 | PA      | $680947.42     | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHFM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37590781 | PA      | $30909542.02   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHKW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   95928092 | PA      | $85392655.78   | 0.22%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1900050 | PA      | $1618096.98    | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     826439 | PA      | $786027.44     | 0.00%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHPV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14554493 | PA      | $13508462.11   | 0.03%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHPX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4238041 | PA      | $3929635.87    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2704240 | PA      | $2507450.88    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17701981 | PA      | $16427272.16   | 0.04%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2521495 | PA      | $2469440.16    | 0.01%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4266878 | PA      | $4122940.30    | 0.01%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHSU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1244916 | PA      | $1202926.87    | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHT21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8070747 | PA      | $8021002.45    | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHTB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25160493 | PA      | $21809914.33   | 0.06%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHTC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4820552 | PA      | $4201472.58    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHTL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3136825 | PA      | $3080106.60    | 0.01%             | 2037-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHTQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5492599 | PA      | $4719096.23    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHTR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6191409 | PA      | $5562882.66    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHTW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4859271 | PA      | $4543270.13    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QHUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6386678 | PA      | $5542110.63    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QK4D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35299545 | PA      | $29160193.26   | 0.07%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     869968 | PA      | $740871.80     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QK6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214044 | PA      | $205950.62     | 0.00%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5678101 | PA      | $5148111.09    | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53150466 | PA      | $43681133.54   | 0.11%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8423007 | PA      | $6862094.30    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKGG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20786814 | PA      | $18533865.52   | 0.05%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKHM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34970967 | PA      | $28913151.32   | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKHV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25407187 | PA      | $20882549.16   | 0.05%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684499 | PA      | $659195.03     | 0.00%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2595897 | PA      | $2407257.43    | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11143269 | PA      | $9489692.76    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKNS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10344844 | PA      | $8628137.00    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKQG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1609021 | PA      | $1392485.82    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269596 | PA      | $232696.05     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKSF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     442600 | PA      | $377271.05     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2225527 | PA      | $2067001.29    | 0.01%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKVH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2591315 | PA      | $2452725.89    | 0.01%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51568109 | PA      | $42599302.70   | 0.11%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QKY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259278 | PA      | $234041.56     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QL7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     979789 | PA      | $834396.11     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18151585 | PA      | $16805547.68   | 0.04%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLCB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10440540 | PA      | $9920827.80    | 0.03%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLD94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14694777 | PA      | $12603847.68   | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22552852 | PA      | $19343791.87   | 0.05%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25814772 | PA      | $21286783.23   | 0.05%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2476530 | PA      | $2134574.21    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33881829 | PA      | $27798112.68   | 0.07%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     937857 | PA      | $890883.43     | 0.00%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29544102 | PA      | $25472947.19   | 0.06%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22234455 | PA      | $19164352.39   | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLMK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219067 | PA      | $181499.15     | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3330667 | PA      | $2749069.03    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34172200 | PA      | $28036345.11   | 0.07%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2014570 | PA      | $1652839.71    | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLRC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3043952 | PA      | $2636729.06    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLRJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3563962 | PA      | $3055739.53    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27318487 | PA      | $23422857.83   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLUA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5795605 | PA      | $5491218.64    | 0.01%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6837814 | PA      | $5891540.15    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65260001 | PA      | $56247011.11   | 0.14%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QLYS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19379793 | PA      | $15894738.47   | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     816792 | PA      | $671814.52     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM3X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2138828 | PA      | $1750473.00    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9968115 | PA      | $8161645.85    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM4M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3817019 | PA      | $3295467.47    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QM5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7950678 | PA      | $6770858.31    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16402189 | PA      | $13569394.43   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMBZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11688885 | PA      | $9662121.19    | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     781569 | PA      | $674805.74     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4817277 | PA      | $4127346.46    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45155440 | PA      | $38905084.70   | 0.10%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     728567 | PA      | $654673.75     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50611987 | PA      | $44971214.39   | 0.11%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMHX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6445812 | PA      | $5584664.64    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     840161 | PA      | $691621.97     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMKC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3586033 | PA      | $3071330.35    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20958209 | PA      | $19832979.11   | 0.05%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2038674 | PA      | $1843223.09    | 0.00%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6690013 | PA      | $6048100.90    | 0.02%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     594161 | PA      | $511383.87     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31258678 | PA      | $25838249.25   | 0.07%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6967386 | PA      | $6014642.09    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMRM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1269642 | PA      | $1090945.66    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3635071 | PA      | $3229937.18    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMTY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44253386 | PA      | $36447376.95   | 0.09%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4101832 | PA      | $3521975.78    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMU51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7488931 | PA      | $6381515.34    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3955108 | PA      | $3412387.83    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMV43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7325791 | PA      | $6555534.74    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMX82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3113640 | PA      | $2952619.33    | 0.01%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMX90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4406039 | PA      | $4176293.06    | 0.01%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47550197 | PA      | $40924183.94   | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4152352 | PA      | $3846315.34    | 0.01%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QMZG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6545819 | PA      | $5645574.52    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QN4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11823464 | PA      | $10577828.70   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QN6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     835009 | PA      | $714595.91     | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QN7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8496618 | PA      | $7932512.99    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNAK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17755155 | PA      | $16442163.81   | 0.04%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     188148 | PA      | $168177.21     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1581732 | PA      | $1419346.09    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2899026 | PA      | $2480235.21    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4149979 | PA      | $3843477.20    | 0.01%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13006183 | PA      | $10697640.17   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNE24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5664473 | PA      | $4641446.48    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNFJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22942609 | PA      | $19780214.65   | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNGW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11944950 | PA      | $11081637.74   | 0.03%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4175644 | PA      | $3945478.17    | 0.01%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2284795 | PA      | $2158467.79    | 0.01%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNK27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9236393 | PA      | $7609664.23    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24156770 | PA      | $19785531.03   | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1123219 | PA      | $971979.42     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53070308 | PA      | $45551569.07   | 0.12%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4942002 | PA      | $4572204.58    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNMM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7760228 | PA      | $6638823.66    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1620542 | PA      | $1398681.64    | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNQM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15353162 | PA      | $13158464.99   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNQW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     910264 | PA      | $818495.17     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNR38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27475523 | PA      | $25956389.98   | 0.07%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1384786 | PA      | $1308495.76    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNS78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     862596 | PA      | $769245.56     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNSZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4709743 | PA      | $4221277.30    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNT36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3423393 | PA      | $3187150.95    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1469276 | PA      | $1373364.34    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15746497 | PA      | $13494353.95   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNWM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25543286 | PA      | $21940568.08   | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QNZF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7038460 | PA      | $6650696.60    | 0.02%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QP2D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1269784 | PA      | $1179999.91    | 0.00%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QP2F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5610995 | PA      | $5388686.03    | 0.01%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QP3H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12625390 | PA      | $12748530.25   | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QP3P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7330188 | PA      | $7418981.36    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QP4B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   52742960 | PA      | $54211232.76   | 0.14%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3165234 | PA      | $3147724.96    | 0.01%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPAK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1172513 | PA      | $1089788.28    | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11622750 | PA      | $11142349.63   | 0.03%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPDH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1893889 | PA      | $1831123.45    | 0.00%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPDN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16418913 | PA      | $15876519.07   | 0.04%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPFK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2137404 | PA      | $1994079.80    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPJJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1908779 | PA      | $1888316.05    | 0.00%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3183056 | PA      | $3047752.34    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPK55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9249577 | PA      | $9100380.32    | 0.02%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPPS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16016491 | PA      | $15758143.95   | 0.04%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPRG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16063763 | PA      | $15502498.77   | 0.04%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPSF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1751349 | PA      | $1627650.36    | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5070660 | PA      | $4949447.33    | 0.01%             | 2037-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335716 | PA      | $332145.88     | 0.00%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPWS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1100693 | PA      | $1091005.81    | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1008446 | PA      | $1018173.06    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6567068 | PA      | $6654096.20    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QPZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280770 | PA      | $261513.32     | 0.00%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQ2A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8492918 | PA      | $8361003.41    | 0.02%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQB87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16674066 | PA      | $16832330.79   | 0.04%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQB95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7847193 | PA      | $7883295.31    | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQBR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     873676 | PA      | $825352.66     | 0.00%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQCK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4183875 | PA      | $4203123.09    | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQD69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6411083 | PA      | $6467093.90    | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQDH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4898836 | PA      | $4692950.62    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQDS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3004423 | PA      | $2958438.96    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10926101 | PA      | $11190681.68   | 0.03%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQF91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1884040 | PA      | $1944132.43    | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQLA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9826288 | PA      | $9663224.70    | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQLR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5338552 | PA      | $5386774.07    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQN92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1202781 | PA      | $1235631.90    | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQPV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8172959 | PA      | $7883611.27    | 0.02%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5001783 | PA      | $4970259.73    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQSP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3780113 | PA      | $3885916.83    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQUJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14633086 | PA      | $14779367.45   | 0.04%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QQY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10164047 | PA      | $10258464.91   | 0.03%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QR2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18357426 | PA      | $18476266.05   | 0.05%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4814933 | PA      | $5016149.80    | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QREZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1777165 | PA      | $1760923.36    | 0.00%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRFX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20176499 | PA      | $20255158.30   | 0.05%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRJJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5418178 | PA      | $5181846.55    | 0.01%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRKD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38519868 | PA      | $39620623.07   | 0.10%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRLM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15978896 | PA      | $16257035.76   | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRTM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1190668 | PA      | $1178763.95    | 0.00%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRTN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1552943 | PA      | $1536425.70    | 0.00%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     681794 | PA      | $675797.18     | 0.00%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8990958 | PA      | $8836242.18    | 0.02%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRW33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15663511 | PA      | $15712807.77   | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRWK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15475978 | PA      | $15291634.05   | 0.04%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7747424 | PA      | $8194304.29    | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11102751 | PA      | $11283425.73   | 0.03%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19539290 | PA      | $20554151.63   | 0.05%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QRYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7621275 | PA      | $8094126.70    | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QS3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18450838 | PA      | $19213815.29   | 0.05%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QS4G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9061006 | PA      | $9291323.56    | 0.02%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QS7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9058909 | PA      | $9199958.47    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16036306 | PA      | $16293895.27   | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSC90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9047065 | PA      | $9078141.83    | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3992393 | PA      | $4011500.78    | 0.01%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSD81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30617830 | PA      | $31286291.73   | 0.08%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSEC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17139993 | PA      | $17412112.30   | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3638248 | PA      | $3647978.78    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSLF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8876571 | PA      | $9226685.32    | 0.02%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSMY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28735682 | PA      | $29467598.15   | 0.07%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSSZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     946613 | PA      | $951110.66     | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSU33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2367090 | PA      | $2395236.24    | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSUA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58015114 | PA      | $59737194.36   | 0.15%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSVP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10501348 | PA      | $10949263.83   | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QSYU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11335229 | PA      | $11355039.61   | 0.03%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QT2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3748647 | PA      | $3803309.59    | 0.01%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QT3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10134668 | PA      | $10406924.69   | 0.03%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QT3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9802214 | PA      | $10297125.60   | 0.03%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QT3Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2172991 | PA      | $2277492.07    | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QT4F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7470441 | PA      | $7826328.52    | 0.02%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QT4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19709385 | PA      | $20919641.48   | 0.05%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTBG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   63764874 | PA      | $65359163.55   | 0.17%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTBJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13486509 | PA      | $13872422.97   | 0.04%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTCG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   59144504 | PA      | $61376426.62   | 0.16%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTCN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25906653 | PA      | $27214674.57   | 0.07%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTCP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31070186 | PA      | $32564383.11   | 0.08%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27249786 | PA      | $27505658.12   | 0.07%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37750168 | PA      | $37816791.24   | 0.10%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5723827 | PA      | $5919254.41    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22788811 | PA      | $23257301.98   | 0.06%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20011360 | PA      | $20553484.87   | 0.05%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26764406 | PA      | $27678215.58   | 0.07%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10092706 | PA      | $10448903.78   | 0.03%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12860528 | PA      | $13231249.30   | 0.03%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11133250 | PA      | $11772119.05   | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTQC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15819051 | PA      | $16704072.64   | 0.04%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTQE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9875384 | PA      | $10373989.65   | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16711265 | PA      | $17514926.65   | 0.04%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTT25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32779828 | PA      | $32193959.37   | 0.08%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTTH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8863917 | PA      | $9267120.20    | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8965000 | PA      | $8844347.38    | 0.02%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11229937 | PA      | $11740766.48   | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTU72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4441796 | PA      | $4653401.17    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTUY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11684422 | PA      | $12338125.02   | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3195747 | PA      | $3325982.99    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QTYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6335532 | PA      | $6423904.21    | 0.02%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QU2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8121025 | PA      | $8451937.06    | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QU4Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18508314 | PA      | $18755124.08   | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QU7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19219508 | PA      | $19654340.78   | 0.05%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QU7J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53612263 | PA      | $54678838.91   | 0.14%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7582645 | PA      | $7976706.24    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUHJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25367063 | PA      | $25948529.67   | 0.07%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16710219 | PA      | $17146813.49   | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUJM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6365645 | PA      | $6596287.67    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUM78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60178508 | PA      | $61485329.26   | 0.16%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20590799 | PA      | $21259788.86   | 0.05%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QUNW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15551072 | PA      | $16182012.85   | 0.04%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QV2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57165486 | PA      | $57228667.45   | 0.15%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17438667 | PA      | $18182542.40   | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVAK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   62426945 | PA      | $64662399.77   | 0.16%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7605102 | PA      | $7823135.16    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32270557 | PA      | $33411948.51   | 0.08%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVG32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   91763615 | PA      | $94223724.68   | 0.24%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11411413 | PA      | $11771302.98   | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVPC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25422352 | PA      | $26271688.51   | 0.07%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVQ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42567378 | PA      | $42614424.59   | 0.11%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39355908 | PA      | $40464847.14   | 0.10%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49427907 | PA      | $50703186.42   | 0.13%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140QVZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12181919 | PA      | $12215961.49   | 0.03%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W02R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9781412 | PA      | $8014850.55    | 0.02%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W05E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8989373 | PA      | $8059279.79    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0DP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45842944 | PA      | $43102669.64   | 0.11%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0EW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10875962 | PA      | $10410278.25   | 0.03%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0GP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9298291 | PA      | $9302355.01    | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0HZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9388124 | PA      | $8478729.20    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0KT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11929256 | PA      | $11731727.32   | 0.03%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7701153 | PA      | $7752948.54    | 0.02%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0MZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13301009 | PA      | $11440245.10   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3467284 | PA      | $3214943.19    | 0.01%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0R72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18449811 | PA      | $19218971.40   | 0.05%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0S55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11346555 | PA      | $10506793.86   | 0.03%             | 2038-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11049708 | PA      | $11192851.64   | 0.03%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0WS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32570136 | PA      | $31905411.56   | 0.08%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W0ZE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5020753 | PA      | $4915512.16    | 0.01%             | 2055-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1AB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38213028 | PA      | $31338277.93   | 0.08%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1AM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27512638 | PA      | $27761886.72   | 0.07%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1D75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24193925 | PA      | $21819404.46   | 0.06%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1DC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37129141 | PA      | $32051976.07   | 0.08%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1E41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23789233 | PA      | $19559226.22   | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1EG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32596714 | PA      | $30524823.32   | 0.08%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1GC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21472828 | PA      | $18572072.93   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1GF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24085259 | PA      | $21683126.65   | 0.06%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6681342 | PA      | $6849655.84    | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1J87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13373970 | PA      | $10981916.51   | 0.03%             | 2053-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1KL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16031222 | PA      | $16501785.92   | 0.04%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1LE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11627995 | PA      | $10837893.28   | 0.03%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1LH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21190797 | PA      | $20086405.73   | 0.05%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1Y56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8499994 | PA      | $8599932.70    | 0.02%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1YT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37784336 | PA      | $32371085.95   | 0.08%             | 2054-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W1YV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22081365 | PA      | $19089233.68   | 0.05%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W2C33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12938833 | PA      | $12887792.37   | 0.03%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W2HG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36716166 | PA      | $37986617.00   | 0.10%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W2J44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9550073 | PA      | $8559010.93    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W2JU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11673933 | PA      | $10813539.97   | 0.03%             | 2037-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W2MV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14524904 | PA      | $11921926.68   | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W2PU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16084384 | PA      | $16493225.44   | 0.04%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W2PV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7181158 | PA      | $7371856.19    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W2RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20356895 | PA      | $20688059.91   | 0.05%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W2RC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14243332 | PA      | $14889352.50   | 0.04%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W2SF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3510672 | PA      | $3603844.74    | 0.01%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W3A58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5707463 | PA      | $5966993.51    | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W3B57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9769375 | PA      | $9929915.94    | 0.03%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W3DQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8920581 | PA      | $9153356.16    | 0.02%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W3DS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49018926 | PA      | $51457661.23   | 0.13%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W3H44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27048608 | PA      | $23430020.39   | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W3H85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13609346 | PA      | $14173109.99   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W3H93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28437137 | PA      | $23505979.17   | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W3HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5459419 | PA      | $5675690.01    | 0.01%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W3JH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   74144819 | PA      | $60753972.02   | 0.15%             | 2053-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W3JJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19747963 | PA      | $17692499.92   | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W3L80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8893368 | PA      | $9116614.46    | 0.02%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140W3MM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8501250 | PA      | $8626357.74    | 0.02%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X3AT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1448381 | PA      | $1399521.58    | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X3AX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2951186 | PA      | $2851631.65    | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X3AZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1217280 | PA      | $1160674.16    | 0.00%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X3CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2807588 | PA      | $2539622.65    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X45Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17686 | PA      | $17418.73      | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335586 | PA      | $305257.27     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4DF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1710055 | PA      | $1607835.88    | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4E69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7224462 | PA      | $7474526.33    | 0.02%             | 2049-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4EZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5240980 | PA      | $5214127.81    | 0.01%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4FT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64564 | PA      | $63995.95      | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4GD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684247 | PA      | $722988.52     | 0.00%             | 2049-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4GJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1878582 | PA      | $1820500.90    | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4GR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73696 | PA      | $71345.03      | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4H66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2587740 | PA      | $2509679.82    | 0.01%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4H90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4708 | PA      | $4571.03       | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4HG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6711194 | PA      | $6203039.89    | 0.02%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4HW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12598 | PA      | $12338.57      | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4HX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1360409 | PA      | $1336147.69    | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     683440 | PA      | $681015.77     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4JF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1642878 | PA      | $1595426.73    | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4LX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174822 | PA      | $164206.39     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4MC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99581 | PA      | $101519.83     | 0.00%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4MW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11827680 | PA      | $11552104.05   | 0.03%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4N28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1560023 | PA      | $1369195.39    | 0.00%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4PB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3388733 | PA      | $3294207.53    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4PG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39458 | PA      | $39256.37      | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4QW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13587376 | PA      | $12443918.42   | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4S64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3728696 | PA      | $3272588.81    | 0.01%             | 2048-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4SL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8743680 | PA      | $8043617.35    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4T30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1552375 | PA      | $1421733.24    | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4TE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280429 | PA      | $262214.31     | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4TL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67462 | PA      | $66420.61      | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4UW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     740184 | PA      | $692036.18     | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4VV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174335 | PA      | $158579.21     | 0.00%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4WX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3005878 | PA      | $2915418.65    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4XD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58647 | PA      | $57671.12      | 0.00%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4Z33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5371316 | PA      | $5242603.40    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4Z66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19000 | PA      | $18935.71      | 0.00%             | 2032-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X4ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2762643 | PA      | $2706018.08    | 0.01%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X52W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1139096 | PA      | $1101569.44    | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X53H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2246851 | PA      | $2210031.95    | 0.01%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X53J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32894 | PA      | $31934.54      | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X53Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532966 | PA      | $482015.82     | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X55S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1791931 | PA      | $1691698.09    | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5BA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4915475 | PA      | $4459263.30    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5CG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5112729 | PA      | $4846659.48    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5CH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1906468 | PA      | $1869235.29    | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5CM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     926878 | PA      | $895611.51     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5CW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1920043 | PA      | $1811854.36    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5D26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6224589 | PA      | $5637903.57    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5DK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1131634 | PA      | $1097283.49    | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5DR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1561664 | PA      | $1473668.37    | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5EJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1166796 | PA      | $1129578.89    | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5F99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1656787 | PA      | $1648303.89    | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5G31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5221321 | PA      | $4922108.01    | 0.01%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5LN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     842914 | PA      | $759536.03     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30276 | PA      | $30169.63      | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5MU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38635426 | PA      | $37095849.81   | 0.09%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5NT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     512695 | PA      | $496342.20     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5P64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3153890 | PA      | $3170672.35    | 0.01%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5R88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25868781 | PA      | $23497641.79   | 0.06%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5S38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73668 | PA      | $73290.83      | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5U35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1192778 | PA      | $1181539.35    | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5UA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77059 | PA      | $76680.17      | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5UC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15043 | PA      | $14949.97      | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5UF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6386067 | PA      | $5784162.40    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5V83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1199974 | PA      | $1132359.15    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5VE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16471 | PA      | $16171.66      | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5VJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259114 | PA      | $233483.47     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5VM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     553173 | PA      | $492445.87     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5WV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4194452 | PA      | $3921607.79    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5XU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     766508 | PA      | $682361.18     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X5YS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2599771 | PA      | $2517844.57    | 0.01%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X63A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218278 | PA      | $214410.07     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X64B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272472 | PA      | $259781.94     | 0.00%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X64G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6220 | PA      | $6094.18       | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X66B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5613453 | PA      | $5528835.17    | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6CQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7855013 | PA      | $7111134.34    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6F55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9388144 | PA      | $8459508.26    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6FF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     605051 | PA      | $595328.13     | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9681595 | PA      | $9128993.29    | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6GN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6702569 | PA      | $6399803.22    | 0.02%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6LH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3406118 | PA      | $2987124.73    | 0.01%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6LV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     920751 | PA      | $936167.29     | 0.00%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6PY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13935423 | PA      | $13208361.55   | 0.03%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6QG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130642 | PA      | $132816.51     | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6QT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11213995 | PA      | $9842259.04    | 0.02%             | 2047-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6RP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4188056 | PA      | $4058572.02    | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6SQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3735225 | PA      | $3383169.95    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1426909 | PA      | $1404964.98    | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6XR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12746 | PA      | $12557.15      | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X6ZS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     426349 | PA      | $422824.04     | 0.00%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X72P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20304 | PA      | $18941.37      | 0.00%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X74P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4569560 | PA      | $4370931.22    | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X74Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1655916 | PA      | $1506262.43    | 0.00%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X75R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7039 | PA      | $6705.51       | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7AR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115165 | PA      | $113902.00     | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7B24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314285 | PA      | $308850.94     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7BL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4134660 | PA      | $3859035.37    | 0.01%             | 2035-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7BS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8263282 | PA      | $7878151.70    | 0.02%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7BU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9980440 | PA      | $8692007.22    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7CA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523610 | PA      | $505946.84     | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6127515 | PA      | $5920811.66    | 0.02%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7DD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14306766 | PA      | $13864438.28   | 0.04%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7E39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1551461 | PA      | $1464679.23    | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7HN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102357 | PA      | $93132.41      | 0.00%             | 2035-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7J75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32198946 | PA      | $29184391.17   | 0.07%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7JF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2436584 | PA      | $2424593.40    | 0.01%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7JX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4576114 | PA      | $3987775.52    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7KT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9037948 | PA      | $8718622.95    | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7LK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10430701 | PA      | $8897760.29    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7LS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86720 | PA      | $83357.20      | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7LZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18670879 | PA      | $17562977.41   | 0.04%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632452 | PA      | $610089.05     | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303831 | PA      | $308511.06     | 0.00%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1444036 | PA      | $1357718.32    | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7QU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9453434 | PA      | $8562522.91    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7RH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4827905 | PA      | $4535827.99    | 0.01%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7RL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3504040 | PA      | $3337878.41    | 0.01%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7U72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6532702 | PA      | $5904141.29    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7VJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2423406 | PA      | $2278546.23    | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7VQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17487534 | PA      | $15239208.53   | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7VU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   52702010 | PA      | $45781703.19   | 0.12%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7VZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45914129 | PA      | $39519370.96   | 0.10%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7XN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1132306 | PA      | $1086667.81    | 0.00%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7Y29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3445353 | PA      | $2982457.47    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7YF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9263533 | PA      | $7973340.87    | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X7YP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     571944 | PA      | $515345.24     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X86Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36070058 | PA      | $32801433.54   | 0.08%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X87B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1163415 | PA      | $959679.01     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8BA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1394744 | PA      | $1260362.59    | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8C88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30008215 | PA      | $26738554.12   | 0.07%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8C96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2198887 | PA      | $1961492.13    | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8CV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32475478 | PA      | $27055477.88   | 0.07%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8FB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     935051 | PA      | $890339.83     | 0.00%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8FY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25867316 | PA      | $22256588.96   | 0.06%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8GP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1484319 | PA      | $1233150.34    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8H83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28866315 | PA      | $27562376.96   | 0.07%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8JG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1836403 | PA      | $1535450.48    | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8JV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23904173 | PA      | $20560063.88   | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8KW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14240491 | PA      | $12248297.26   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8MH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29126370 | PA      | $25292765.69   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8MY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11647977 | PA      | $10175358.04   | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8NG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17769763 | PA      | $16163001.79   | 0.04%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8NK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4007025 | PA      | $3946639.03    | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8NM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7097482 | PA      | $6871097.33    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8NS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2840764 | PA      | $2648619.78    | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8PS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175142 | PA      | $163400.68     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8QK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2823613 | PA      | $2345900.90    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8SF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     590316 | PA      | $512436.20     | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8SG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8787046 | PA      | $7627776.78    | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8TA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2641250 | PA      | $2187076.05    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8TY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19824574 | PA      | $17686587.56   | 0.04%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8V46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122854 | PA      | $118935.53     | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8V95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92544 | PA      | $94093.89      | 0.00%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8WL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3704752 | PA      | $3075726.17    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8WQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20419189 | PA      | $17004210.25   | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8XP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173922 | PA      | $163398.96     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8YB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11319032 | PA      | $10558322.01   | 0.03%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8YY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12780778 | PA      | $10898467.84   | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8Z75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6669373 | PA      | $5534662.33    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X8ZM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2377816 | PA      | $2293804.46    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X92Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     906720 | PA      | $864756.36     | 0.00%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X93X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164845 | PA      | $154775.45     | 0.00%             | 2050-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X97D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27661743 | PA      | $24810798.44   | 0.06%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9CD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461806 | PA      | $430168.07     | 0.00%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9CL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5372150 | PA      | $5115271.56    | 0.01%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9ED3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     970860 | PA      | $877145.12     | 0.00%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9GA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3561157 | PA      | $3428212.52    | 0.01%             | 2050-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9K95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8164104 | PA      | $7549470.61    | 0.02%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9KK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79248 | PA      | $73851.81      | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9KT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177928 | PA      | $165805.61     | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9MF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5441415 | PA      | $5154310.30    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9PP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6623158 | PA      | $5524847.90    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11867424 | PA      | $9668651.04    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9PY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     433006 | PA      | $431469.71     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4660034 | PA      | $4349000.02    | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9R80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1570300 | PA      | $1521796.93    | 0.00%             | 2036-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9SV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     843646 | PA      | $731821.72     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9US2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2842654 | PA      | $2464102.55    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9V69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17584401 | PA      | $16991215.96   | 0.04%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9V93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77814 | PA      | $72753.94      | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34522102 | PA      | $28377780.97   | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9Y74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3398293 | PA      | $3177563.27    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9YH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3049458 | PA      | $2635359.56    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9YP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2939319 | PA      | $2673677.18    | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140X9Z81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1369208 | PA      | $1301712.28    | 0.00%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XA2D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20893312 | PA      | $18603853.82   | 0.05%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XA4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2577081 | PA      | $2449845.69    | 0.01%             | 2036-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XA6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     522080 | PA      | $486094.09     | 0.00%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XABX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90201 | PA      | $89965.39      | 0.00%             | 2034-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XACJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117036 | PA      | $119002.08     | 0.00%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XAH88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60408147 | PA      | $50081334.65   | 0.13%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XAJW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5057657 | PA      | $4177584.97    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XASF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9436445 | PA      | $8185719.77    | 0.02%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XASY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   59429333 | PA      | $49269849.65   | 0.13%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3688599 | PA      | $3069133.97    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12095880 | PA      | $10038396.24   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     650606 | PA      | $627619.28     | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XAZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3035635 | PA      | $2885953.06    | 0.01%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XB3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   62084103 | PA      | $53797665.53   | 0.14%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XB5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497253 | PA      | $443626.88     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XB7B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3190885 | PA      | $2961740.04    | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBAL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41184815 | PA      | $33552635.83   | 0.09%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2299268 | PA      | $2294059.82    | 0.01%             | 2035-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBDT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7520331 | PA      | $7483323.08    | 0.02%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBGH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3565382 | PA      | $3062479.96    | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     726899 | PA      | $701216.88     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9480296 | PA      | $9145342.82    | 0.02%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBJW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     298070 | PA      | $296232.91     | 0.00%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBK82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6911698 | PA      | $5991326.69    | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2045989 | PA      | $1916980.75    | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9534249 | PA      | $8957360.97    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBLC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1417550 | PA      | $1174230.00    | 0.00%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2635655 | PA      | $2381650.63    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBLT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9794699 | PA      | $9482282.33    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7317502 | PA      | $6874742.47    | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBMG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1355295 | PA      | $1267159.97    | 0.00%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     790087 | PA      | $677873.28     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1572793 | PA      | $1470513.67    | 0.00%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBPK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55033 | PA      | $52215.36      | 0.00%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     685871 | PA      | $593854.16     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBQP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8256721 | PA      | $7157244.25    | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBQW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26142170 | PA      | $21466410.56   | 0.05%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBR77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8426463 | PA      | $7827216.91    | 0.02%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBUX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4180064 | PA      | $4054268.00    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23871807 | PA      | $22101584.70   | 0.06%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21940900 | PA      | $19012422.41   | 0.05%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5427153 | PA      | $4880315.72    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XBZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2234554 | PA      | $2071363.35    | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XC3K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17706268 | PA      | $15875895.77   | 0.04%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCAQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7486384 | PA      | $6099042.02    | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19019353 | PA      | $16517330.00   | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13381948 | PA      | $11578819.54   | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCCR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14419572 | PA      | $12362659.68   | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCJA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2844364 | PA      | $2891987.87    | 0.01%             | 2050-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3757142 | PA      | $3059513.13    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCLX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17148132 | PA      | $14810990.13   | 0.04%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCMT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11326347 | PA      | $9383971.73    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCPF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11677702 | PA      | $10809037.53   | 0.03%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCQ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14506428 | PA      | $13463376.22   | 0.03%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1060036 | PA      | $916835.81     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41106107 | PA      | $31967900.86   | 0.08%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCTW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     876581 | PA      | $797359.67     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCUR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359501 | PA      | $311294.93     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCV70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2897385 | PA      | $2682975.20    | 0.01%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12281643 | PA      | $10648445.96   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13859385 | PA      | $11945280.20   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCYX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20297929 | PA      | $16799383.64   | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XCZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3285494 | PA      | $3059087.98    | 0.01%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5647552 | PA      | $4886769.87    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6433367 | PA      | $5575874.25    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD3Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11180440 | PA      | $9646258.25    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15555519 | PA      | $14415485.79   | 0.04%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22925652 | PA      | $19535551.84   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18964733 | PA      | $16150511.42   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XD6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24949009 | PA      | $21517777.93   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3947423 | PA      | $3268422.33    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDAR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10640714 | PA      | $8786354.00    | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13867765 | PA      | $11956797.69   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDBL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1999224 | PA      | $1935456.02    | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDCT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1620547 | PA      | $1340665.26    | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDCU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23285392 | PA      | $19263810.40   | 0.05%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39223677 | PA      | $32422589.30   | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDE44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     998920 | PA      | $818859.83     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10638213 | PA      | $8773159.95    | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25954028 | PA      | $22465796.64   | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4917894 | PA      | $4214845.63    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDHJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6804279 | PA      | $6297082.67    | 0.02%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDJ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2685281 | PA      | $2323546.85    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3482454 | PA      | $3163182.53    | 0.01%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21711628 | PA      | $20130347.87   | 0.05%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDLR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1942888 | PA      | $1663934.08    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   73942048 | PA      | $61095265.57   | 0.16%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDR24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1459080 | PA      | $1261069.66    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5083457 | PA      | $4387478.42    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDS98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22362856 | PA      | $19294221.19   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDSU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     830724 | PA      | $707451.30     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3589614 | PA      | $3265201.15    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDUC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   66848121 | PA      | $55233845.87   | 0.14%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDUD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     377775 | PA      | $310537.70     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9425073 | PA      | $8550572.21    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDVJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6387131 | PA      | $5522317.38    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDWS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4386063 | PA      | $3964204.15    | 0.01%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDWX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12070780 | PA      | $11181649.92   | 0.03%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3011926 | PA      | $2790318.46    | 0.01%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34936631 | PA      | $30186330.61   | 0.08%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403052 | PA      | $349579.66     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDZ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     506220 | PA      | $433474.19     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XDZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10080071 | PA      | $9566877.84    | 0.02%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XEA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     953381 | PA      | $791605.84     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFE56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10226914 | PA      | $9473601.78    | 0.02%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFFW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15104564 | PA      | $13977492.76   | 0.04%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7844686 | PA      | $6711076.79    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFL74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11975729 | PA      | $9899071.39    | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1221018 | PA      | $1097317.61    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     850920 | PA      | $724650.13     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFMA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1382805 | PA      | $1142072.75    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5942017 | PA      | $4840870.18    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFMU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4160352 | PA      | $3542987.20    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFNJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6356394 | PA      | $5413153.53    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14020975 | PA      | $12981118.81   | 0.03%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4278953 | PA      | $4156752.14    | 0.01%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFRL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10100206 | PA      | $8228482.40    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFRM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2330634 | PA      | $2169487.37    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFU33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1498720 | PA      | $1301459.07    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFVB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     602807 | PA      | $573288.33     | 0.00%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFVF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15003979 | PA      | $12835803.94   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37409732 | PA      | $32003776.52   | 0.08%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFYF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11414407 | PA      | $11676740.76   | 0.03%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFZA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4630509 | PA      | $4008167.24    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFZK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2958598 | PA      | $2951675.24    | 0.01%             | 2034-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XFZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523064 | PA      | $521772.39     | 0.00%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XG3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14080688 | PA      | $13013842.45   | 0.03%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3557473 | PA      | $3458882.05    | 0.01%             | 2031-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5163939 | PA      | $4902684.99    | 0.01%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGE96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4714042 | PA      | $4032831.39    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGG52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9612010 | PA      | $9086165.48    | 0.02%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219234 | PA      | $203065.78     | 0.00%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27714699 | PA      | $22767351.80   | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7201301 | PA      | $6802995.03    | 0.02%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGHA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5648279 | PA      | $5231692.24    | 0.01%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     460764 | PA      | $444484.93     | 0.00%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGKE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18119896 | PA      | $14878991.98   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     695681 | PA      | $604463.24     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1044485 | PA      | $858034.04     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4726343 | PA      | $4249472.26    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10556004 | PA      | $10159350.24   | 0.03%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGT74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     958528 | PA      | $901567.94     | 0.00%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGTV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18181320 | PA      | $17567998.15   | 0.04%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1015965 | PA      | $980069.18     | 0.00%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGUE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6614969 | PA      | $5719306.83    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8211072 | PA      | $7382311.52    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23011799 | PA      | $18836614.16   | 0.05%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGXL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3948920 | PA      | $3580433.61    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18554968 | PA      | $17539881.33   | 0.04%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGYS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7060544 | PA      | $5811284.47    | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XGZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50639133 | PA      | $43384214.37   | 0.11%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XH3E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24558799 | PA      | $21085997.57   | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XH4Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15915291 | PA      | $13654883.37   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XH6Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2486329 | PA      | $2135513.82    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHCC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80737 | PA      | $75279.54      | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHD61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1527849 | PA      | $1313634.56    | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1188982 | PA      | $1028363.00    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     919871 | PA      | $829857.91     | 0.00%             | 2047-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10526963 | PA      | $9897710.90    | 0.03%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1663440 | PA      | $1608429.79    | 0.00%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8301308 | PA      | $8027076.29    | 0.02%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6484395 | PA      | $6269496.19    | 0.02%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1242240 | PA      | $1118928.56    | 0.00%             | 2037-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  106848563 | PA      | $87513998.21   | 0.22%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHHT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2414751 | PA      | $1982008.96    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3445558 | PA      | $3409152.98    | 0.01%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHKY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16455883 | PA      | $14880718.31   | 0.04%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHL62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6453349 | PA      | $6497063.18    | 0.02%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHLP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18700906 | PA      | $18034904.28   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7384177 | PA      | $6889028.43    | 0.02%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHMA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4643266 | PA      | $4658131.97    | 0.01%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     926246 | PA      | $889834.46     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5917803 | PA      | $5706134.58    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHNN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3326257 | PA      | $2848683.52    | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHPD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12129815 | PA      | $11022236.07   | 0.03%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHPW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27666265 | PA      | $23862793.81   | 0.06%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32821543 | PA      | $30828506.05   | 0.08%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHRS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1791564 | PA      | $1669188.77    | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHRU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3864538 | PA      | $3629955.99    | 0.01%             | 2051-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHRY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6476862 | PA      | $6048617.83    | 0.02%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHTD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8635927 | PA      | $8146248.54    | 0.02%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24699503 | PA      | $23205011.46   | 0.06%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2268456 | PA      | $1962011.56    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHUP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1218836 | PA      | $1135334.99    | 0.00%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHX36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4748750 | PA      | $4281720.44    | 0.01%             | 2037-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHX51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1430791 | PA      | $1353357.27    | 0.00%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6478723 | PA      | $6553018.94    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XHZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2660726 | PA      | $2561931.60    | 0.01%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJ5F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3363977 | PA      | $3130340.83    | 0.01%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJ6A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18202194 | PA      | $17738513.09   | 0.05%             | 2038-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17212772 | PA      | $17151716.98   | 0.04%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJCH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42644611 | PA      | $34942825.45   | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJDK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5399430 | PA      | $4619176.41    | 0.01%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJDW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5528469 | PA      | $5678482.24    | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJEW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7508626 | PA      | $7548549.29    | 0.02%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1154508 | PA      | $1143976.02    | 0.00%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9149761 | PA      | $9034911.87    | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJKB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2576718 | PA      | $2381488.76    | 0.01%             | 2037-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7242386 | PA      | $6511655.25    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJNY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6134511 | PA      | $6177344.55    | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJR62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16090745 | PA      | $13179077.04   | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJRA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8060189 | PA      | $6621365.43    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27183005 | PA      | $23422330.40   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37244252 | PA      | $31931462.44   | 0.08%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJRX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3820010 | PA      | $3169725.94    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJVL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3535422 | PA      | $3624042.31    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6127366 | PA      | $6326128.36    | 0.02%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJYC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3733938 | PA      | $3838270.20    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XJYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15488899 | PA      | $15643735.20   | 0.04%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XK5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2670039 | PA      | $2802767.56    | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20160042 | PA      | $20879109.40   | 0.05%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10960368 | PA      | $11281331.99   | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28929362 | PA      | $26314859.91   | 0.07%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKEM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9950672 | PA      | $8945856.28    | 0.02%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKEP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13759915 | PA      | $13646154.98   | 0.03%             | 2051-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKET3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50884928 | PA      | $41934858.66   | 0.11%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27700713 | PA      | $28490239.88   | 0.07%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKF47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3396859 | PA      | $3296860.04    | 0.01%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKG46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1254926 | PA      | $1290694.47    | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKGD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3859085 | PA      | $3628406.82    | 0.01%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKGE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19103311 | PA      | $17861013.71   | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4108766 | PA      | $4181544.31    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36396532 | PA      | $31136990.70   | 0.08%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6295610 | PA      | $6263359.84    | 0.02%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6259457 | PA      | $5629839.64    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKMG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     682272 | PA      | $701269.37     | 0.00%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKPC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8121906 | PA      | $7268997.31    | 0.02%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4126123 | PA      | $3930409.46    | 0.01%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1684321 | PA      | $1620719.06    | 0.00%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1706382 | PA      | $1755017.85    | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XKY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     941266 | PA      | $817420.53     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XL2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2533316 | PA      | $2587845.18    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XL2F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9424337 | PA      | $9801382.49    | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XL2S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31091765 | PA      | $29069852.78   | 0.07%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XL6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13828551 | PA      | $11995597.42   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XL6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8843350 | PA      | $7531064.68    | 0.02%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XL7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18245614 | PA      | $15687461.40   | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XL7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8757038 | PA      | $9199179.25    | 0.02%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  216596532 | PA      | $178424124.43  | 0.45%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2520634 | PA      | $2588917.35    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42311130 | PA      | $34627575.20   | 0.09%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4673276 | PA      | $4508161.85    | 0.01%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLJ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56954001 | PA      | $48864970.45   | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLLR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5250002 | PA      | $5547472.73    | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18140148 | PA      | $14911524.04   | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLNV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11790081 | PA      | $10104604.38   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLPE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17746391 | PA      | $14553710.50   | 0.04%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLQ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11064570 | PA      | $10247383.08   | 0.03%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLT24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7198883 | PA      | $7481571.13    | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLTR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7970680 | PA      | $7521555.38    | 0.02%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLTT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4747454 | PA      | $4786254.24    | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLUN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8641999 | PA      | $8079804.80    | 0.02%             | 2053-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLVK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11806728 | PA      | $12244695.46   | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLVL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5445395 | PA      | $5640130.66    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLYL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8776909 | PA      | $8842121.06    | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLZH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10001642 | PA      | $9603539.10    | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLZS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16574061 | PA      | $16557184.82   | 0.04%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLZT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8492855 | PA      | $8652194.23    | 0.02%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XLZU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10739072 | PA      | $10937098.28   | 0.03%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XM5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38036898 | PA      | $35486318.74   | 0.09%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XM5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22682054 | PA      | $21080004.35   | 0.05%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XM7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3070037 | PA      | $3195149.38    | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMB54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8909915 | PA      | $9100097.79    | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMBJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4883584 | PA      | $5064739.35    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4900493 | PA      | $5049800.80    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMED4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1569429 | PA      | $1625554.00    | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2514962 | PA      | $2480800.01    | 0.01%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMHM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4216833 | PA      | $4035137.54    | 0.01%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMK21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4845522 | PA      | $4948848.68    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMLC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49309801 | PA      | $44853409.13   | 0.11%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24989198 | PA      | $20519657.98   | 0.05%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMQV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5226517 | PA      | $4525689.81    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMRG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4995532 | PA      | $5120042.86    | 0.01%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMSK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8138427 | PA      | $7522205.53    | 0.02%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMTC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2650085 | PA      | $2456809.91    | 0.01%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9199838 | PA      | $9445486.63    | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4506939 | PA      | $4278027.45    | 0.01%             | 2037-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XMYC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6609658 | PA      | $6767183.03    | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XN3F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1088392 | PA      | $1139337.79    | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XN5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1137693 | PA      | $946229.24     | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XN6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5817919 | PA      | $6082565.90    | 0.02%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8044457 | PA      | $8070212.54    | 0.02%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNA53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18022811 | PA      | $16698065.30   | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7923462 | PA      | $8151866.15    | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNAQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15029965 | PA      | $15788824.46   | 0.04%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3244138 | PA      | $3395990.98    | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNF33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11418783 | PA      | $10289284.95   | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNFW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1513202 | PA      | $1316312.47    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1900791 | PA      | $1964768.52    | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18611913 | PA      | $19483104.86   | 0.05%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNHZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9795219 | PA      | $10122120.67   | 0.03%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNJ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2585177 | PA      | $2700048.76    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7955701 | PA      | $7377037.92    | 0.02%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNL36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  103356301 | PA      | $93296397.77   | 0.24%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNL93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25177885 | PA      | $23672869.75   | 0.06%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19092999 | PA      | $16581287.78   | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3169231 | PA      | $2617499.60    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13735693 | PA      | $12349811.54   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46666813 | PA      | $44003185.54   | 0.11%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNUR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22442462 | PA      | $18284367.93   | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNUS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12987170 | PA      | $10581978.88   | 0.03%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNUT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5244804 | PA      | $4314982.84    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNUV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31029556 | PA      | $25457984.44   | 0.06%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNUX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9925285 | PA      | $8536773.12    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16479675 | PA      | $15407993.67   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13500462 | PA      | $13006383.67   | 0.03%             | 2051-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1543859 | PA      | $1535950.70    | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11639025 | PA      | $11765134.09   | 0.03%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9784384 | PA      | $9813070.52    | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XNVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3004066 | PA      | $3150051.14    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13975889 | PA      | $14010029.02   | 0.04%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPDN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16378450 | PA      | $15792623.55   | 0.04%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPDP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4904524 | PA      | $4770856.58    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32548896 | PA      | $30486189.55   | 0.08%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPJ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4513768 | PA      | $4698044.29    | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12134101 | PA      | $11234183.97   | 0.03%             | 2038-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPK40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6350508 | PA      | $5913487.62    | 0.02%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPNN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5797433 | PA      | $6042669.99    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPPZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8692325 | PA      | $8918599.02    | 0.02%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPSB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11365867 | PA      | $11772868.54   | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13164426 | PA      | $12194180.66   | 0.03%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPTH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18459167 | PA      | $17655217.64   | 0.04%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8383668 | PA      | $8712880.75    | 0.02%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XPU49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10944885 | PA      | $10353891.05   | 0.03%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQ5U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42102935 | PA      | $42944004.32   | 0.11%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQAG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15613376 | PA      | $13494498.74   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8888636 | PA      | $7656168.41    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4914856 | PA      | $5088691.57    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9241065 | PA      | $9184106.37    | 0.02%             | 2051-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20529431 | PA      | $16879055.25   | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQLA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11464511 | PA      | $11059451.67   | 0.03%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4069353 | PA      | $3887306.59    | 0.01%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQQF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2506158 | PA      | $2579289.26    | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   82713239 | PA      | $70786258.87   | 0.18%             | 2053-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQQJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17208654 | PA      | $14737888.30   | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQT80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7070846 | PA      | $7359195.60    | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32032560 | PA      | $33020981.10   | 0.08%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQYJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5321519 | PA      | $5142004.88    | 0.01%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4763690 | PA      | $4616410.84    | 0.01%             | 2037-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XQZQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11209304 | PA      | $11101765.70   | 0.03%             | 2054-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XR5E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25226166 | PA      | $26082937.68   | 0.07%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRB87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21983668 | PA      | $22526694.33   | 0.06%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRB95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22735976 | PA      | $22917793.17   | 0.06%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRCA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6052009 | PA      | $6112399.88    | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRCC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22950846 | PA      | $21622907.58   | 0.05%             | 2050-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRCK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31219276 | PA      | $28673778.61   | 0.07%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRD93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21522634 | PA      | $19781790.44   | 0.05%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XREB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20057732 | PA      | $16491229.82   | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XREC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  161900070 | PA      | $132999311.58  | 0.34%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRED3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5502754 | PA      | $4559051.67    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XREL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1764733 | PA      | $1702382.11    | 0.00%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XREQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13739090 | PA      | $11281731.46   | 0.03%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRFD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4032135 | PA      | $3825610.68    | 0.01%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRG82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9356337 | PA      | $9622259.18    | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRHE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1779171 | PA      | $1865503.89    | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRHM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15513041 | PA      | $15137642.37   | 0.04%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRHP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4904156 | PA      | $4823890.39    | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRHQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9628165 | PA      | $9377692.57    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRP74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11332127 | PA      | $11628376.60   | 0.03%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRPU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   83673906 | PA      | $84989535.53   | 0.22%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRRJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3488284 | PA      | $3233877.58    | 0.01%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRS97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11442502 | PA      | $11754482.97   | 0.03%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XRYF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21593147 | PA      | $19623040.77   | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   74594508 | PA      | $67215930.11   | 0.17%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6199272 | PA      | $5880040.10    | 0.01%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTB59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11919160 | PA      | $10165132.35   | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41520685 | PA      | $35403173.25   | 0.09%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTC90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11075753 | PA      | $10237124.81   | 0.03%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTCF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11882379 | PA      | $10183708.27   | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36846391 | PA      | $31601773.97   | 0.08%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140XTDN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9979171 | PA      | $9038605.57    | 0.02%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Y66Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9809491 | PA      | $10069335.68   | 0.03%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Y6D64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17647002 | PA      | $18507533.71   | 0.05%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Y6DT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25982073 | PA      | $27193694.31   | 0.07%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Y6EA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6910805 | PA      | $7116674.66    | 0.02%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Y6JJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7447210 | PA      | $7705751.32    | 0.02%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Y6M23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13678250 | PA      | $13945400.17   | 0.04%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Y6ZQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14208509 | PA      | $14822339.18   | 0.04%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 3140Y7E95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23472207 | PA      | $24545108.54   | 0.06%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410BFW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22889 | PA      | $23512.44      | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410D4G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9812 | PA      | $10497.82      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        902 | PA      | $964.97        | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410EPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        745 | PA      | $796.62        | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F2L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        292 | PA      | $295.09        | 0.00%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F2R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3778 | PA      | $3943.60       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25747 | PA      | $26870.51      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F5M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14012 | PA      | $14631.32      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410F6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     254875 | PA      | $278494.91     | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2577 | PA      | $2723.19       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FG82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        618 | PA      | $674.32        | 0.00%             | 2036-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FGC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18524 | PA      | $19572.77      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FST3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7962 | PA      | $8310.23       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FUP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $189.55        | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FVM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6658 | PA      | $6832.05       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2166 | PA      | $2253.46       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FYE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37885 | PA      | $39485.54      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410FZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13726 | PA      | $14503.16      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G3H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2102 | PA      | $2123.45       | 0.00%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G3J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2172 | PA      | $2195.80       | 0.00%             | 2037-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1493 | PA      | $1581.75       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G4H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6647 | PA      | $6927.42       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G4T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385777 | PA      | $403163.30     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410G5A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        334 | PA      | $358.65        | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        494 | PA      | $506.87        | 0.00%             | 2036-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GAN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4373 | PA      | $4635.05       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        377 | PA      | $385.54        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23130 | PA      | $24746.43      | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GEK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6049 | PA      | $6304.21       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        787 | PA      | $820.76        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GGA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $145.79        | 0.00%             | 2037-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319531 | PA      | $343179.27     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22363 | PA      | $23129.30      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GJA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1725 | PA      | $1794.76       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     547317 | PA      | $587823.48     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GLY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1583 | PA      | $1667.61       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GN90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23263 | PA      | $24279.19      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GNL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3201 | PA      | $3336.53       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40024 | PA      | $42820.91      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     681286 | PA      | $710064.78     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1376 | PA      | $1437.18       | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GTY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1782 | PA      | $1888.59       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GV91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4431 | PA      | $4552.25       | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GW90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32255 | PA      | $34509.03      | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GWH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3363 | PA      | $3511.79       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1392 | PA      | $1475.12       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GYP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15358 | PA      | $15884.12      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410GZ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5309 | PA      | $5618.84       | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5584 | PA      | $5899.92       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KCW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1717 | PA      | $1819.53       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1397 | PA      | $1480.95       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KDT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        647 | PA      | $686.02        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15679 | PA      | $16619.87      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2169 | PA      | $2266.88       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105193 | PA      | $111493.73     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10388 | PA      | $11157.34      | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KH49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4751 | PA      | $5035.27       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231170 | PA      | $245016.74     | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1115 | PA      | $1144.16       | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13487 | PA      | $13819.78      | 0.00%             | 2036-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2969 | PA      | $3102.31       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51243 | PA      | $53552.75      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52215 | PA      | $54526.32      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     475762 | PA      | $504327.76     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KLD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5322 | PA      | $5561.72       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1355 | PA      | $1412.35       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KLW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12080 | PA      | $12564.93      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        506 | PA      | $528.78        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        248 | PA      | $259.50        | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1948 | PA      | $2065.48       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        523 | PA      | $546.22        | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KNN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4329 | PA      | $4588.10       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KPC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        304 | PA      | $317.92        | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KQJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1831 | PA      | $1879.07       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KTH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        428 | PA      | $443.06        | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KWX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2286 | PA      | $2389.50       | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5000 | PA      | $5283.31       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42689 | PA      | $44579.17      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410KYB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5216 | PA      | $5394.61       | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4412 | PA      | $4661.28       | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3182 | PA      | $3321.46       | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4370 | PA      | $4401.58       | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24223 | PA      | $25295.43      | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2505 | PA      | $2654.99       | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7599 | PA      | $7276.09       | 0.00%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5590 | PA      | $5166.71       | 0.00%             | 2043-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227112 | PA      | $223854.77     | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LNM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56488 | PA      | $58955.87      | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186692 | PA      | $191890.12     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LNY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17386 | PA      | $17870.01      | 0.00%             | 2043-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     858072 | PA      | $780523.28     | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LSR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     649641 | PA      | $652844.57     | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     194146 | PA      | $190587.26     | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27289 | PA      | $26637.77      | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135067 | PA      | $126993.46     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410LVR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138706 | PA      | $135465.38     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410PPP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        993 | PA      | $1063.08       | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410Q5Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        311 | PA      | $328.20        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410Q6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1240 | PA      | $1294.39       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410QKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1051 | PA      | $1110.01       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410QNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2952 | PA      | $3080.59       | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410QUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3619 | PA      | $3873.21       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410TWW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4196 | PA      | $4433.01       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410UYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3532 | PA      | $3779.56       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410VSV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         82 | PA      | $85.46         | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $232.66        | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12604 | PA      | $13162.44      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         45 | PA      | $48.62         | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WRE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1348 | PA      | $1428.26       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410WS74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1684 | PA      | $1758.35       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410Y7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        411 | PA      | $439.33        | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31410YQ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4438 | PA      | $4686.92       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411AJE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        287 | PA      | $307.00        | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411AWZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        699 | PA      | $738.07        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411BGA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1806 | PA      | $1932.75       | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411BLM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        911 | PA      | $962.22        | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411CC58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5544 | PA      | $5857.46       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411CCQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        186 | PA      | $196.05        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411CJ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        477 | PA      | $504.25        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411DKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        585 | PA      | $620.64        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411DS67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        373 | PA      | $389.09        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411DS75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14586 | PA      | $15223.52      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411E2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1643 | PA      | $1714.86       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411E4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2178 | PA      | $2301.03       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411EC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        118 | PA      | $126.40        | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411ENX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        415 | PA      | $444.44        | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411FCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        435 | PA      | $446.62        | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411GGS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6491 | PA      | $6775.89       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411HWP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23101 | PA      | $24715.65      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411HXC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2693 | PA      | $2810.61       | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JJH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1772 | PA      | $1849.72       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1308 | PA      | $1344.29       | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JPJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8117 | PA      | $8475.66       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JPQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47545 | PA      | $50236.58      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JX50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2215 | PA      | $2340.34       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411JZT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2719 | PA      | $2839.20       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411LQV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8707 | PA      | $8943.96       | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411NLG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5466 | PA      | $5846.77       | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411NUW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        374 | PA      | $396.25        | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411NWR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        428 | PA      | $457.30        | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411UKQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        506 | PA      | $528.83        | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411VHL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1133 | PA      | $1200.56       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411W2G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2927 | PA      | $3216.06       | 0.00%             | 2037-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411W4M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1096 | PA      | $1144.38       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411W4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12206 | PA      | $12938.64      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WFR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2461 | PA      | $2569.52       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27374 | PA      | $28584.33      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        819 | PA      | $855.20        | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WVZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2397 | PA      | $2503.39       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        821 | PA      | $857.52        | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411WZP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        149 | PA      | $155.42        | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411XD51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2149 | PA      | $2364.12       | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411XZL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        910 | PA      | $950.78        | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411Y5A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1685 | PA      | $1786.57       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411YGE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4884 | PA      | $5017.94       | 0.00%             | 2037-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411YP56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3358 | PA      | $3505.99       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411YQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1545 | PA      | $1613.67       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31411YVG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3917 | PA      | $4090.41       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412APN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31336 | PA      | $33748.34      | 0.00%             | 2038-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412BFS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        108 | PA      | $112.35        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412DLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14215 | PA      | $14836.07      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412E3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5292 | PA      | $5821.18       | 0.00%             | 2037-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412GWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1124 | PA      | $1173.43       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412HN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1980 | PA      | $2034.75       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412HYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4701 | PA      | $5063.06       | 0.00%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412JBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6289 | PA      | $6460.17       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412K7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3522 | PA      | $3721.15       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412L7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4066 | PA      | $4246.50       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        347 | PA      | $366.25        | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LKH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1011 | PA      | $1055.63       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51602 | PA      | $53889.88      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LM98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19628 | PA      | $20497.89      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LMW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1272 | PA      | $1285.59       | 0.00%             | 2036-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LQ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        785 | PA      | $819.37        | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LWT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5360 | PA      | $5756.46       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LY87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        258 | PA      | $277.48        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412LY95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2792 | PA      | $2998.13       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MAJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1531 | PA      | $1622.51       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2387 | PA      | $2530.37       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MBW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $120.02        | 0.00%             | 2037-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        792 | PA      | $827.17        | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MDX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $30.99         | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MJ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1506 | PA      | $1573.59       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1650 | PA      | $1724.62       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MNS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        132 | PA      | $135.51        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MPB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1236 | PA      | $1291.56       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93691 | PA      | $97933.38      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412MYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        459 | PA      | $479.91        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NA89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        120 | PA      | $125.66        | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16740 | PA      | $17446.65      | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1809 | PA      | $1890.93       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NJC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1114 | PA      | $1181.28       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NMV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        646 | PA      | $675.06        | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412NUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135926 | PA      | $139694.50     | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412PE23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21457 | PA      | $21645.86      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412PHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1088303 | PA      | $1117935.62    | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412PQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     468885 | PA      | $481652.29     | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412Q7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142378 | PA      | $143631.54     | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        858 | PA      | $897.71        | 0.00%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QHQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13080 | PA      | $13195.07      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27921 | PA      | $28689.76      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412QZ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3927 | PA      | $3961.11       | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412RD79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144571 | PA      | $149165.20     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412RL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14395 | PA      | $14172.92      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412RLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $31.79         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412S3D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38293 | PA      | $40019.25      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412S3P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11746 | PA      | $12073.09      | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412S5S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        665 | PA      | $705.02        | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SAQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        785 | PA      | $832.24        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SEU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        166 | PA      | $173.39        | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SFG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1904 | PA      | $2018.17       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2011 | PA      | $2101.29       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412SZB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        143 | PA      | $143.82        | 0.00%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412THM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        901 | PA      | $941.54        | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412TSQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2382 | PA      | $2524.64       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412TYJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1584 | PA      | $1654.97       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412TYZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2329 | PA      | $2432.80       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412U2N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1391 | PA      | $1369.78       | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412UH52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4287 | PA      | $4404.64       | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412UQ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8416 | PA      | $8490.21       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412V4G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        770 | PA      | $803.89        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412V5H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10396 | PA      | $11020.04      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412V6B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        151 | PA      | $157.77        | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412WJN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        524 | PA      | $562.91        | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412WRH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1010 | PA      | $1037.32       | 0.00%             | 2037-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412WZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        360 | PA      | $387.14        | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1439 | PA      | $1502.39       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XFM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        264 | PA      | $275.81        | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XX25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        955 | PA      | $996.83        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6129 | PA      | $6497.04       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412XYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        217 | PA      | $229.82        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31412YCG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        399 | PA      | $416.22        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413AJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2785 | PA      | $2989.39       | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413AKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4354 | PA      | $4546.99       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413AWR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        833 | PA      | $870.38        | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413B4V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1264 | PA      | $1320.25       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413B6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        990 | PA      | $1049.85       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413BTV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8904 | PA      | $9298.51       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413BWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1655 | PA      | $1754.16       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413BYC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        552 | PA      | $585.32        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413BZN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1039 | PA      | $1115.46       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413CF53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7921 | PA      | $8396.57       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413CFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        543 | PA      | $567.25        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DBU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2204 | PA      | $2301.23       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DBW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         65 | PA      | $69.99         | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        578 | PA      | $603.74        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        298 | PA      | $316.18        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413DZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1001 | PA      | $1045.28       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413EB20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         90 | PA      | $96.59         | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413ESY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1126 | PA      | $1176.40       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413EX91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        630 | PA      | $658.41        | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413EZA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        410 | PA      | $428.27        | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413F4U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        323 | PA      | $337.51        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413F4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        265 | PA      | $277.02        | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413F4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        246 | PA      | $260.72        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413F4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        765 | PA      | $811.27        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413FAJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        470 | PA      | $516.96        | 0.00%             | 2037-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413FGG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2607 | PA      | $2722.21       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413FL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        443 | PA      | $469.62        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413HA65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1540 | PA      | $1608.07       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413HJU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        256 | PA      | $267.84        | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413HLT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        382 | PA      | $420.68        | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413HYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         81 | PA      | $87.10         | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413JLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1674 | PA      | $1774.01       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413KZK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2741 | PA      | $2862.87       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413LKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2718 | PA      | $2919.36       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413LLL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        424 | PA      | $449.21        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413LNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        511 | PA      | $541.17        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413NGJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7272 | PA      | $7729.20       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413NX26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14609 | PA      | $15690.07      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413NYL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        423 | PA      | $453.49        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413QKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2494 | PA      | $2644.27       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413QX29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2713 | PA      | $2875.54       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413R2L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1968 | PA      | $2086.98       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413SNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        177 | PA      | $187.42        | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413TK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        995 | PA      | $1094.75       | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413TKM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1881 | PA      | $2016.26       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413TVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        397 | PA      | $425.68        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413TWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        491 | PA      | $512.90        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413UJN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        230 | PA      | $244.03        | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413VTW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $195.21        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413Y6V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9503 | PA      | $10073.88      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31413YRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6701 | PA      | $7197.46       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414AEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3920 | PA      | $4153.27       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414AG48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1419 | PA      | $1504.57       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414ANH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        569 | PA      | $594.37        | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414APL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2321 | PA      | $2423.51       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414AV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2603 | PA      | $2759.69       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414AWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1889 | PA      | $1978.72       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414BUX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        216 | PA      | $221.77        | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414BX54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2847 | PA      | $2926.30       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414C3P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        116 | PA      | $119.22        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CCS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        796 | PA      | $818.30        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CFV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11365 | PA      | $11681.38      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CJK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6805 | PA      | $7110.61       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CJS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11336 | PA      | $11846.59      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58785 | PA      | $61434.55      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4573 | PA      | $4700.81       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414CS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3484 | PA      | $3640.64       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414D4X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1017 | PA      | $1045.00       | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414DFP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1382 | PA      | $1420.34       | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414DZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        670 | PA      | $710.08        | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414E3F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2943 | PA      | $3118.90       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22406 | PA      | $23415.77      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        399 | PA      | $416.55        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5112 | PA      | $5157.42       | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EJ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29228 | PA      | $30545.45      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414EMF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2508 | PA      | $2620.84       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FFS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1062 | PA      | $1122.47       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FJX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1355 | PA      | $1436.16       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FQ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1190 | PA      | $1281.61       | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FRC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        554 | PA      | $587.39        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414FYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1183 | PA      | $1273.81       | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414GEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47947 | PA      | $50825.96      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414GG60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1456 | PA      | $1543.37       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414GGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1246 | PA      | $1321.06       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414GSG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        761 | PA      | $817.58        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414H2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2042 | PA      | $2165.04       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1971 | PA      | $2089.06       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HA49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2639 | PA      | $2797.10       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HBA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6247 | PA      | $6621.79       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2640 | PA      | $2797.63       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1893 | PA      | $1976.78       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HHX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        183 | PA      | $196.73        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414HZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $166.36        | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414J6J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1426 | PA      | $1488.83       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414JBX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11116 | PA      | $11608.35      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414JCA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1478 | PA      | $1566.33       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414JRL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4222 | PA      | $4475.67       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414K6M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2674 | PA      | $2791.94       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414KD98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3676 | PA      | $3839.24       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414L4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2669 | PA      | $2742.36       | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414L4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10102 | PA      | $10379.84      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414L5U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        158 | PA      | $162.54        | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414LKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4161 | PA      | $4411.27       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414LYX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4103 | PA      | $4403.95       | 0.00%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414MHD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        559 | PA      | $574.33        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414MNP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2469 | PA      | $2651.08       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414MPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22189 | PA      | $23524.98      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        814 | PA      | $850.99        | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        753 | PA      | $787.32        | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        720 | PA      | $751.94        | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1621 | PA      | $1635.11       | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     497823 | PA      | $502289.02     | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414NHR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1592 | PA      | $1606.54       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414P7J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4554 | PA      | $4680.34       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414PU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1063 | PA      | $1141.36       | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414PZJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        483 | PA      | $495.97        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414QPG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        422 | PA      | $433.32        | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414QS65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        978 | PA      | $1005.35       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414QWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4810 | PA      | $5099.25       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414R4E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1342 | PA      | $1393.79       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414R6U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33846 | PA      | $34788.35      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414R6W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        416 | PA      | $427.55        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414RN76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14521 | PA      | $15177.87      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414RWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        229 | PA      | $242.99        | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414SEE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24140 | PA      | $25228.46      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414SLH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1047 | PA      | $1075.71       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414STW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13220 | PA      | $13588.29      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414SX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        695 | PA      | $726.52        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414TCL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        586 | PA      | $602.73        | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414TNE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44439 | PA      | $47091.60      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414TQ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4156 | PA      | $4271.89       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414U3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5029 | PA      | $5254.58       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414U6N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18568 | PA      | $19381.27      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414UW46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        724 | PA      | $753.29        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31414UZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3982 | PA      | $4150.37       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415ALT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1882 | PA      | $1966.51       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415AVN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10787 | PA      | $11609.90      | 0.00%             | 2038-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415BN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        267 | PA      | $269.25        | 0.00%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415BPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        247 | PA      | $254.33        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415L4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        919 | PA      | $960.82        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LGH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3402 | PA      | $3663.96       | 0.00%             | 2038-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3398 | PA      | $3550.67       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2078 | PA      | $2171.68       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LLQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2821 | PA      | $2990.27       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        924 | PA      | $978.75        | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2362 | PA      | $2427.25       | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415LWX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58332 | PA      | $59956.06      | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415P3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9837 | PA      | $10174.01      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415P3Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13268 | PA      | $13723.24      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415P4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23298 | PA      | $24314.43      | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1641 | PA      | $1686.85       | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29265 | PA      | $30583.74      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PYM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1378 | PA      | $1439.91       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PYX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24387 | PA      | $25486.05      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415PZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        363 | PA      | $378.86        | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415QCB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1348 | PA      | $1428.91       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415QPB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        700 | PA      | $731.88        | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RE91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3620 | PA      | $3782.67       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244406 | PA      | $255420.51     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RGM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3327 | PA      | $3477.27       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RL69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1210 | PA      | $1264.53       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415RNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        436 | PA      | $448.13        | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415SSQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1130 | PA      | $1181.22       | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415STQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22629 | PA      | $23985.68      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415TFU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3351 | PA      | $3551.50       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415TK33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6892 | PA      | $7305.06       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415VNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1312 | PA      | $1413.10       | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415VS55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        608 | PA      | $644.17        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415WPB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113275 | PA      | $118367.19     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415WVU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2439 | PA      | $2680.12       | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415WZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1008 | PA      | $1068.56       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415XBD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1576 | PA      | $1670.40       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415XKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2141 | PA      | $2200.82       | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415Y4Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11168 | PA      | $11838.06      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415YE62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3791 | PA      | $3896.13       | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415YGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1390 | PA      | $1402.97       | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415YKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1755 | PA      | $1770.96       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31415YQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8696 | PA      | $8561.42       | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416A4W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1941 | PA      | $2028.03       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416ALB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1326 | PA      | $1386.12       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416ATD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2946 | PA      | $3078.31       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416B2Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1458 | PA      | $1566.31       | 0.00%             | 2039-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416B3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1615 | PA      | $1734.31       | 0.00%             | 2039-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416B6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5604 | PA      | $5525.37       | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2329 | PA      | $2389.93       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11498 | PA      | $11983.26      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6940 | PA      | $7333.15       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387818 | PA      | $404200.27     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398519 | PA      | $408961.66     | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1122692 | PA      | $1161187.46    | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4623 | PA      | $4808.23       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BRM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25184 | PA      | $25843.82      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1203 | PA      | $1287.21       | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2171 | PA      | $2190.47       | 0.00%             | 2038-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BSA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3881 | PA      | $4086.75       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381943 | PA      | $399156.27     | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BSV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3452 | PA      | $3707.64       | 0.00%             | 2038-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BTN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1223 | PA      | $1277.17       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BW46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8028 | PA      | $8509.48       | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416BXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11146 | PA      | $11246.25      | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11986 | PA      | $12092.07      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CCK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1710 | PA      | $1812.66       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CCW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1281246 | PA      | $1316257.01    | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CE85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74176 | PA      | $77519.04      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CKR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13878 | PA      | $14196.09      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CL46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4620 | PA      | $4748.53       | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CL79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        372 | PA      | $382.28        | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416CLS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44147 | PA      | $46101.10      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416HAF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        284 | PA      | $296.30        | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416HJJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9593 | PA      | $9860.08       | 0.00%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416J5H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3625 | PA      | $3657.08       | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416JAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15101 | PA      | $15473.75      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416JFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6562 | PA      | $6857.45       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416JMP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        885 | PA      | $894.94        | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KBN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1405 | PA      | $1417.40       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KCR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27713 | PA      | $28472.35      | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1384 | PA      | $1422.31       | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KLV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1043 | PA      | $1071.70       | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416KY85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1470 | PA      | $1510.68       | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416LYE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7512 | PA      | $7577.85       | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416LYL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7365 | PA      | $7430.05       | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416LZ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2430 | PA      | $2450.95       | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3369 | PA      | $3398.33       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M3Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246075 | PA      | $252801.18     | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16539 | PA      | $16685.25      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M4S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5219 | PA      | $5137.89       | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1740 | PA      | $1755.32       | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9045 | PA      | $8904.54       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M5Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     942322 | PA      | $950629.31     | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M6W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4281 | PA      | $4398.21       | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416M7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        392 | PA      | $402.89        | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416MYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4679 | PA      | $4606.06       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416NCW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49242 | PA      | $49674.37      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416NFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7287 | PA      | $7173.59       | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416NR95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10160 | PA      | $10001.95      | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416NSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        319 | PA      | $327.62        | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416PE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304784 | PA      | $300053.86     | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416PNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     544171 | PA      | $548951.87     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QEY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3712 | PA      | $3738.73       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6849 | PA      | $7036.99       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3101 | PA      | $3186.34       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QRP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3408 | PA      | $3438.27       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10649 | PA      | $10742.80      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416QX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41339 | PA      | $41703.21      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RBG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13512 | PA      | $13630.77      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86610 | PA      | $87371.09      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31155 | PA      | $31429.16      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RRG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11289 | PA      | $11388.60      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416RZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94374 | PA      | $95215.44      | 0.00%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416S6J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6178 | PA      | $6232.07       | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416SCJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1982 | PA      | $2036.22       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416SVT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2205 | PA      | $2264.58       | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416T5G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23576 | PA      | $23210.33      | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11076 | PA      | $11173.46      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16226 | PA      | $16368.53      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TL56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237331 | PA      | $243818.28     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19535 | PA      | $19707.53      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TUR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10693 | PA      | $11174.49      | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416TYS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18975 | PA      | $19493.22      | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VB37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13245 | PA      | $13613.97      | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     425120 | PA      | $434888.78     | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13252 | PA      | $13556.07      | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3945 | PA      | $4117.13       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VSZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11986 | PA      | $12517.44      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416VXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10457 | PA      | $10364.52      | 0.00%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WE73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5951517 | PA      | $6113195.91    | 0.02%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40176 | PA      | $40468.09      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WL91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4192 | PA      | $4305.53       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WPV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66777 | PA      | $67264.06      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1058070 | PA      | $1065782.58    | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14748 | PA      | $14520.09      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416WUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26788 | PA      | $27516.23      | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $24.79         | 0.00%             | 2025-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $31.31         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XEP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        480 | PA      | $479.60        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        187 | PA      | $186.80        | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     916438 | PA      | $902219.03     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XJX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5832466 | PA      | $5742453.34    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5658 | PA      | $5570.83       | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XLG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1921 | PA      | $1920.55       | 0.00%             | 2026-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XLJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $110.94        | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XXF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     289307 | PA      | $290860.97     | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XYQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        509 | PA      | $507.57        | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416XYX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21569 | PA      | $20573.83      | 0.00%             | 2041-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416Y4B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10920 | PA      | $10980.28      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416Y5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     389458 | PA      | $387445.88     | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $83.47         | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4142921 | PA      | $4165862.18    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YK23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        418 | PA      | $416.91        | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YLG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33524 | PA      | $33018.70      | 0.00%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YLN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4053886 | PA      | $4076333.91    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2153 | PA      | $2164.63       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YUC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72788 | PA      | $73191.49      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        937 | PA      | $942.08        | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13083 | PA      | $13155.84      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YYD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         97 | PA      | $96.77         | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31416YYV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14118 | PA      | $14196.06      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417A6N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1347277 | PA      | $1345335.64    | 0.00%             | 2032-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417ABM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4724 | PA      | $4750.27       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417ACZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5474 | PA      | $5391.02       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AEV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142854 | PA      | $140700.99     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54821 | PA      | $54420.83      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129661 | PA      | $123673.01     | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5732 | PA      | $5645.51       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1628 | PA      | $1603.80       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AKN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20166 | PA      | $20008.98      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8582 | PA      | $8452.19       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AMD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1249 | PA      | $1236.45       | 0.00%             | 2026-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150711 | PA      | $148444.23     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417AX53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     550230 | PA      | $524835.09     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417B7C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10965 | PA      | $10750.58      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5207 | PA      | $5128.07       | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70389 | PA      | $67140.34      | 0.00%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BFK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42595 | PA      | $42119.59      | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31029 | PA      | $30675.52      | 0.00%             | 2027-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        940 | PA      | $931.89        | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BKV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12716 | PA      | $12141.66      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417BXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     577211 | PA      | $551129.71     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CHH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181680 | PA      | $179862.62     | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CKZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        470 | PA      | $463.66        | 0.00%             | 2027-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175987 | PA      | $169168.77     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CSN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     708131 | PA      | $658311.92     | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417CVK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187119 | PA      | $178666.74     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417D2G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     618147 | PA      | $574685.96     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417D4G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260891 | PA      | $242621.93     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DAJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126410 | PA      | $117522.64     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469094 | PA      | $462460.79     | 0.00%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1441736 | PA      | $1340300.98    | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DCZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200916 | PA      | $186813.90     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DG72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279004 | PA      | $266401.23     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DLN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166942 | PA      | $159401.23     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337694 | PA      | $313976.74     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DQW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     472483 | PA      | $439318.96     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DRY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207025 | PA      | $199004.02     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417DUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225163 | PA      | $222724.90     | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417ECN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7550 | PA      | $7019.66       | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15332517 | PA      | $14254506.13   | 0.04%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EM65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5867543 | PA      | $5455705.41    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EMR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216993 | PA      | $201761.72     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EMZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519366 | PA      | $482825.08     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EN98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136416 | PA      | $130253.02     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417ES77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4852733 | PA      | $4511543.26    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EVX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8381 | PA      | $8242.47       | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417EWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2311860 | PA      | $2149589.65    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417F2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152312 | PA      | $150603.27     | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417F3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383336 | PA      | $354310.47     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FMN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1095735 | PA      | $987061.60     | 0.00%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FNL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3858 | PA      | $3798.33       | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114190 | PA      | $112476.19     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FQW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238394 | PA      | $220343.26     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     428574 | PA      | $396169.05     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417FX29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326467 | PA      | $321368.59     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417G2X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1364118 | PA      | $1309820.71    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294115 | PA      | $272341.74     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39696 | PA      | $36731.30      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GEJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3542991 | PA      | $3196294.45    | 0.01%             | 2043-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GEQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     608173 | PA      | $562123.50     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1197366 | PA      | $1107222.14    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     437608 | PA      | $430568.97     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286904 | PA      | $265664.54     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GHD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3448 | PA      | $3412.91       | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     750962 | PA      | $695763.02     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     557504 | PA      | $515532.10     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GHW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211110 | PA      | $195147.88     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GL53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20406 | PA      | $18856.33      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1665457 | PA      | $1539362.64    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70275 | PA      | $64961.15      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326186 | PA      | $312141.24     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GNV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     487594 | PA      | $473642.42     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GQP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158226 | PA      | $146245.82     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401392 | PA      | $371173.33     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141755 | PA      | $135585.14     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GWZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     610273 | PA      | $563945.96     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34485 | PA      | $33916.40      | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GY34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49091 | PA      | $48258.25      | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GYZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459677 | PA      | $451885.41     | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95240 | PA      | $91094.91      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417GZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1259154 | PA      | $1135940.82    | 0.00%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417J5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42150 | PA      | $43294.39      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JM64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9604 | PA      | $9688.97       | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1104 | PA      | $1133.81       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JN97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2698 | PA      | $2771.24       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JRZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     271239 | PA      | $278671.87     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417JU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142083 | PA      | $145967.48     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KGA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16351 | PA      | $16494.28      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KLV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2076560 | PA      | $2133323.34    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        979 | PA      | $963.68        | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KSP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1655666 | PA      | $1670260.89    | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KUQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91314 | PA      | $89897.37      | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KWH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1592 | PA      | $1635.38       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KWJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26864 | PA      | $27100.94      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KWQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17350 | PA      | $17502.61      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KXH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2971 | PA      | $2996.93       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10130 | PA      | $10219.55      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417KYN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147173 | PA      | $151170.49     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417L5L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3782 | PA      | $3885.85       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417L7L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9724 | PA      | $9809.35       | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LCP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17749 | PA      | $17904.98      | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LD36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19083 | PA      | $18787.33      | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97547 | PA      | $99786.59      | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LW84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4525 | PA      | $4668.71       | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417LYR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95742 | PA      | $94256.69      | 0.00%             | 2039-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1094 | PA      | $1077.23       | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3373 | PA      | $3403.10       | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MLN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10954 | PA      | $11253.25      | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MT78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17421 | PA      | $18224.79      | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417MVW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3449 | PA      | $3479.28       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417NBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3649516 | PA      | $3681687.61    | 0.01%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417NNL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1015 | PA      | $1042.41       | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417NZY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307329 | PA      | $315729.91     | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Q5R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7381 | PA      | $7266.26       | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417QK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15687 | PA      | $15825.50      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417QP81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3354 | PA      | $3384.02       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417QRZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4725 | PA      | $4766.19       | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417SAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22798 | PA      | $22998.80      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417TMA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150521 | PA      | $151846.24     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417TP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23446 | PA      | $24089.02      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417TT57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1262 | PA      | $1242.65       | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417TYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2916 | PA      | $2995.70       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417UAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11965 | PA      | $12070.09      | 0.00%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417UJ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5621 | PA      | $5768.07       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417UPU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17811 | PA      | $18297.64      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417V3S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22010 | PA      | $22204.33      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VGS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4413 | PA      | $4533.17       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17661 | PA      | $17816.30      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VN66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13086 | PA      | $13200.93      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     224084 | PA      | $230226.68     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VQ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5043 | PA      | $5181.48       | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209783 | PA      | $211629.21     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VWY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2505 | PA      | $2573.70       | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417VYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6691 | PA      | $6587.22       | 0.00%             | 2040-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1858 | PA      | $1829.99       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4464 | PA      | $4496.65       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WSR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     929674 | PA      | $937869.51     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32633 | PA      | $33525.22      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21395 | PA      | $21583.89      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417WTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26667 | PA      | $26901.35      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Y2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        629 | PA      | $626.63        | 0.00%             | 2026-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Y3H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1718 | PA      | $1712.03       | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Y5E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     751721 | PA      | $758349.84     | 0.00%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417Y6Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     518269 | PA      | $517484.99     | 0.00%             | 2031-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3172 | PA      | $3317.93       | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23691 | PA      | $24340.13      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YQZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11391 | PA      | $11918.94      | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YRU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36016 | PA      | $37685.79      | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24962 | PA      | $25639.95      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YS32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5446 | PA      | $5485.68       | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11378 | PA      | $11202.18      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77831 | PA      | $76628.46      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YV95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89685 | PA      | $88299.77      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YW78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        395 | PA      | $393.19        | 0.00%             | 2026-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149182 | PA      | $148932.23     | 0.00%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YYT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $181.62        | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31417YZA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223819 | PA      | $229874.82     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418A2K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66524 | PA      | $65313.98      | 0.00%             | 2028-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418A6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269007 | PA      | $257297.64     | 0.00%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AA57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19292 | PA      | $19399.00      | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19742 | PA      | $19851.45      | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AAU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56403 | PA      | $55553.43      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ABT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     526678 | PA      | $520285.79     | 0.00%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ABY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3496 | PA      | $3475.92       | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ABZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96974 | PA      | $92498.42      | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ACD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3777 | PA      | $3797.98       | 0.00%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ACH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21604 | PA      | $21278.50      | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ACU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1671 | PA      | $1660.59       | 0.00%             | 2027-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AD96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55652 | PA      | $53138.16      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ADH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101534 | PA      | $96947.83      | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AEH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4026 | PA      | $3989.02       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3560 | PA      | $3579.34       | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AES3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17933 | PA      | $16672.31      | 0.00%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13376 | PA      | $13249.82      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2430 | PA      | $2442.49       | 0.00%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8757025 | PA      | $8361456.23    | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     177681 | PA      | $169655.29     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121081 | PA      | $112567.74     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        777 | PA      | $765.65        | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418APA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     666229 | PA      | $600152.91     | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AUN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34092 | PA      | $33516.07      | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AUP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205697 | PA      | $190121.94     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AUT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     829971 | PA      | $748755.17     | 0.00%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401965 | PA      | $371529.15     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418AXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75241 | PA      | $75481.93      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418B4V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19918 | PA      | $19780.28      | 0.00%             | 2026-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418B5A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10415 | PA      | $9140.78       | 0.00%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418B6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1905188 | PA      | $1733005.75    | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BCZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15794 | PA      | $14971.67      | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3342 | PA      | $3347.15       | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BDN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122067 | PA      | $122254.74     | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BEV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5635 | PA      | $5517.66       | 0.00%             | 2029-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10438 | PA      | $10454.36      | 0.00%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BJL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5675 | PA      | $5684.22       | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5114 | PA      | $4993.37       | 0.00%             | 2029-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BKN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2950 | PA      | $2954.82       | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BL79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29218 | PA      | $28750.28      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70545 | PA      | $68905.77      | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39293 | PA      | $38645.21      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27867 | PA      | $27404.31      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339803 | PA      | $331125.63     | 0.00%             | 2030-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BRZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7677 | PA      | $7542.96       | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158844 | PA      | $156075.87     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BSX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2499235 | PA      | $2435455.24    | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7768 | PA      | $7330.18       | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3901277 | PA      | $3801318.16    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200749 | PA      | $195394.28     | 0.00%             | 2030-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9973 | PA      | $9787.16       | 0.00%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BXN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10935 | PA      | $10654.40      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BXT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44395 | PA      | $43164.22      | 0.00%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BYG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4956 | PA      | $4817.60       | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     413466 | PA      | $378670.14     | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BZD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6893 | PA      | $6716.44       | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418BZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4502 | PA      | $4122.69       | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     595332 | PA      | $604709.61     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C2J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7930192 | PA      | $7995435.86    | 0.02%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     452369 | PA      | $437108.78     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8051 | PA      | $8160.52       | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36134 | PA      | $36067.94      | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15552496 | PA      | $15027854.31   | 0.04%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C5Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192865 | PA      | $195026.90     | 0.00%             | 2033-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C5R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193401 | PA      | $190933.53     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C5Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5012429 | PA      | $4843341.91    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C6L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1002114 | PA      | $941478.90     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266036 | PA      | $262375.49     | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C7K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2004217 | PA      | $1882947.53    | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418C7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20843 | PA      | $21560.92      | 0.00%             | 2049-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CA87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160670 | PA      | $141016.25     | 0.00%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5506135 | PA      | $5008516.39    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5811 | PA      | $5695.32       | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CB52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83579 | PA      | $78809.31      | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2676981 | PA      | $2435047.59    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CCA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80844 | PA      | $70955.03      | 0.00%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CCE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18747 | PA      | $18385.04      | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1045054 | PA      | $950606.80     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CCM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1723134 | PA      | $1669795.92    | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CD76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66922 | PA      | $66679.33      | 0.00%             | 2046-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CDK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5130 | PA      | $4502.38       | 0.00%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2915260 | PA      | $2651792.53    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CDM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70409 | PA      | $66390.38      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     323669 | PA      | $314225.01     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     703857 | PA      | $681456.81     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30331333 | PA      | $27590127.32   | 0.07%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347983 | PA      | $328120.54     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6391 | PA      | $6367.52       | 0.00%             | 2046-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1799805 | PA      | $1637147.23    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3942796 | PA      | $3770019.74    | 0.01%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CFN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21345 | PA      | $21267.78      | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CFU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441132 | PA      | $415955.02     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335157 | PA      | $304867.09     | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CG73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     551525 | PA      | $532588.33     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CGA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187004 | PA      | $180898.77     | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2481519 | PA      | $2257251.18    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CGE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278412 | PA      | $262521.22     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4015656 | PA      | $3610883.51    | 0.01%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45266 | PA      | $46180.82      | 0.00%             | 2047-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10936623 | PA      | $9948222.10    | 0.03%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198696 | PA      | $186818.86     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6003 | PA      | $5864.85       | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111926 | PA      | $110624.84     | 0.00%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CK78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3409 | PA      | $3407.43       | 0.00%             | 2032-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143397 | PA      | $134825.57     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CKV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327394 | PA      | $297385.04     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CKW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213974 | PA      | $213214.51     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CL28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23251 | PA      | $23640.53      | 0.00%             | 2047-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68272 | PA      | $64971.63      | 0.00%             | 2032-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CLG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493291 | PA      | $463804.68     | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CM35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38008 | PA      | $38649.14      | 0.00%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CML5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246934 | PA      | $243655.14     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CMM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3384 | PA      | $3383.02       | 0.00%             | 2032-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CN42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88929 | PA      | $90580.40      | 0.00%             | 2047-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CND2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13370691 | PA      | $12571989.25   | 0.03%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268476 | PA      | $261967.97     | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CNT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98178 | PA      | $97829.52      | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CP57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327954 | PA      | $297894.08     | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CPH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53477 | PA      | $54215.08      | 0.00%             | 2047-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     741435 | PA      | $723283.96     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CPQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135822 | PA      | $133959.33     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105893 | PA      | $99563.08      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4596440 | PA      | $4449829.94    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12399578 | PA      | $12289093.98   | 0.03%             | 2037-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     978437 | PA      | $942048.45     | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CQH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118626 | PA      | $115699.14     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     569015 | PA      | $535001.96     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     660557 | PA      | $639487.10     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     385421 | PA      | $362382.25     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136972 | PA      | $132602.85     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     952540 | PA      | $916772.40     | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88962 | PA      | $86745.79      | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CRZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77933 | PA      | $79164.90      | 0.00%             | 2047-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21075853 | PA      | $19816038.39   | 0.05%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CS96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2189816 | PA      | $2126900.89    | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65155 | PA      | $66246.07      | 0.00%             | 2047-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359209 | PA      | $345525.90     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     438617 | PA      | $427587.57     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350553 | PA      | $356752.77     | 0.00%             | 2048-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15097577 | PA      | $14616017.25   | 0.04%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CUE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1279679 | PA      | $1243113.49    | 0.00%             | 2038-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532074 | PA      | $518392.40     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2432292 | PA      | $2285121.71    | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     691029 | PA      | $667718.23     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CV43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410393 | PA      | $408290.56     | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CVE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274080 | PA      | $266646.03     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CWJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353022 | PA      | $357829.74     | 0.00%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CWS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4068309 | PA      | $3822148.45    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CWU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1376358 | PA      | $1369305.13    | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     834741 | PA      | $811641.72     | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62346 | PA      | $62228.05      | 0.00%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191951 | PA      | $194565.43     | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CXT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206217 | PA      | $203987.41     | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33363 | PA      | $34517.73      | 0.00%             | 2048-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226460 | PA      | $218820.40     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91970 | PA      | $91498.60      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56012 | PA      | $55909.12      | 0.00%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1081735 | PA      | $1079752.75    | 0.00%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2845391 | PA      | $2830810.89    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418CZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29624 | PA      | $29875.32      | 0.00%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   74999468 | PA      | $61558971.86   | 0.16%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49367977 | PA      | $42341070.27   | 0.11%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4904684 | PA      | $4395698.91    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7948704 | PA      | $7367767.69    | 0.02%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1092707 | PA      | $1035422.22    | 0.00%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23026 | PA      | $22168.20      | 0.00%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34463712 | PA      | $29547558.53   | 0.07%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1497969 | PA      | $1342053.19    | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1197360 | PA      | $1109665.88    | 0.00%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18086042 | PA      | $17132327.71   | 0.04%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48724134 | PA      | $39992325.59   | 0.10%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32086989 | PA      | $27499924.71   | 0.07%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1546219 | PA      | $1384802.34    | 0.00%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2538877 | PA      | $2358628.51    | 0.01%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1080004 | PA      | $1021392.33    | 0.00%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  155402370 | PA      | $127390325.19  | 0.32%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3522920 | PA      | $3018201.42    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9710796 | PA      | $8764744.93    | 0.02%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D5C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10564767 | PA      | $9787749.61    | 0.02%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   87479302 | PA      | $68011613.43   | 0.17%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  219856345 | PA      | $180149420.90  | 0.46%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40979636 | PA      | $35095905.12   | 0.09%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1172977 | PA      | $1050162.10    | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     652370 | PA      | $588663.94     | 0.00%             | 2036-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1121382 | PA      | $1038733.86    | 0.00%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4114183 | PA      | $3893435.43    | 0.01%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  259076747 | PA      | $212196040.44  | 0.54%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   63889165 | PA      | $54696354.36   | 0.14%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418D7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5605793 | PA      | $5191770.39    | 0.01%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423889 | PA      | $429311.13     | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1536684 | PA      | $1482391.04    | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163814 | PA      | $162974.18     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218763 | PA      | $222208.66     | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81414 | PA      | $84219.62      | 0.00%             | 2049-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1407681 | PA      | $1399004.89    | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299260 | PA      | $297415.68     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260153 | PA      | $258549.41     | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     653671 | PA      | $589012.77     | 0.00%             | 2049-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DEB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64242 | PA      | $61289.09      | 0.00%             | 2034-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129823 | PA      | $123731.28     | 0.00%             | 2034-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1135919 | PA      | $1101714.90    | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DEU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     546998 | PA      | $527671.73     | 0.00%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DFL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115651 | PA      | $115340.63     | 0.00%             | 2034-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1137575 | PA      | $1025050.81    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DHB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321986 | PA      | $321209.48     | 0.00%             | 2034-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4570968 | PA      | $4349150.92    | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DHK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4699249 | PA      | $4053210.78    | 0.01%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76051 | PA      | $76472.15      | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1772476 | PA      | $1528801.75    | 0.00%             | 2049-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2262232 | PA      | $2182303.64    | 0.01%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172752 | PA      | $171687.39     | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     945019 | PA      | $898128.33     | 0.00%             | 2035-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15077 | PA      | $14785.57      | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1532748 | PA      | $1322030.92    | 0.00%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11037 | PA      | $10319.10      | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DKV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260400 | PA      | $251199.24     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1729513 | PA      | $1674068.92    | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9203893 | PA      | $8293482.34    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DMF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199402 | PA      | $195325.95     | 0.00%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2606550 | PA      | $2345980.16    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     700003 | PA      | $678381.21     | 0.00%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DNA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1227094 | PA      | $1170775.06    | 0.00%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1323888 | PA      | $1282995.90    | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DP63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233862 | PA      | $229081.87     | 0.00%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50836498 | PA      | $41930426.85   | 0.11%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DPC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25032384 | PA      | $20655684.05   | 0.05%             | 2050-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35062311 | PA      | $30222430.46   | 0.08%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DPN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     622799 | PA      | $610069.41     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13087390 | PA      | $12979189.68   | 0.03%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DQ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2386764 | PA      | $2313041.73    | 0.01%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47634250 | PA      | $39272559.46   | 0.10%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DQA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8653975 | PA      | $7780820.23    | 0.02%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353108 | PA      | $329460.64     | 0.00%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2222660 | PA      | $1997024.70    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DSA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27386 | PA      | $26540.14      | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3485500 | PA      | $2871224.97    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6402651 | PA      | $6096497.33    | 0.02%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23052 | PA      | $23124.40      | 0.00%             | 2050-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25822809 | PA      | $21262853.06   | 0.05%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22449284 | PA      | $19315667.97   | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3076487 | PA      | $2866667.30    | 0.01%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DU91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2251674 | PA      | $2141412.07    | 0.01%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DUE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1173396 | PA      | $1116386.83    | 0.00%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47903904 | PA      | $37270123.99   | 0.09%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22214912 | PA      | $17281889.18   | 0.04%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25133813 | PA      | $20669211.49   | 0.05%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56243196 | PA      | $46272160.53   | 0.12%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15310155 | PA      | $13163573.29   | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DVX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7149825 | PA      | $6659998.57    | 0.02%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58745 | PA      | $45785.08      | 0.00%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1359143 | PA      | $1117239.35    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6591278 | PA      | $5663052.42    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105682 | PA      | $95973.86      | 0.00%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  161816511 | PA      | $133043621.20  | 0.34%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18802935 | PA      | $17434503.88   | 0.04%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  146587002 | PA      | $120470937.15  | 0.31%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     338210 | PA      | $290384.74     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   59433130 | PA      | $48823730.20   | 0.12%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3047743 | PA      | $2615824.28    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33852267 | PA      | $31383365.67   | 0.08%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2840647 | PA      | $2692602.67    | 0.01%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41324201 | PA      | $33933000.34   | 0.09%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2204506 | PA      | $1976415.06    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418DZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1086425 | PA      | $981588.28     | 0.00%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418E2C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16717515 | PA      | $16727363.48   | 0.04%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418E3B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1846404 | PA      | $1813207.13    | 0.00%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418E3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3566779 | PA      | $3561118.82    | 0.01%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27466822 | PA      | $27839366.36   | 0.07%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418E3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40792225 | PA      | $42177676.22   | 0.11%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418E4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49776222 | PA      | $50447569.64   | 0.13%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418E6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     944269 | PA      | $944885.38     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30579210 | PA      | $25035138.39   | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   80487707 | PA      | $68881641.02   | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5537413 | PA      | $4952483.44    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EAR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15494113 | PA      | $13973883.47   | 0.04%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EAS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27003699 | PA      | $25005149.42   | 0.06%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EAU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1325432 | PA      | $1276039.31    | 0.00%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14107732 | PA      | $11514370.17   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   70134316 | PA      | $63236753.71   | 0.16%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     701406 | PA      | $649386.81     | 0.00%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EBF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180156 | PA      | $170323.64     | 0.00%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40014524 | PA      | $32771470.95   | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17864816 | PA      | $15304159.98   | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58126688 | PA      | $52356707.61   | 0.13%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22816369 | PA      | $21087651.25   | 0.05%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2603305 | PA      | $2130970.21    | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   81003167 | PA      | $69322082.02   | 0.18%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15936329 | PA      | $14354399.46   | 0.04%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33303117 | PA      | $30779854.39   | 0.08%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ECV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     762320 | PA      | $720155.57     | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10270953 | PA      | $9157812.60    | 0.02%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1512978 | PA      | $1403031.21    | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27014427 | PA      | $22113018.42   | 0.06%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2857324 | PA      | $2445061.04    | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EDH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34068825 | PA      | $32184470.06   | 0.08%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1056669 | PA      | $942149.66     | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12991387 | PA      | $12781905.81   | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5817768 | PA      | $5495985.36    | 0.01%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4261338 | PA      | $4025642.07    | 0.01%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14692804 | PA      | $14318520.68   | 0.04%             | 2037-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EG38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17798183 | PA      | $16031435.78   | 0.04%             | 2037-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8151603 | PA      | $7700735.84    | 0.02%             | 2037-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21542945 | PA      | $19205668.69   | 0.05%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21578920 | PA      | $20655809.13   | 0.05%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5794492 | PA      | $5819963.00    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EHC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2013745 | PA      | $1995373.96    | 0.01%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21627643 | PA      | $21272209.99   | 0.05%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     433444 | PA      | $435258.49     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33728778 | PA      | $33169253.11   | 0.08%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3688476 | PA      | $3697113.69    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7989728 | PA      | $8021502.07    | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EJG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     629235 | PA      | $640939.51     | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EJU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1591807 | PA      | $1531992.82    | 0.00%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2921052 | PA      | $2894403.31    | 0.01%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EKU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4993446 | PA      | $5011213.22    | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4085863 | PA      | $4159914.07    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ELN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1301699 | PA      | $1268539.29    | 0.00%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ELV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10665754 | PA      | $10204534.22   | 0.03%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ELW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4530472 | PA      | $4454615.19    | 0.01%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6964634 | PA      | $7159177.51    | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24743933 | PA      | $25189365.34   | 0.06%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12663572 | PA      | $12445657.07   | 0.03%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65342020 | PA      | $65505883.84   | 0.17%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ERQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     479793 | PA      | $473974.43     | 0.00%             | 2038-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24317191 | PA      | $24390117.11   | 0.06%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ES76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1191772 | PA      | $1177319.98    | 0.00%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ESM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2399437 | PA      | $2370339.61    | 0.01%             | 2038-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ESR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14552250 | PA      | $13902312.28   | 0.04%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16335644 | PA      | $16742802.87   | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14896540 | PA      | $14928877.54   | 0.04%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33056433 | PA      | $33553372.77   | 0.09%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EXM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1053616 | PA      | $1040839.05    | 0.00%             | 2038-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5178117 | PA      | $5182838.78    | 0.01%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418EYV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     803414 | PA      | $793671.55     | 0.00%             | 2038-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7991172 | PA      | $8096518.24    | 0.02%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50371760 | PA      | $51522411.64   | 0.13%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7136323 | PA      | $7374741.14    | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58792910 | PA      | $58699609.55   | 0.15%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26333464 | PA      | $26676605.67   | 0.07%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9629371 | PA      | $9614089.65    | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5673151 | PA      | $5598796.06    | 0.01%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FE78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13578404 | PA      | $13587262.08   | 0.03%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FEF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19115068 | PA      | $18864538.55   | 0.05%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FFX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164304 | PA      | $159781.68     | 0.00%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418FNE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144707 | PA      | $133831.39     | 0.00%             | 2055-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418M4Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1514662 | PA      | $1586998.84    | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21886 | PA      | $22128.55      | 0.00%             | 2035-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9092 | PA      | $9457.32       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MEE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1117 | PA      | $1183.99       | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3818 | PA      | $3937.59       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7958 | PA      | $8310.61       | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MML3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2727 | PA      | $2852.60       | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109654 | PA      | $116222.42     | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MSR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53034 | PA      | $55381.71      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MT51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5743 | PA      | $6007.62       | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42411 | PA      | $43569.41      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20377 | PA      | $21311.17      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1813 | PA      | $1829.03       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34652 | PA      | $34956.67      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     548673 | PA      | $563665.53     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418MWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     435311 | PA      | $453700.06     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3743 | PA      | $3911.63       | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NHW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6010 | PA      | $6190.29       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NXX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11281 | PA      | $11380.46      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418NZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41559 | PA      | $41862.21      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PCS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19533 | PA      | $19231.42      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PE27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4065 | PA      | $4001.81       | 0.00%             | 2040-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PQ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        743 | PA      | $763.03        | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PSF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5166 | PA      | $5305.83       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PSZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91192 | PA      | $91853.55      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418PXR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6026 | PA      | $6217.06       | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418R6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11714 | PA      | $11799.75      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12572 | PA      | $12663.97      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37226 | PA      | $38245.79      | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RDQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5432 | PA      | $5579.64       | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     578418 | PA      | $594131.79     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RGR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29120 | PA      | $29331.71      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33942 | PA      | $34189.47      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RRE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15203 | PA      | $15314.24      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RSB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10556 | PA      | $10392.66      | 0.00%             | 2040-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6588 | PA      | $6765.50       | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418RT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2094 | PA      | $2151.20       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418S2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8655 | PA      | $8521.06       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418S2N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125498 | PA      | $128907.02     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418SAP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13389 | PA      | $13486.34      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418SRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11084 | PA      | $11165.03      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418SYS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3601 | PA      | $3699.06       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418T2U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19907 | PA      | $20052.38      | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418TCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28783 | PA      | $29565.02      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418TSV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2111 | PA      | $2170.77       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418TUV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6018 | PA      | $6181.03       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418U3V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56854 | PA      | $58400.13      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418U4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17085 | PA      | $17209.23      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418U4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     404967 | PA      | $415968.02     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52926 | PA      | $54363.77      | 0.00%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15280 | PA      | $15738.83      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76858 | PA      | $78945.65      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418UWG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33823 | PA      | $35393.57      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418V5T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5994 | PA      | $6156.59       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VL67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2048 | PA      | $2103.20       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2435 | PA      | $2453.01       | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VQY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3459 | PA      | $3405.31       | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VSB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12450 | PA      | $13013.06      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4345 | PA      | $4462.82       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11007 | PA      | $11516.86      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3176 | PA      | $3261.97       | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25747 | PA      | $26446.42      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2871 | PA      | $2826.81       | 0.00%             | 2040-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418VZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        603 | PA      | $607.52        | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269929 | PA      | $277262.01     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WG20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2353 | PA      | $2416.96       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6266 | PA      | $6311.99       | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WPG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4835 | PA      | $4760.48       | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418WPW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45636 | PA      | $46876.23      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XD54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10123 | PA      | $10196.62      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242327 | PA      | $248919.36     | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XFP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     481418 | PA      | $473979.81     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16056 | PA      | $16492.18      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123294 | PA      | $126637.30     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1238 | PA      | $1218.88       | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XZJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        324 | PA      | $324.03        | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31418XZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $80.17         | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419A4G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8982 | PA      | $9047.46       | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419A4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7825 | PA      | $7491.75       | 0.00%             | 2041-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AA64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21820 | PA      | $23055.70      | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ADT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28915 | PA      | $28466.43      | 0.00%             | 2040-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AG27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     233635 | PA      | $230025.16     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14012 | PA      | $14113.83      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AGR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10952 | PA      | $11072.63      | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1074 | PA      | $1057.69       | 0.00%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10525 | PA      | $10969.21      | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67591 | PA      | $68083.54      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ANJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21626 | PA      | $22600.99      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ANK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1574 | PA      | $1643.25       | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ANM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20301 | PA      | $20448.62      | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AP50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90366 | PA      | $97054.14      | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419ASU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127611 | PA      | $131109.83     | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419AXV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35309 | PA      | $35566.62      | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419B5R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8685 | PA      | $8748.75       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64224 | PA      | $64692.38      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419BCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327945 | PA      | $336853.85     | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419C2G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81541 | PA      | $83752.37      | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419CBJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313392 | PA      | $321905.81     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419CQT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50832 | PA      | $51280.40      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419DCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $181.00        | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419DNM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10230 | PA      | $10304.83      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419DTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18560 | PA      | $19064.65      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419E2E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10092 | PA      | $9936.10       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419E5A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61695 | PA      | $60741.34      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419EBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2096 | PA      | $2111.50       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419EDF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249594 | PA      | $256374.98     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419EDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     623303 | PA      | $627839.68     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419FA89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1583537 | PA      | $1592305.65    | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419FD60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5318 | PA      | $5235.94       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419FMB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12029 | PA      | $11517.21      | 0.00%             | 2040-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419G6B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2481 | PA      | $2442.87       | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58500 | PA      | $57595.85      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GBH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22744 | PA      | $22392.70      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139384 | PA      | $140399.64     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GMH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1563 | PA      | $1615.91       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419GYT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21251 | PA      | $20922.83      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419HCS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8692 | PA      | $8755.80       | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419HEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110342 | PA      | $113339.63     | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419HXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17664 | PA      | $17390.91      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419JRF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35164 | PA      | $34620.88      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419JS41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12641 | PA      | $12984.08      | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419JSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157648 | PA      | $150942.24     | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419JSK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3800778 | PA      | $3742104.65    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419JYH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22592 | PA      | $22242.67      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419KF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199216 | PA      | $196138.02     | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419KKE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43181 | PA      | $41344.14      | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419KWQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21395 | PA      | $21064.87      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LFV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5801 | PA      | $5711.71       | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69792 | PA      | $66823.37      | 0.00%             | 2040-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LZM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     912695 | PA      | $919348.70     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17424 | PA      | $17154.80      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31419LZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7349 | PA      | $7235.69       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                  | CUSIP: 31421AF57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7377 | PA      | $7441.69       | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31425USV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38722 | PA      | $37936.03      | 0.00%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427M3T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3439721 | PA      | $3571950.44    | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427M5E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19356253 | PA      | $20141577.93   | 0.05%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7645801 | PA      | $7971944.89    | 0.02%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MGK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42223529 | PA      | $43001364.06   | 0.11%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MGP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2185575 | PA      | $2239411.07    | 0.01%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MPE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40637634 | PA      | $37994948.73   | 0.10%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MPK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18766243 | PA      | $19524146.11   | 0.05%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MSV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6043560 | PA      | $6301151.53    | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MT27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   80472159 | PA      | $81214854.90   | 0.21%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MTA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39108144 | PA      | $40354836.95   | 0.10%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MTB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17504627 | PA      | $18030089.88   | 0.05%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MTJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33863958 | PA      | $29012368.56   | 0.07%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MVV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28468114 | PA      | $29226183.99   | 0.07%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MWN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23670370 | PA      | $22728881.51   | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427MYU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22855541 | PA      | $23314317.56   | 0.06%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427NG29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16051058 | PA      | $16453979.97   | 0.04%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427NG86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29310549 | PA      | $29787372.05   | 0.08%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427NHF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40331236 | PA      | $40397782.57   | 0.10%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427NHP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7649124 | PA      | $7827472.89    | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427NHQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10303236 | PA      | $10547293.98   | 0.03%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427NHU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12648333 | PA      | $13019640.96   | 0.03%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427NL56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42789670 | PA      | $36830075.05   | 0.09%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427NM63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13193574 | PA      | $13408207.15   | 0.03%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427NW47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20321378 | PA      | $20689679.89   | 0.05%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427NWL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5525612 | PA      | $5721049.59    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427NWR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35848544 | PA      | $35305607.12   | 0.09%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427NYL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13574993 | PA      | $14019540.68   | 0.04%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427NZX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16982222 | PA      | $17590340.25   | 0.04%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427P4T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8904518 | PA      | $9136873.97    | 0.02%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427PDF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8361186 | PA      | $8582665.64    | 0.02%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427PFY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35401370 | PA      | $37106242.70   | 0.09%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427PG24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9160280 | PA      | $9419368.27    | 0.02%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427PXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35891821 | PA      | $37549656.37   | 0.10%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427PXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21135524 | PA      | $22030241.51   | 0.06%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427QBD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9831350 | PA      | $8483933.16    | 0.02%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427QBJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12968351 | PA      | $10737650.61   | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427QBY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44371076 | PA      | $36326512.39   | 0.09%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 31427QKM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8548131 | PA      | $8665972.08    | 0.02%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQ5B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6072027 | PA      | $6266396.61    | 0.02%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQAH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8390860 | PA      | $8780387.48    | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQCJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18087638 | PA      | $18540265.50   | 0.05%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQCY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27873961 | PA      | $28907938.96   | 0.07%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQDJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38365336 | PA      | $40302393.30   | 0.10%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQGA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40576664 | PA      | $41601925.23   | 0.11%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4769849 | PA      | $4905592.11    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4390173 | PA      | $4540064.89    | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQSR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1785321 | PA      | $1858078.04    | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQSS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4898052 | PA      | $5098017.06    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQSU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15824844 | PA      | $16365146.62   | 0.04%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQYD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5676562 | PA      | $5963169.99    | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GQYP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1515673 | PA      | $1577441.36    | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GR6Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35789297 | PA      | $36755238.46   | 0.09%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2493139 | PA      | $2558501.64    | 0.01%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRCS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2876139 | PA      | $2921113.47    | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRDM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6394257 | PA      | $6623229.78    | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GREX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19300726 | PA      | $19814464.67   | 0.05%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRF96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3761683 | PA      | $3911353.39    | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRFH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   65960672 | PA      | $66987042.25   | 0.17%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRFP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7418394 | PA      | $7684040.40    | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRP46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21365468 | PA      | $22204211.75   | 0.06%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GRTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3397009 | PA      | $3532169.33    | 0.01%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GS4J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22246721 | PA      | $23033575.04   | 0.06%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GS5Z7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24383226 | PA      | $24547220.10   | 0.06%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GSN79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10877134 | PA      | $11196409.52   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GSRY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9474032 | PA      | $9866491.40    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GSVE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11114565 | PA      | $11402157.91   | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GTBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32668638 | PA      | $33214839.42   | 0.08%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GTGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22401269 | PA      | $22916382.35   | 0.06%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GUPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26310650 | PA      | $27249835.12   | 0.07%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142GUSU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19135111 | PA      | $19760840.61   | 0.05%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142J6A60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   53755496 | PA      | $55028828.62   | 0.14%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142J6B44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14502706 | PA      | $15023439.63   | 0.04%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                 | CUSIP: 3142JCA26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9409576 | PA      | $9411710.15    | 0.02%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176AEA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     238325 | PA      | $233225.06     | 0.00%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176B2D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28683 | PA      | $28071.98      | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176CDL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5637 | PA      | $5675.54       | 0.00%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176DHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15105 | PA      | $15208.04      | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176FPV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6832 | PA      | $6686.20       | 0.00%             | 2041-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176FWT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35260 | PA      | $32718.83      | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176HEP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        189 | PA      | $184.54        | 0.00%             | 2041-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176HP57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83228 | PA      | $77909.10      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176HQD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     191197 | PA      | $177419.33     | 0.00%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176HTR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     336234 | PA      | $328752.12     | 0.00%             | 2042-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176KEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4433 | PA      | $4337.66       | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176M3E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6465 | PA      | $6327.70       | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176M3K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19731 | PA      | $19310.38      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176MFJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4705 | PA      | $4736.75       | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176PR65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1173489 | PA      | $1111796.70    | 0.00%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176PRL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11704 | PA      | $11087.52      | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176Q4K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     244585 | PA      | $239351.02     | 0.00%             | 2042-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176QEN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9985 | PA      | $9772.24       | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176RJF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9107 | PA      | $8912.58       | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176RRQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7379 | PA      | $7429.41       | 0.00%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176RV25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100888 | PA      | $91071.66      | 0.00%             | 2047-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176SA83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4719 | PA      | $4469.24       | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176SNE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6401 | PA      | $6263.48       | 0.00%             | 2042-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176USX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4272 | PA      | $4177.68       | 0.00%             | 2042-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176UZR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33765 | PA      | $31977.65      | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176VNG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77727 | PA      | $72937.89      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176W2M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     330629 | PA      | $323554.42     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176W7E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72660 | PA      | $68840.53      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176W7G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11807 | PA      | $11186.13      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176WJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40869 | PA      | $38704.10      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176WYD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36272 | PA      | $34358.07      | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176WYJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10718 | PA      | $10489.45      | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176X2L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6623 | PA      | $6273.27       | 0.00%             | 2041-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XB73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106168 | PA      | $100554.11     | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     291027 | PA      | $284799.49     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93374 | PA      | $88465.17      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30144 | PA      | $28553.22      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5579 | PA      | $5455.45       | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XFG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1719724 | PA      | $1681458.54    | 0.00%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XFP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12139 | PA      | $11497.97      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XFQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47873 | PA      | $45345.88      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XJ26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7733 | PA      | $7669.44       | 0.00%             | 2027-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XKK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1061301 | PA      | $1037782.25    | 0.00%             | 2042-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XKR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69085 | PA      | $65438.68      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36176XP37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6259 | PA      | $5928.57       | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36176XVR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6348 | PA      | $6214.35       | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177JRX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7575 | PA      | $7412.73       | 0.00%             | 2042-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177JUD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16543 | PA      | $16174.24      | 0.00%             | 2042-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177KPD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     289340 | PA      | $282901.98     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177KYP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10449 | PA      | $9805.48       | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177LJF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1226 | PA      | $1161.64       | 0.00%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177MZZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25269 | PA      | $23930.64      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177ND31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44663 | PA      | $42305.74      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177NQW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27493 | PA      | $26042.60      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177NXQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20875 | PA      | $19768.90      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177PB38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3414 | PA      | $3233.81       | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177PDC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6742 | PA      | $6256.06       | 0.00%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177PDH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32091 | PA      | $30392.20      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177PND3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12373 | PA      | $12370.80      | 0.00%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177QZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     176707 | PA      | $172775.45     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177UE91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58632 | PA      | $54406.82      | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177WAB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78293 | PA      | $74160.42      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177XLR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72714 | PA      | $68875.54      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177Y2P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7386 | PA      | $6846.19       | 0.00%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177YQV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38228 | PA      | $36210.59      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36177YRG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17161 | PA      | $16251.95      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178AKM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5441 | PA      | $5387.84       | 0.00%             | 2027-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178BEX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2501 | PA      | $2368.60       | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178C3R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118366 | PA      | $110802.31     | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178C3S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55770 | PA      | $52334.08      | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178CLX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103981 | PA      | $98477.44      | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178CUJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53068 | PA      | $50267.11      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178D7F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14348 | PA      | $13299.03      | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DBV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62984 | PA      | $58959.54      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36178DD32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     471459 | PA      | $446605.20     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DDU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     325109 | PA      | $317874.68     | 0.00%             | 2042-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     299447 | PA      | $277844.60     | 0.00%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1838872 | PA      | $1700685.82    | 0.00%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DR78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     275864 | PA      | $255977.37     | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178DTB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206796 | PA      | $195842.66     | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178EAB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25280 | PA      | $23919.03      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178EDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11356 | PA      | $10526.14      | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178ENX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14187 | PA      | $13425.30      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178EWA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60923 | PA      | $60376.40      | 0.00%             | 2027-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178GE42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     231756 | PA      | $229685.06     | 0.00%             | 2027-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178GFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9206 | PA      | $8720.00       | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178GJ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55467 | PA      | $53891.45      | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178GRC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26486 | PA      | $25087.91      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36178HX56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     241764 | PA      | $224693.11     | 0.00%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178LZ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     211707 | PA      | $200502.77     | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178MRR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     485553 | PA      | $459855.57     | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178MSR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41821 | PA      | $39607.20      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178NF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1810242 | PA      | $1679798.67    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178NFW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11980 | PA      | $11345.62      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178NGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216604 | PA      | $200995.84     | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178NLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120160 | PA      | $113800.24     | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178QY55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169712 | PA      | $160728.04     | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178TRG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2972 | PA      | $2814.28       | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178TSX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2066263 | PA      | $1917371.98    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178TTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87815 | PA      | $83167.20      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178UBR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87265 | PA      | $82644.01      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178UHG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15556 | PA      | $14597.14      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178UQJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50211 | PA      | $47552.58      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178UUR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61860 | PA      | $58583.33      | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178VC41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     165194 | PA      | $152611.73     | 0.00%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36178W7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     493268 | PA      | $467240.56     | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178WDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13657 | PA      | $12673.19      | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178WGS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1520366 | PA      | $1410811.37    | 0.00%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36178WHJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     263950 | PA      | $258410.61     | 0.00%             | 2042-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178XCG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     490313 | PA      | $463983.11     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36178YRE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     260213 | PA      | $246477.18     | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179A3K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18658 | PA      | $17293.25      | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179BB45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64214 | PA      | $59517.82      | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179BN75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4165 | PA      | $4055.83       | 0.00%             | 2043-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179BZR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     338586 | PA      | $320746.99     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179CFG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179810 | PA      | $175825.33     | 0.00%             | 2042-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179DLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65505 | PA      | $62047.35      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179FQ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7880 | PA      | $7303.16       | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36179KAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76946 | PA      | $74008.72      | 0.00%             | 2043-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179M2V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     269048 | PA      | $284587.98     | 0.00%             | 2043-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179M5K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123319 | PA      | $110747.82     | 0.00%             | 2043-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179M5L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1140095 | PA      | $1058986.68    | 0.00%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179M5N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     166257 | PA      | $162783.14     | 0.00%             | 2043-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MA42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1724 | PA      | $1822.93       | 0.00%             | 2042-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MAG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10970 | PA      | $10873.45      | 0.00%             | 2027-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5715 | PA      | $5681.61       | 0.00%             | 2027-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     587212 | PA      | $574941.46     | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17251 | PA      | $17368.67      | 0.00%             | 2042-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     997757 | PA      | $976907.23     | 0.00%             | 2042-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12309 | PA      | $12392.77      | 0.00%             | 2042-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MCJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     462499 | PA      | $458257.86     | 0.00%             | 2027-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     500894 | PA      | $474574.26     | 0.00%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179ME22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33024 | PA      | $30692.63      | 0.00%             | 2042-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179ME30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9745422 | PA      | $9233336.03    | 0.02%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179ME48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126557 | PA      | $123912.39     | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     444451 | PA      | $413076.03     | 0.00%             | 2042-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MG61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     325547 | PA      | $318744.32     | 0.00%             | 2042-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MG87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     329322 | PA      | $337986.81     | 0.00%             | 2042-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MG95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3661 | PA      | $3822.70       | 0.00%             | 2042-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120296 | PA      | $111803.73     | 0.00%             | 2042-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     290410 | PA      | $275149.79     | 0.00%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MK82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1458817 | PA      | $1428332.30    | 0.00%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8373 | PA      | $8262.81       | 0.00%             | 2027-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MLA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14600 | PA      | $14983.75      | 0.00%             | 2042-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MMX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12052 | PA      | $11887.42      | 0.00%             | 2027-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MMY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21815 | PA      | $21594.95      | 0.00%             | 2027-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     405070 | PA      | $376474.48     | 0.00%             | 2042-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12138246 | PA      | $11500426.55   | 0.03%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MNJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25922 | PA      | $25380.34      | 0.00%             | 2042-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MQN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4163005 | PA      | $3869124.30    | 0.01%             | 2042-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10319754 | PA      | $9777489.13    | 0.02%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27079 | PA      | $26513.55      | 0.00%             | 2042-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        987 | PA      | $1013.20       | 0.00%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24772 | PA      | $25864.92      | 0.00%             | 2042-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MSB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3954 | PA      | $3911.80       | 0.00%             | 2027-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MSW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     264649 | PA      | $245966.48     | 0.00%             | 2042-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MSX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10794861 | PA      | $10227631.33   | 0.03%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     117168 | PA      | $114719.58     | 0.00%             | 2042-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MVQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     327474 | PA      | $295385.17     | 0.00%             | 2042-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4451872 | PA      | $4137598.94    | 0.01%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8075144 | PA      | $7650825.03    | 0.02%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MVT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2723842 | PA      | $2666921.85    | 0.01%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8360426 | PA      | $7770235.87    | 0.02%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     523667 | PA      | $496149.90     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     283817 | PA      | $277886.08     | 0.00%             | 2043-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MX70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86668 | PA      | $88948.17      | 0.00%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46636 | PA      | $45913.42      | 0.00%             | 2028-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179MXC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3506 | PA      | $3467.71       | 0.00%             | 2028-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N2H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1021138 | PA      | $948492.51     | 0.00%             | 2044-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     501003 | PA      | $474568.16     | 0.00%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N2K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     349836 | PA      | $342184.53     | 0.00%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N2L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106250 | PA      | $106378.73     | 0.00%             | 2044-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N5U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1044281 | PA      | $969988.73     | 0.00%             | 2044-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1380554 | PA      | $1307709.59    | 0.00%             | 2044-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N5W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     171188 | PA      | $166538.56     | 0.00%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179N5X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2140534 | PA      | $2143132.65    | 0.01%             | 2044-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NAH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28506 | PA      | $28037.90      | 0.00%             | 2028-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3224591 | PA      | $2995188.38    | 0.01%             | 2043-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4698352 | PA      | $4450445.38    | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NBC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148047 | PA      | $144953.43     | 0.00%             | 2043-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NBE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22124 | PA      | $22705.84      | 0.00%             | 2043-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3873301 | PA      | $3597747.68    | 0.01%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10254353 | PA      | $9713285.90    | 0.02%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NDU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14659 | PA      | $15044.26      | 0.00%             | 2043-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NF60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     741558 | PA      | $688802.75     | 0.00%             | 2043-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NF86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20212 | PA      | $19789.64      | 0.00%             | 2043-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NGB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66353 | PA      | $69265.19      | 0.00%             | 2043-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NH92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2099091 | PA      | $1949758.46    | 0.00%             | 2043-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     178286 | PA      | $168878.36     | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NJE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12742 | PA      | $13301.58      | 0.00%             | 2043-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NLC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     801355 | PA      | $744345.71     | 0.00%             | 2043-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     523799 | PA      | $496160.84     | 0.00%             | 2043-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NLF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6778 | PA      | $6802.30       | 0.00%             | 2043-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NM96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1006393 | PA      | $934796.45     | 0.00%             | 2043-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NMN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16046 | PA      | $15834.17      | 0.00%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5594622 | PA      | $5299424.31    | 0.01%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NNB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17318 | PA      | $16939.08      | 0.00%             | 2043-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NNC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198771 | PA      | $199012.83     | 0.00%             | 2043-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     175384 | PA      | $162906.79     | 0.00%             | 2043-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     955603 | PA      | $905181.24     | 0.00%             | 2043-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NQ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     356393 | PA      | $348597.85     | 0.00%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20121 | PA      | $19857.18      | 0.00%             | 2028-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NSM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47805 | PA      | $47167.20      | 0.00%             | 2028-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NTC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     343233 | PA      | $318814.95     | 0.00%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109821 | PA      | $104025.94     | 0.00%             | 2043-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NTE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24164 | PA      | $23635.07      | 0.00%             | 2043-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NTG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49499 | PA      | $50804.72      | 0.00%             | 2043-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NVM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     835121 | PA      | $775709.27     | 0.00%             | 2043-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3574610 | PA      | $3320306.29    | 0.01%             | 2044-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2100 | PA      | $1989.28       | 0.00%             | 2044-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NX60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     747928 | PA      | $731568.86     | 0.00%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NX86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68121 | PA      | $69911.55      | 0.00%             | 2044-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NXA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16863 | PA      | $16627.77      | 0.00%             | 2029-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179NXB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2962 | PA      | $2938.86       | 0.00%             | 2029-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     187414 | PA      | $172826.00     | 0.00%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q3J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22545 | PA      | $21332.76      | 0.00%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     219061 | PA      | $213110.65     | 0.00%             | 2045-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q3L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31606 | PA      | $31631.71      | 0.00%             | 2045-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     213357 | PA      | $195696.80     | 0.00%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     558571 | PA      | $524529.39     | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q6Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     851920 | PA      | $828780.02     | 0.00%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Q6R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2104 | PA      | $2106.36       | 0.00%             | 2045-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QBE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58686 | PA      | $54511.01      | 0.00%             | 2044-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1571053 | PA      | $1486591.48    | 0.00%             | 2044-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QBG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     811664 | PA      | $789616.93     | 0.00%             | 2044-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QBH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2070 | PA      | $2072.30       | 0.00%             | 2044-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QBK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22971 | PA      | $23984.54      | 0.00%             | 2044-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QC33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45938 | PA      | $45270.52      | 0.00%             | 2029-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QD24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     200406 | PA      | $200649.16     | 0.00%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QD32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     151358 | PA      | $155336.67     | 0.00%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QDY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     326953 | PA      | $309375.62     | 0.00%             | 2044-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QGB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     140187 | PA      | $130213.55     | 0.00%             | 2044-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2256829 | PA      | $2135499.05    | 0.01%             | 2044-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QGD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     323949 | PA      | $315149.29     | 0.00%             | 2044-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9225 | PA      | $9236.17       | 0.00%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21442 | PA      | $22006.12      | 0.00%             | 2044-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QJR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     503375 | PA      | $464193.88     | 0.00%             | 2044-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QJS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50798 | PA      | $48066.81      | 0.00%             | 2044-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1489726 | PA      | $1449260.85    | 0.00%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     117649 | PA      | $120742.16     | 0.00%             | 2044-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24056847 | PA      | $22345403.46   | 0.06%             | 2044-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2287298 | PA      | $2225168.74    | 0.01%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14030 | PA      | $14041.63      | 0.00%             | 2044-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57595 | PA      | $59108.74      | 0.00%             | 2044-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QL90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22831 | PA      | $23858.08      | 0.00%             | 2044-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     499670 | PA      | $460777.73     | 0.00%             | 2044-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QPG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5222564 | PA      | $4941792.29    | 0.01%             | 2044-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QPH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     229994 | PA      | $223746.81     | 0.00%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QPJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2991462 | PA      | $2993848.16    | 0.01%             | 2044-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168474 | PA      | $168608.74     | 0.00%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2896894 | PA      | $2690804.54    | 0.01%             | 2044-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QRY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2392974 | PA      | $2264324.68    | 0.01%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3146222 | PA      | $3060762.93    | 0.01%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QT35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6085424 | PA      | $5611757.81    | 0.01%             | 2044-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QT43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     752430 | PA      | $711978.22     | 0.00%             | 2044-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136969 | PA      | $137077.79     | 0.00%             | 2044-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QWD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13149 | PA      | $12125.23      | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1672523 | PA      | $1582605.70    | 0.00%             | 2044-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QWH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     342980 | PA      | $351996.20     | 0.00%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QYQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20555 | PA      | $18140.01      | 0.00%             | 2045-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QYR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3336540 | PA      | $3076836.53    | 0.01%             | 2045-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QYS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     721989 | PA      | $683174.05     | 0.00%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179QYT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3377125 | PA      | $3285393.45    | 0.01%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R4D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3798245 | PA      | $3473323.97    | 0.01%             | 2046-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13120665 | PA      | $12318843.76   | 0.03%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6605103 | PA      | $6419064.93    | 0.02%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R4G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7545313 | PA      | $7554474.84    | 0.02%             | 2046-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5511 | PA      | $5655.77       | 0.00%             | 2046-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3992333 | PA      | $3650808.47    | 0.01%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11713577 | PA      | $10997744.77   | 0.03%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3269080 | PA      | $3177003.70    | 0.01%             | 2046-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179R7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68350 | PA      | $70146.92      | 0.00%             | 2046-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RB24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76341 | PA      | $78348.09      | 0.00%             | 2045-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3325373 | PA      | $3050119.42    | 0.01%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6406906 | PA      | $6016443.13    | 0.02%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RBY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     303049 | PA      | $294817.47     | 0.00%             | 2045-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6647087 | PA      | $6096883.13    | 0.02%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1834796 | PA      | $1722976.48    | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9584 | PA      | $9313.66       | 0.00%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1064334 | PA      | $976235.53     | 0.00%             | 2045-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5446158 | PA      | $5114247.15    | 0.01%             | 2045-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1458141 | PA      | $1417071.18    | 0.00%             | 2045-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103514 | PA      | $103639.57     | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     377268 | PA      | $387184.68     | 0.00%             | 2045-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11083247 | PA      | $10165845.97   | 0.03%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126590 | PA      | $118875.48     | 0.00%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     760881 | PA      | $739449.87     | 0.00%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1880 | PA      | $1929.84       | 0.00%             | 2045-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22027737 | PA      | $20204421.24   | 0.05%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170162 | PA      | $159791.86     | 0.00%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     431571 | PA      | $419415.02     | 0.00%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RLS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10482 | PA      | $10758.57      | 0.00%             | 2045-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78990 | PA      | $83552.16      | 0.00%             | 2045-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RNV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     545976 | PA      | $500783.31     | 0.00%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     572504 | PA      | $537613.63     | 0.00%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4807824 | PA      | $4672407.32    | 0.01%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RNY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5873 | PA      | $5877.71       | 0.00%             | 2045-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RNZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7399 | PA      | $7593.76       | 0.00%             | 2045-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6487 | PA      | $6367.69       | 0.00%             | 2030-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136370 | PA      | $128059.36     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     475993 | PA      | $462586.15     | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQ44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48375 | PA      | $48413.69      | 0.00%             | 2045-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQ51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     171254 | PA      | $175771.89     | 0.00%             | 2045-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQ77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66990 | PA      | $70858.72      | 0.00%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3349135 | PA      | $3071915.06    | 0.01%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     524642 | PA      | $481215.09     | 0.00%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11481325 | PA      | $10781607.05   | 0.03%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RSD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43357 | PA      | $42169.68      | 0.00%             | 2030-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RTA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3357403 | PA      | $3262838.92    | 0.01%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RTB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4625702 | PA      | $4629391.17    | 0.01%             | 2045-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RTC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3521 | PA      | $3613.63       | 0.00%             | 2045-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RTE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96249 | PA      | $101797.62     | 0.00%             | 2040-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RVA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54015 | PA      | $49543.82      | 0.00%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5146245 | PA      | $4832612.01    | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     193381 | PA      | $187934.10     | 0.00%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115030 | PA      | $115121.69     | 0.00%             | 2045-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1480997 | PA      | $1358409.04    | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     754991 | PA      | $708979.04     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     868650 | PA      | $844183.36     | 0.00%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38635 | PA      | $38665.97      | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RXJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     233809 | PA      | $247297.59     | 0.00%             | 2046-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RZS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     273269 | PA      | $250649.33     | 0.00%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RZT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     190745 | PA      | $179119.93     | 0.00%             | 2046-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RZV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     518171 | PA      | $518584.75     | 0.00%             | 2046-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179RZW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     413664 | PA      | $424537.50     | 0.00%             | 2046-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8844699 | PA      | $8083117.64    | 0.02%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S2P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5995963 | PA      | $5629959.74    | 0.01%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19200415 | PA      | $18568067.97   | 0.05%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     300116 | PA      | $299692.57     | 0.00%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S2S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     374176 | PA      | $383256.63     | 0.00%             | 2047-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     361215 | PA      | $330112.14     | 0.00%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1397401 | PA      | $1312101.68    | 0.00%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2423953 | PA      | $2344122.04    | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S5N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     656048 | PA      | $655121.85     | 0.00%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S5P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     606059 | PA      | $618340.48     | 0.00%             | 2047-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179S5R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1746581 | PA      | $1847557.06    | 0.00%             | 2047-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13185497 | PA      | $12057543.47   | 0.03%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3255349 | PA      | $3056410.02    | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2182034 | PA      | $2120574.75    | 0.01%             | 2046-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SCA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93734 | PA      | $93808.47      | 0.00%             | 2046-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SCB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50086 | PA      | $51402.61      | 0.00%             | 2046-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7939857 | PA      | $7260642.06    | 0.02%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37805180 | PA      | $35494856.40   | 0.09%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     564582 | PA      | $547025.55     | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13078743 | PA      | $11959922.23   | 0.03%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2324013 | PA      | $2181990.00    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     781786 | PA      | $757474.86     | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182809 | PA      | $182955.14     | 0.00%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136191 | PA      | $139771.60     | 0.00%             | 2046-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25041568 | PA      | $22899387.26   | 0.06%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SJT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61305 | PA      | $57558.24      | 0.00%             | 2046-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71160 | PA      | $69155.47      | 0.00%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     267368 | PA      | $267692.67     | 0.00%             | 2046-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SJW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     905182 | PA      | $928976.44     | 0.00%             | 2046-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18168075 | PA      | $16613887.56   | 0.04%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5197848 | PA      | $4880201.21    | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SLT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3236471 | PA      | $3135827.51    | 0.01%             | 2046-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1280378 | PA      | $1285036.37    | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   60089937 | PA      | $54949544.17   | 0.14%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     282896 | PA      | $265607.91     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1405161 | PA      | $1406866.98    | 0.00%             | 2046-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SNY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1590124 | PA      | $1631926.00    | 0.00%             | 2046-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     157749 | PA      | $139436.75     | 0.00%             | 2046-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11643194 | PA      | $10647177.09   | 0.03%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4889319 | PA      | $4590526.13    | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3029576 | PA      | $2935366.71    | 0.01%             | 2046-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     611915 | PA      | $612657.80     | 0.00%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SQZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     734623 | PA      | $753934.99     | 0.00%             | 2046-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92272 | PA      | $90246.57      | 0.00%             | 2031-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8991161 | PA      | $7947444.35    | 0.02%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24793800 | PA      | $22672814.87   | 0.06%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7020615 | PA      | $6591576.12    | 0.02%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SSR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1441061 | PA      | $1396248.80    | 0.00%             | 2046-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109876 | PA      | $110009.70     | 0.00%             | 2046-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3419856 | PA      | $3022870.02    | 0.01%             | 2047-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16312021 | PA      | $14916609.61   | 0.04%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22714895 | PA      | $21326758.46   | 0.05%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4609471 | PA      | $4466131.70    | 0.01%             | 2047-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     418636 | PA      | $419018.01     | 0.00%             | 2047-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1853961 | PA      | $1902699.39    | 0.00%             | 2047-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SUZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14207 | PA      | $14833.78      | 0.00%             | 2047-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SW29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1340650 | PA      | $1376020.37    | 0.00%             | 2047-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SW37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16949 | PA      | $17736.45      | 0.00%             | 2047-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38115201 | PA      | $34903399.72   | 0.09%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41248217 | PA      | $38727484.72   | 0.10%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     548006 | PA      | $530964.92     | 0.00%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     218033 | PA      | $218232.40     | 0.00%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SYR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13063847 | PA      | $11946300.54   | 0.03%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SYS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11062358 | PA      | $10387094.65   | 0.03%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     965895 | PA      | $935858.55     | 0.00%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SYV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1573406 | PA      | $1614765.00    | 0.00%             | 2047-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179SZU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146468 | PA      | $141457.28     | 0.00%             | 2032-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T4M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73257 | PA      | $66949.30      | 0.00%             | 2048-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3742554 | PA      | $3616951.57    | 0.01%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14964169 | PA      | $14882214.37   | 0.04%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T7H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1958872 | PA      | $1790201.44    | 0.00%             | 2048-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T7J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     157668 | PA      | $147791.02     | 0.00%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10686003 | PA      | $10327375.26   | 0.03%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11385108 | PA      | $11322755.33   | 0.03%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2408455 | PA      | $2441821.53    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5121804 | PA      | $4689386.65    | 0.01%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3117788 | PA      | $2927473.54    | 0.01%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19914225 | PA      | $19258369.00   | 0.05%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     716813 | PA      | $715801.16     | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115336 | PA      | $118134.58     | 0.00%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25682 | PA      | $26202.24      | 0.00%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2476874 | PA      | $2263600.57    | 0.01%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2568236 | PA      | $2411467.06    | 0.01%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24781308 | PA      | $23965159.08   | 0.06%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6624789 | PA      | $6615435.58    | 0.02%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TE27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3478030 | PA      | $3363484.24    | 0.01%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     470666 | PA      | $470001.36     | 0.00%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61375 | PA      | $62619.03      | 0.00%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TEY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     897238 | PA      | $819980.32     | 0.00%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10435535 | PA      | $9812150.49    | 0.02%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4995537 | PA      | $4565391.45    | 0.01%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22881062 | PA      | $21484366.14   | 0.05%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5397365 | PA      | $5219608.33    | 0.01%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TG66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114992 | PA      | $114556.69     | 0.00%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     228867 | PA      | $232839.54     | 0.00%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1322406 | PA      | $1349203.73    | 0.00%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TJ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198700 | PA      | $208004.35     | 0.00%             | 2047-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10213469 | PA      | $9590023.35    | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TJY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     797200 | PA      | $770944.85     | 0.00%             | 2047-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     879050 | PA      | $875723.08     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86145 | PA      | $76044.92      | 0.00%             | 2047-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9917733 | PA      | $9070399.58    | 0.02%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14827955 | PA      | $13922833.25   | 0.04%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26633496 | PA      | $25756347.67   | 0.07%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126821 | PA      | $126340.87     | 0.00%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     288964 | PA      | $294820.10     | 0.00%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2405819 | PA      | $2198663.25    | 0.01%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11908781 | PA      | $11181850.01   | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7194132 | PA      | $6957200.10    | 0.02%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TNT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     210788 | PA      | $209989.95     | 0.00%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TNU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     344262 | PA      | $350505.87     | 0.00%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TQN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32077663 | PA      | $29315583.63   | 0.07%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10975534 | PA      | $10305570.01   | 0.03%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2350975 | PA      | $2273548.26    | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TQR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1664293 | PA      | $1657995.03    | 0.00%             | 2048-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TQS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     248618 | PA      | $252373.10     | 0.00%             | 2048-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TR64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     290232 | PA      | $259984.53     | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4365123 | PA      | $3989260.01    | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TSG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9768098 | PA      | $9171838.14    | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18972793 | PA      | $18347942.70   | 0.05%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2591863 | PA      | $2582054.34    | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TSK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2064044 | PA      | $2095217.80    | 0.01%             | 2048-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TT96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9631586 | PA      | $8802249.18    | 0.02%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64500 | PA      | $60562.58      | 0.00%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16157538 | PA      | $15625404.78   | 0.04%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3170661 | PA      | $3158661.64    | 0.01%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3989779 | PA      | $4050037.56    | 0.01%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112440 | PA      | $116766.54     | 0.00%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8560521 | PA      | $7823409.31    | 0.02%             | 2048-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4765967 | PA      | $4475045.31    | 0.01%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8437863 | PA      | $8154684.54    | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11030854 | PA      | $10989108.83   | 0.03%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1991909 | PA      | $2021993.64    | 0.01%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TV93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51955 | PA      | $53954.53      | 0.00%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2134289 | PA      | $1950513.93    | 0.00%             | 2048-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TXU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14897863 | PA      | $13988474.02   | 0.04%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1298634 | PA      | $1255051.01    | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     411483 | PA      | $409925.68     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1387899 | PA      | $1407051.72    | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188601 | PA      | $193490.51     | 0.00%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9437649 | PA      | $9120917.23    | 0.02%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9702233 | PA      | $9649097.05    | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     288976 | PA      | $292963.67     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179TZ81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142075 | PA      | $145757.98     | 0.00%             | 2048-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1634918 | PA      | $1428727.91    | 0.00%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22749388 | PA      | $20647962.79   | 0.05%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     756033 | PA      | $706502.12     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     346547 | PA      | $333867.41     | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     425522 | PA      | $423191.72     | 0.00%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U4F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1798875 | PA      | $1823699.06    | 0.00%             | 2049-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U6U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3581559 | PA      | $3248505.83    | 0.01%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U6V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1547047 | PA      | $1445693.94    | 0.00%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U6W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25717 | PA      | $24789.10      | 0.00%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U6X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     695749 | PA      | $691938.56     | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179U6Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2178999 | PA      | $2209069.05    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UB92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1226722 | PA      | $1121094.19    | 0.00%             | 2048-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2816704 | PA      | $2644767.56    | 0.01%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7164605 | PA      | $6924157.27    | 0.02%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4984508 | PA      | $4957209.04    | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     367662 | PA      | $372756.02     | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     747880 | PA      | $683483.18     | 0.00%             | 2048-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13054976 | PA      | $12237135.39   | 0.03%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UD90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3295311 | PA      | $3184718.92    | 0.01%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1350978 | PA      | $1343578.82    | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3741547 | PA      | $3793381.85    | 0.01%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1711118 | PA      | $1563780.55    | 0.00%             | 2048-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11787556 | PA      | $11049114.30   | 0.03%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10551306 | PA      | $10197199.18   | 0.03%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7026618 | PA      | $6988135.61    | 0.02%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1684840 | PA      | $1708181.30    | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1868089 | PA      | $1915440.61    | 0.00%             | 2048-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1114446 | PA      | $1018485.39    | 0.00%             | 2048-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     574909 | PA      | $538893.28     | 0.00%             | 2048-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3038244 | PA      | $2936279.18    | 0.01%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4286018 | PA      | $4262544.38    | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     771804 | PA      | $782496.79     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     258018 | PA      | $264558.63     | 0.00%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1778348 | PA      | $1823630.38    | 0.00%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UKV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     418831 | PA      | $382767.40     | 0.00%             | 2049-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UKW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2165871 | PA      | $2033663.11    | 0.01%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15034833 | PA      | $14952491.84   | 0.04%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9881956 | PA      | $10018860.58   | 0.03%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UMJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     410438 | PA      | $375097.12     | 0.00%             | 2049-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1642136 | PA      | $1539262.87    | 0.00%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1403973 | PA      | $1356855.03    | 0.00%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1524870 | PA      | $1516518.56    | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UMN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     644469 | PA      | $653397.45     | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UMP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76943 | PA      | $78902.28      | 0.00%             | 2049-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16496435 | PA      | $15463000.68   | 0.04%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7104449 | PA      | $6866019.83    | 0.02%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5180627 | PA      | $5152254.20    | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7110318 | PA      | $7208823.85    | 0.02%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20210 | PA      | $20722.59      | 0.00%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UQ47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     256965 | PA      | $240867.24     | 0.00%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     233589 | PA      | $225042.86     | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1876966 | PA      | $1866685.97    | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3945347 | PA      | $4000006.23    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UST0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     259375 | PA      | $242381.90     | 0.00%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179USU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3750192 | PA      | $3612982.20    | 0.01%             | 2049-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7987245 | PA      | $7943500.83    | 0.02%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179USW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3369 | PA      | $3415.85       | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179USX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2434361 | PA      | $2496066.83    | 0.01%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UUH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2533446 | PA      | $2315301.26    | 0.01%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1743755 | PA      | $1629514.94    | 0.00%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3155480 | PA      | $3040029.43    | 0.01%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     750656 | PA      | $746544.52     | 0.00%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1136439 | PA      | $1152182.84    | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18269131 | PA      | $16573133.25   | 0.04%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1393404 | PA      | $1302116.51    | 0.00%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UV90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     664203 | PA      | $639901.53     | 0.00%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     886132 | PA      | $898360.33     | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2919159 | PA      | $2903172.05    | 0.01%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UXW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     460745 | PA      | $467102.91     | 0.00%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19085938 | PA      | $17305262.53   | 0.04%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UZT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12805379 | PA      | $11966448.07   | 0.03%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185598 | PA      | $178807.89     | 0.00%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UZV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216014 | PA      | $214830.75     | 0.00%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3466860 | PA      | $3514702.72    | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32592501 | PA      | $27192147.62   | 0.07%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   69919233 | PA      | $60833293.04   | 0.15%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4800557 | PA      | $4343889.20    | 0.01%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V4Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44422 | PA      | $42796.50      | 0.00%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V7C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4481582 | PA      | $3589083.45    | 0.01%             | 2051-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   68905724 | PA      | $57478325.39   | 0.15%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   60087878 | PA      | $52233765.46   | 0.13%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31473501 | PA      | $28526147.94   | 0.07%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VBG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5154494 | PA      | $4816802.98    | 0.01%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     135274 | PA      | $134532.95     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VBK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     526264 | PA      | $533526.52     | 0.00%             | 2049-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VDM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58210 | PA      | $50814.89      | 0.00%             | 2050-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18843976 | PA      | $17077137.37   | 0.04%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26699231 | PA      | $24950058.66   | 0.06%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VDQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19305091 | PA      | $18598769.92   | 0.05%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30190806 | PA      | $27356571.69   | 0.07%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     811293 | PA      | $758142.13     | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9129509 | PA      | $8795485.55    | 0.02%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6839421 | PA      | $6801963.49    | 0.02%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VFT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     427758 | PA      | $434218.53     | 0.00%             | 2050-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7002540 | PA      | $6338130.17    | 0.02%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VHT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     878099 | PA      | $820571.28     | 0.00%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VHU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     277048 | PA      | $266911.41     | 0.00%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2748940 | PA      | $2733884.75    | 0.01%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11374074 | PA      | $9903939.86    | 0.03%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1843354 | PA      | $1668141.09    | 0.00%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1112267 | PA      | $1039398.26    | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6786 | PA      | $6537.90       | 0.00%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2432383 | PA      | $2419697.51    | 0.01%             | 2050-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VKQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     780188 | PA      | $791971.72     | 0.00%             | 2050-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1114722 | PA      | $1009455.30    | 0.00%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6891440 | PA      | $6439954.01    | 0.02%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2149744 | PA      | $2071091.20    | 0.01%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VMG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1971438 | PA      | $1960640.59    | 0.00%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VMH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1348578 | PA      | $1371985.35    | 0.00%             | 2050-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VN22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13489901 | PA      | $11744203.64   | 0.03%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VN30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     979661 | PA      | $887035.00     | 0.00%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4972189 | PA      | $4649481.94    | 0.01%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VN55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1647054 | PA      | $1586792.43    | 0.00%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VN71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158361 | PA      | $160755.03     | 0.00%             | 2050-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VQR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8883525 | PA      | $7415709.66    | 0.02%             | 2050-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6048281 | PA      | $5265118.83    | 0.01%             | 2050-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1003649 | PA      | $937895.62     | 0.00%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VQV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4635670 | PA      | $4481948.34    | 0.01%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VQW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     300806 | PA      | $299158.89     | 0.00%             | 2050-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   56666118 | PA      | $47298852.43   | 0.12%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VSG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4659766 | PA      | $4056035.31    | 0.01%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VSH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7223190 | PA      | $6538572.55    | 0.02%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VSJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3464863 | PA      | $3239984.60    | 0.01%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VSK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2186161 | PA      | $2107268.82    | 0.01%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3864052 | PA      | $3225001.00    | 0.01%             | 2050-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VTW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2018520 | PA      | $1756839.68    | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VTY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46840 | PA      | $43800.32      | 0.00%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VV23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     886286 | PA      | $828222.06     | 0.00%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2039266 | PA      | $1965674.13    | 0.00%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16919763 | PA      | $14120201.46   | 0.04%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134808 | PA      | $117321.29     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VVZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2191196 | PA      | $1983513.23    | 0.01%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     928883 | PA      | $868028.60     | 0.00%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     398966 | PA      | $384567.97     | 0.00%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28309499 | PA      | $23623190.21   | 0.06%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  134826215 | PA      | $112496869.97  | 0.29%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     533897 | PA      | $464085.40     | 0.00%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VZT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     184676 | PA      | $172690.13     | 0.00%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VZU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1070062 | PA      | $1031445.97    | 0.00%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125667 | PA      | $124978.68     | 0.00%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   92122195 | PA      | $76802609.44   | 0.19%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  158900919 | PA      | $138042716.94  | 0.35%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38285908 | PA      | $34566627.68   | 0.09%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4731795 | PA      | $4408770.06    | 0.01%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W2X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     747263 | PA      | $715463.72     | 0.00%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1484052 | PA      | $1237259.25    | 0.00%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   86453638 | PA      | $75105261.61   | 0.19%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   56376652 | PA      | $50899948.55   | 0.13%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8969685 | PA      | $8343710.03    | 0.02%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5638403 | PA      | $5555682.97    | 0.01%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W5H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     281100 | PA      | $286478.12     | 0.00%             | 2052-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   76693171 | PA      | $63939375.95   | 0.16%             | 2052-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5916930 | PA      | $5140241.43    | 0.01%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31126704 | PA      | $28102903.71   | 0.07%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3925291 | PA      | $3651050.02    | 0.01%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179W7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7521362 | PA      | $7201299.41    | 0.02%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WB23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1385595 | PA      | $1294819.15    | 0.00%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WB49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1599225 | PA      | $1590466.82    | 0.00%             | 2051-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9998017 | PA      | $8339737.51    | 0.02%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30504836 | PA      | $26516120.06   | 0.07%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WBZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16623075 | PA      | $15037900.75   | 0.04%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WDP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     593891 | PA      | $475065.94     | 0.00%             | 2051-04-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21624244 | PA      | $18037199.90   | 0.05%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10317507 | PA      | $8967944.18    | 0.02%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11336252 | PA      | $10244491.09   | 0.03%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WDV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1703847 | PA      | $1694515.59    | 0.00%             | 2051-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6234002 | PA      | $5199778.30    | 0.01%             | 2051-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  167196569 | PA      | $145318961.55  | 0.37%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2516139 | PA      | $2273622.57    | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WFJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4177396 | PA      | $3906273.13    | 0.01%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WFL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40808 | PA      | $40585.00      | 0.00%             | 2051-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WG28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12702022 | PA      | $10594499.33   | 0.03%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4177958 | PA      | $3631079.97    | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30389270 | PA      | $27457872.87   | 0.07%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WG51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7938276 | PA      | $7423062.32    | 0.02%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WG77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2078435 | PA      | $2070569.17    | 0.01%             | 2051-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33988724 | PA      | $28348632.06   | 0.07%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  214974360 | PA      | $186825101.08  | 0.47%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2680985 | PA      | $2422165.71    | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WJT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     546921 | PA      | $511424.64     | 0.00%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WJW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42287 | PA      | $42870.67      | 0.00%             | 2051-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29186441 | PA      | $24342663.12   | 0.06%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  139536235 | PA      | $121258550.79  | 0.31%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13246262 | PA      | $11966459.82   | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WLU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     722385 | PA      | $732392.77     | 0.00%             | 2051-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9839779 | PA      | $8206575.68    | 0.02%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  105768101 | PA      | $91908757.43   | 0.23%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28617410 | PA      | $25850295.38   | 0.07%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WNG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     603214 | PA      | $561949.52     | 0.00%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WNK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29381 | PA      | $29718.47      | 0.00%             | 2051-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WP85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95773 | PA      | $75958.56      | 0.00%             | 2051-10-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  266323839 | PA      | $222114217.56  | 0.56%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25928233 | PA      | $22529519.23   | 0.06%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10600657 | PA      | $9574824.48    | 0.02%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WQF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5349376 | PA      | $5375214.27    | 0.01%             | 2051-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52619689 | PA      | $45719776.21   | 0.12%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22272029 | PA      | $20115028.98   | 0.05%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WR42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     418139 | PA      | $389535.53     | 0.00%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WR75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3518231 | PA      | $3535224.32    | 0.01%             | 2051-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WRY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3125380 | PA      | $2479129.58    | 0.01%             | 2051-11-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WRZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   46744862 | PA      | $38984312.37   | 0.10%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WT24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     853632 | PA      | $795237.69     | 0.00%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WT40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3438268 | PA      | $3419437.19    | 0.01%             | 2051-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  261615152 | PA      | $218176807.73  | 0.55%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  129877946 | PA      | $112847314.38  | 0.29%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26476260 | PA      | $23910043.38   | 0.06%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  151214784 | PA      | $126104223.69  | 0.32%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   70555660 | PA      | $61300566.11   | 0.16%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1527265 | PA      | $1379116.74    | 0.00%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3311951 | PA      | $3085389.68    | 0.01%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WVZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122063 | PA      | $122652.52     | 0.00%             | 2052-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15814071 | PA      | $13184248.72   | 0.03%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     297511 | PA      | $258471.61     | 0.00%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17676309 | PA      | $15960297.31   | 0.04%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WXL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4158131 | PA      | $3873684.72    | 0.01%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WXN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15924 | PA      | $15727.85      | 0.00%             | 2052-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  178623796 | PA      | $148919308.82  | 0.38%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  133598519 | PA      | $116061647.99  | 0.29%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33085533 | PA      | $29871442.79   | 0.08%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3413237 | PA      | $3175561.41    | 0.01%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179WZF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1152608 | PA      | $1181089.29    | 0.00%             | 2052-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4257639 | PA      | $4076460.66    | 0.01%             | 2053-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21703311 | PA      | $21357487.49   | 0.05%             | 2053-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X2K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   60723645 | PA      | $60993086.61   | 0.15%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15596091 | PA      | $15836686.47   | 0.04%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X2N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19359253 | PA      | $19988269.20   | 0.05%             | 2053-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X5C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2298093 | PA      | $2080278.75    | 0.01%             | 2053-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X5D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26357976 | PA      | $24647279.49   | 0.06%             | 2053-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2353727 | PA      | $2253566.87    | 0.01%             | 2053-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9371359 | PA      | $9212958.27    | 0.02%             | 2053-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6810978 | PA      | $6831949.03    | 0.02%             | 2053-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X5H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7728977 | PA      | $7847268.82    | 0.02%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179X5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     335378 | PA      | $343726.07     | 0.00%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XAC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     229687 | PA      | $233702.71     | 0.00%             | 2052-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     552355 | PA      | $460500.57     | 0.00%             | 2052-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9823133 | PA      | $8533695.17    | 0.02%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11610495 | PA      | $10495398.15   | 0.03%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     930088 | PA      | $865035.36     | 0.00%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9720179 | PA      | $9306548.73    | 0.02%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15762014 | PA      | $15536526.41   | 0.04%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XBV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3162650 | PA      | $3179175.97    | 0.01%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22625355 | PA      | $19655427.13   | 0.05%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7894376 | PA      | $7127477.97    | 0.02%             | 2052-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2248046 | PA      | $2090985.59    | 0.01%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15882620 | PA      | $15206754.20   | 0.04%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36533692 | PA      | $35980791.80   | 0.09%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     677545 | PA      | $688314.02     | 0.00%             | 2052-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XDH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1278165 | PA      | $1316414.27    | 0.00%             | 2052-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65651 | PA      | $54733.72      | 0.00%             | 2052-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19232650 | PA      | $16708067.54   | 0.04%             | 2052-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15287699 | PA      | $13802577.19   | 0.04%             | 2052-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6117345 | PA      | $5689011.08    | 0.01%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   50439156 | PA      | $48292779.60   | 0.12%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9470090 | PA      | $9333686.79    | 0.02%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18091016 | PA      | $18204655.51   | 0.05%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1821056 | PA      | $1851723.02    | 0.00%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XH33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112918 | PA      | $116240.11     | 0.00%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8038830 | PA      | $6983609.13    | 0.02%             | 2052-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5298195 | PA      | $4783502.51    | 0.01%             | 2052-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27440914 | PA      | $25515273.14   | 0.06%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   50008765 | PA      | $47925076.14   | 0.12%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7932869 | PA      | $7810364.20    | 0.02%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     922422 | PA      | $927931.47     | 0.00%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45739 | PA      | $41298.79      | 0.00%             | 2052-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     838003 | PA      | $779326.24     | 0.00%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8335889 | PA      | $7981165.24    | 0.02%             | 2052-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4683532 | PA      | $4611205.38    | 0.01%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2269494 | PA      | $2307421.50    | 0.01%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15994102 | PA      | $13894628.81   | 0.04%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1583299 | PA      | $1429715.19    | 0.00%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3426053 | PA      | $3186426.50    | 0.01%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XND4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8423103 | PA      | $8064667.97    | 0.02%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13747941 | PA      | $13812672.80   | 0.04%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51681594 | PA      | $52538675.12   | 0.13%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XNJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     349226 | PA      | $360722.54     | 0.00%             | 2052-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1496492 | PA      | $1300054.43    | 0.00%             | 2053-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XQS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14492682 | PA      | $13084792.48   | 0.03%             | 2053-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8929388 | PA      | $8304155.78    | 0.02%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16629487 | PA      | $16705637.64   | 0.04%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37294739 | PA      | $37908448.45   | 0.10%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XS72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5766320 | PA      | $5011264.08    | 0.01%             | 2053-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XS80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14341197 | PA      | $12975283.82   | 0.03%             | 2053-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16801572 | PA      | $15711109.51   | 0.04%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XTA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     621448 | PA      | $595002.81     | 0.00%             | 2053-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XTC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6700630 | PA      | $6730448.43    | 0.02%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1697595 | PA      | $1725530.25    | 0.00%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XTE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5935941 | PA      | $6106621.46    | 0.02%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XTF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     465581 | PA      | $481146.54     | 0.00%             | 2053-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3730693 | PA      | $3242359.78    | 0.01%             | 2053-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XVN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2246118 | PA      | $2032709.19    | 0.01%             | 2053-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XVP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1552121 | PA      | $1451385.02    | 0.00%             | 2053-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XVQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3279849 | PA      | $3140279.26    | 0.01%             | 2053-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XVR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40458817 | PA      | $39815285.93   | 0.10%             | 2053-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1004145 | PA      | $1007731.05    | 0.00%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22624861 | PA      | $23359983.18   | 0.06%             | 2053-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6590094 | PA      | $6158350.48    | 0.02%             | 2053-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38369015 | PA      | $37738292.70   | 0.10%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25166553 | PA      | $25272401.68   | 0.06%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8942461 | PA      | $9081502.45    | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     262229 | PA      | $270749.28     | 0.00%             | 2053-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179XXZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3283959 | PA      | $2974606.94    | 0.01%             | 2053-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     264265 | PA      | $239371.07     | 0.00%             | 2054-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y2J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34322887 | PA      | $33621232.88   | 0.09%             | 2054-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6042755 | PA      | $6111522.43    | 0.02%             | 2054-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y2M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   49045591 | PA      | $50001524.17   | 0.13%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  103471417 | PA      | $106503631.62  | 0.27%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y5H3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9322848 | PA      | $8872997.01    | 0.02%             | 2054-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y5J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24122172 | PA      | $23621567.46   | 0.06%             | 2054-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y5L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27123279 | PA      | $27449600.57   | 0.07%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179Y5M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   96405379 | PA      | $98284387.60   | 0.25%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YAN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13780124 | PA      | $12885760.87   | 0.03%             | 2053-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YAP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3337903 | PA      | $3197185.22    | 0.01%             | 2053-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YAQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8657880 | PA      | $8515318.62    | 0.02%             | 2053-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YAR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   65262562 | PA      | $65560700.91   | 0.17%             | 2053-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9572979 | PA      | $9718326.99    | 0.02%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YAT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2394807 | PA      | $2454416.44    | 0.01%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YDF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     192253 | PA      | $179657.72     | 0.00%             | 2053-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YDG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1473648 | PA      | $1410938.26    | 0.00%             | 2053-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YDJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4228630 | PA      | $4241129.78    | 0.01%             | 2053-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YDK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     340324 | PA      | $345720.32     | 0.00%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YFG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     626211 | PA      | $585185.33     | 0.00%             | 2053-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YFK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39352366 | PA      | $39458999.31   | 0.10%             | 2053-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  135805536 | PA      | $137917890.40  | 0.35%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YFM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11855088 | PA      | $12150175.95   | 0.03%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YHL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22032227 | PA      | $19142163.08   | 0.05%             | 2053-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YHN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1893125 | PA      | $1769098.51    | 0.00%             | 2053-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YHP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     262142 | PA      | $251494.52     | 0.00%             | 2053-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YHR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1268593 | PA      | $1272030.82    | 0.00%             | 2053-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39742705 | PA      | $40331606.74   | 0.10%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YHT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17860228 | PA      | $18304791.87   | 0.05%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     300741 | PA      | $310512.36     | 0.00%             | 2053-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YKM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12627689 | PA      | $11427903.90   | 0.03%             | 2053-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YKN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114618 | PA      | $107179.44     | 0.00%             | 2053-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YKP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17167134 | PA      | $16443408.49   | 0.04%             | 2053-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YKR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52327801 | PA      | $52463153.94   | 0.13%             | 2053-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12574950 | PA      | $12761283.83   | 0.03%             | 2053-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YMF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     201058 | PA      | $187885.95     | 0.00%             | 2053-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YMG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     436058 | PA      | $417501.99     | 0.00%             | 2053-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YMJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     208916 | PA      | $209456.51     | 0.00%             | 2053-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YMK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2463929 | PA      | $2500138.99    | 0.01%             | 2053-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7043830 | PA      | $7219160.27    | 0.02%             | 2053-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YPB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     371470 | PA      | $336390.66     | 0.00%             | 2054-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YPC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5626877 | PA      | $5258238.17    | 0.01%             | 2054-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YPD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2375668 | PA      | $2274574.66    | 0.01%             | 2054-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     532956 | PA      | $534845.31     | 0.00%             | 2054-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     393917 | PA      | $399610.42     | 0.00%             | 2054-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YPH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1444120 | PA      | $1480065.79    | 0.00%             | 2054-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YRB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1758602 | PA      | $1527836.74    | 0.00%             | 2054-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YRD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     862354 | PA      | $805857.76     | 0.00%             | 2054-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YRE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1908597 | PA      | $1827379.42    | 0.00%             | 2054-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YRF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21984341 | PA      | $21577018.06   | 0.05%             | 2054-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2757371 | PA      | $2763485.23    | 0.01%             | 2054-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3622186 | PA      | $3674535.93    | 0.01%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YRK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     232969 | PA      | $240538.55     | 0.00%             | 2054-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YS39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2670164 | PA      | $2546439.73    | 0.01%             | 2054-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7693910 | PA      | $7540204.53    | 0.02%             | 2054-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YS54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     425354 | PA      | $425851.76     | 0.00%             | 2054-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YS62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2354209 | PA      | $2381016.92    | 0.01%             | 2054-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YU28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     840325 | PA      | $785785.47     | 0.00%             | 2054-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YU36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4353157 | PA      | $4150785.26    | 0.01%             | 2054-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YU44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23087616 | PA      | $22622801.78   | 0.06%             | 2054-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YU51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     276273 | PA      | $276528.37     | 0.00%             | 2054-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YU69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17241969 | PA      | $17436712.40   | 0.04%             | 2054-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YUZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     867421 | PA      | $785206.29     | 0.00%             | 2054-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YW26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3022553 | PA      | $2880064.82    | 0.01%             | 2054-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YW34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4755740 | PA      | $4659256.97    | 0.01%             | 2054-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YW42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5291839 | PA      | $5293187.14    | 0.01%             | 2054-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16932328 | PA      | $17129062.38   | 0.04%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YW67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7347819 | PA      | $7494274.39    | 0.02%             | 2054-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YWZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     876486 | PA      | $819600.18     | 0.00%             | 2054-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YYU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3939623 | PA      | $3859697.67    | 0.01%             | 2054-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   44082920 | PA      | $44942126.55   | 0.11%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36179YYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32363652 | PA      | $33312064.42   | 0.08%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617A0J49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1340292 | PA      | $1229321.52    | 0.00%             | 2045-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A0J98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1511267 | PA      | $1382491.99    | 0.00%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A36D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11623 | PA      | $11284.51      | 0.00%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A3Z52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2771 | PA      | $2534.74       | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A6JG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8646 | PA      | $8393.87       | 0.00%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617A8Q44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3222735 | PA      | $3025999.53    | 0.01%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617A9VM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14649 | PA      | $14626.35      | 0.00%             | 2045-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AAC51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26103 | PA      | $25346.69      | 0.00%             | 2045-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AAVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105237 | PA      | $102173.71     | 0.00%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AG7A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     260506 | PA      | $264454.02     | 0.00%             | 2047-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617AGWQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     722194 | PA      | $678046.44     | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AKN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     803580 | PA      | $753733.45     | 0.00%             | 2047-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617ANZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2702666 | PA      | $2613561.34    | 0.01%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617AUDF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21806 | PA      | $21037.06      | 0.00%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617B3QV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     834708 | PA      | $783682.68     | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617B3YB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12448288 | PA      | $11512283.96   | 0.03%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617B5CZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5104848 | PA      | $4792528.39    | 0.01%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617B65X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10278 | PA      | $10128.35      | 0.00%             | 2047-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617B6KW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20050 | PA      | $18099.30      | 0.00%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617B6X80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3179061 | PA      | $2944058.55    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BAVK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137236 | PA      | $139315.92     | 0.00%             | 2047-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BBCR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9897 | PA      | $9752.47       | 0.00%             | 2047-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BBR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     415820 | PA      | $414245.96     | 0.00%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BGEN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     333242 | PA      | $308336.59     | 0.00%             | 2047-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BKPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1473145 | PA      | $1422303.12    | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BKXM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     922635 | PA      | $892043.85     | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BLGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     195832 | PA      | $183684.16     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BLHA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     769040 | PA      | $711564.30     | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BLJ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1228729 | PA      | $1152509.81    | 0.00%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BMR66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78620 | PA      | $73757.22      | 0.00%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BMTV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     731671 | PA      | $686419.04     | 0.00%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BMW78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1283576 | PA      | $1204191.04    | 0.00%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BQLT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147976 | PA      | $138927.83     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BUCN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     712401 | PA      | $668851.65     | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617BVM87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     271459 | PA      | $254380.14     | 0.00%             | 2048-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BVN52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1051337 | PA      | $987069.18     | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617BVUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2791121 | PA      | $2634986.95    | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617G1FY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     491433 | PA      | $461360.09     | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617G1GR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3561803 | PA      | $3304756.49    | 0.01%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617G1HB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     837591 | PA      | $786360.42     | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617G2V78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     678265 | PA      | $636201.17     | 0.00%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617G4DE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1801392 | PA      | $1665979.40    | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617G7G58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3866983 | PA      | $3577975.35    | 0.01%             | 2048-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617G7LJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113366 | PA      | $104683.52     | 0.00%             | 2048-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617GCTC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     954462 | PA      | $900435.59     | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617GFX93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34664 | PA      | $32483.11      | 0.00%             | 2048-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617GSWR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     970131 | PA      | $936270.88     | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617GSX87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28459 | PA      | $27477.19      | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HCKJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     358666 | PA      | $364109.86     | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HFAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118427 | PA      | $119927.91     | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HNWF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     611885 | PA      | $557936.58     | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HNWG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     634403 | PA      | $578468.79     | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617HNWH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1002938 | PA      | $920233.58     | 0.00%             | 2048-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HP7D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1130732 | PA      | $1091301.71    | 0.00%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617HPZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     575523 | PA      | $583496.38     | 0.00%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J32W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     370571 | PA      | $374860.11     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J36X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     353518 | PA      | $357609.92     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J3E56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     240271 | PA      | $236622.15     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J3UG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     990482 | PA      | $1001946.31    | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J3VM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112687 | PA      | $113991.59     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J47J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     868688 | PA      | $881872.35     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J4A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     455293 | PA      | $460562.41     | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J5N36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     155526 | PA      | $157680.73     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J5NT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71597 | PA      | $71152.11      | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J5NY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     593383 | PA      | $601604.08     | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617J9T99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     442310 | PA      | $439887.49     | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617JDES4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11881 | PA      | $11114.26      | 0.00%             | 2049-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617JGUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87376 | PA      | $86865.23      | 0.00%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617JLZ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     719628 | PA      | $715874.62     | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617JVPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1036171 | PA      | $1015580.12    | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617JYBY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     439864 | PA      | $409515.58     | 0.00%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617KDG27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2645346 | PA      | $2541850.49    | 0.01%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617KFFA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     670838 | PA      | $644282.99     | 0.00%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617KMGS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     266269 | PA      | $248271.43     | 0.00%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617LC4N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     308271 | PA      | $278271.31     | 0.00%             | 2049-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3617M5KT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2115058 | PA      | $1909776.87    | 0.00%             | 2050-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617NUBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     671528 | PA      | $602795.81     | 0.00%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617NX3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7661538 | PA      | $6569596.11    | 0.02%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617QG2H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9015745 | PA      | $7730798.34    | 0.02%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617QG3N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13282250 | PA      | $11389229.43   | 0.03%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617W6U64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     543620 | PA      | $468674.70     | 0.00%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3617WLWG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2763840 | PA      | $2255987.87    | 0.01%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AAC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5254418 | PA      | $4985373.06    | 0.01%             | 2054-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37125107 | PA      | $37106300.46   | 0.09%             | 2054-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8515585 | PA      | $8615498.09    | 0.02%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43573467 | PA      | $44422744.23   | 0.11%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AB51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1103684 | PA      | $996964.70     | 0.00%             | 2054-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     968873 | PA      | $919263.62     | 0.00%             | 2054-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30775734 | PA      | $30145887.64   | 0.08%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180AB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   71382141 | PA      | $71332392.34   | 0.18%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180ACA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  117130654 | PA      | $118388467.37  | 0.30%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180ACB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3178973 | PA      | $3240933.10    | 0.01%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180ACC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120023 | PA      | $123524.20     | 0.00%             | 2054-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180ADA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7509488 | PA      | $7416013.87    | 0.02%             | 2039-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180BYS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1803 | PA      | $1670.81       | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180BZL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19382 | PA      | $17965.13      | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180C4L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60817 | PA      | $57606.78      | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180CM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3389 | PA      | $3141.55       | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180CYW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     178348 | PA      | $168933.93     | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180DLE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     677618 | PA      | $641942.85     | 0.00%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180DQF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45857 | PA      | $43389.43      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180DVC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     229383 | PA      | $217041.32     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180DVH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11513 | PA      | $10892.36      | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180DX51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13726 | PA      | $12988.72      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180F2G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     525533 | PA      | $487084.15     | 0.00%             | 2043-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180F2T8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48409 | PA      | $45809.29      | 0.00%             | 2043-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180FAR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80861 | PA      | $74950.14      | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180HHW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143380 | PA      | $135654.03     | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180HHZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43227 | PA      | $40905.30      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180HSP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3475 | PA      | $3207.02       | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180M2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26312 | PA      | $24923.26      | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180MX69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13711 | PA      | $12974.35      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180MXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     401451 | PA      | $379852.41     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180NAR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130029 | PA      | $120526.25     | 0.00%             | 2043-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180NCL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28122 | PA      | $26638.08      | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180NDN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17918 | PA      | $16608.64      | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180NED3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     774366 | PA      | $757428.65     | 0.00%             | 2043-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180STF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4184 | PA      | $3877.77       | 0.00%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36180SUA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27507 | PA      | $25496.54      | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36180XZL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     377684 | PA      | $378142.24     | 0.00%             | 2043-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181A2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67463 | PA      | $63152.15      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181AKM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9159 | PA      | $8665.15       | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181AYX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9497 | PA      | $8802.52       | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181BKX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9056 | PA      | $8394.64       | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181BRN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     175478 | PA      | $166030.19     | 0.00%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36181JCW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27331 | PA      | $25334.07      | 0.00%             | 2043-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182G4P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3866 | PA      | $3642.68       | 0.00%             | 2044-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182LDF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44519 | PA      | $43256.71      | 0.00%             | 2044-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182LDS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25259 | PA      | $24544.77      | 0.00%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182Q3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12526 | PA      | $12170.59      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36182QRA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     153316 | PA      | $145198.41     | 0.00%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182UZG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59798 | PA      | $59357.26      | 0.00%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182WT45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179862 | PA      | $174762.73     | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36182XNP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31249 | PA      | $29116.35      | 0.00%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183BCF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7402 | PA      | $6976.67       | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183CM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     151151 | PA      | $142432.53     | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36183FLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     847800 | PA      | $802103.43     | 0.00%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183HRG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17163 | PA      | $16604.90      | 0.00%             | 2044-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183W5M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11918 | PA      | $11581.11      | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183X2R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15304 | PA      | $14224.17      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183X2T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7835 | PA      | $7357.76       | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36183X4F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     117365 | PA      | $110227.48     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184BG43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114303 | PA      | $107709.70     | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184CAQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        829 | PA      | $805.87        | 0.00%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184CR80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18986 | PA      | $18435.99      | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184KQ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149965 | PA      | $140821.79     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184MB28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32893 | PA      | $31935.28      | 0.00%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36184Q2N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64966 | PA      | $60284.58      | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36184SYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139784 | PA      | $135801.91     | 0.00%             | 2045-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36184XCW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2592 | PA      | $2433.62       | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36185BDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31558 | PA      | $29632.97      | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36185BRD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127626 | PA      | $123902.95     | 0.00%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36185C6U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31394 | PA      | $30480.25      | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36185CAP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24894 | PA      | $24169.07      | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36186PN34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16906 | PA      | $16416.01      | 0.00%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36186SLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8372 | PA      | $8127.70       | 0.00%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36188KK28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103062 | PA      | $100055.27     | 0.00%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36188Q5Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10811 | PA      | $10497.94      | 0.00%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36188QHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40882 | PA      | $40817.44      | 0.00%             | 2045-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36189MTJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114917 | PA      | $111118.81     | 0.00%             | 2046-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36189MTT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37079 | PA      | $35852.99      | 0.00%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   61523643 | PA      | $60256697.50   | 0.15%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  172297815 | PA      | $172178221.80  | 0.44%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5A41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   63936283 | PA      | $64616939.38   | 0.16%             | 2054-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5C49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24409101 | PA      | $23887402.22   | 0.06%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   81834486 | PA      | $81752467.79   | 0.21%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37441569 | PA      | $37836695.88   | 0.10%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5ES4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8005200 | PA      | $7595304.31    | 0.02%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5ET2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9725145 | PA      | $9515780.62    | 0.02%             | 2055-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5EU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9549061 | PA      | $9545295.13    | 0.02%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5EV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8452866 | PA      | $8541287.21    | 0.02%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5GM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9007791 | PA      | $8812472.30    | 0.02%             | 2055-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5GP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   48937022 | PA      | $49446253.34   | 0.13%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5JC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4936277 | PA      | $4932608.36    | 0.01%             | 2055-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5KT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     472132 | PA      | $447886.67     | 0.00%             | 2055-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5KV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1299167 | PA      | $1298201.63    | 0.00%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5KW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9749981 | PA      | $9851437.94    | 0.03%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5MP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12679677 | PA      | $12670253.60   | 0.03%             | 2055-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5PH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22270034 | PA      | $22253483.16   | 0.06%             | 2055-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5PJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29520773 | PA      | $29827961.41   | 0.08%             | 2055-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5PL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   75447217 | PA      | $77848306.97   | 0.20%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5RA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1123125 | PA      | $1014048.99    | 0.00%             | 2055-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5RF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10196354 | PA      | $10302456.24   | 0.03%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5RG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   56430757 | PA      | $57615877.64   | 0.15%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5RH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29286610 | PA      | $30204159.54   | 0.08%             | 2055-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5TJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8675571 | PA      | $7957061.83    | 0.02%             | 2055-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5TP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2724704 | PA      | $2784832.35    | 0.01%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5TQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51731204 | PA      | $53408285.12   | 0.14%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5VR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9941530 | PA      | $10044979.67   | 0.03%             | 2055-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5VS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   61125184 | PA      | $62511829.75   | 0.16%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3618N5VT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   55629605 | PA      | $57449601.35   | 0.15%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36192SUX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107043 | PA      | $106874.46     | 0.00%             | 2046-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36192SX62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     323703 | PA      | $313003.17     | 0.00%             | 2046-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36192UEL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4449 | PA      | $4307.52       | 0.00%             | 2046-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36192VPR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116209 | PA      | $109112.71     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36193M3G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68526 | PA      | $66342.66      | 0.00%             | 2046-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36193UB29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119403 | PA      | $112075.38     | 0.00%             | 2046-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36194BXQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     699850 | PA      | $656962.67     | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194GQD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44276 | PA      | $42528.81      | 0.00%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194GQS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1251699 | PA      | $1158930.10    | 0.00%             | 2046-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194M3F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2137637 | PA      | $2006324.25    | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194RR44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     227900 | PA      | $211408.09     | 0.00%             | 2046-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194TZ58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     796690 | PA      | $737643.35     | 0.00%             | 2046-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194X5T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     317302 | PA      | $290042.64     | 0.00%             | 2046-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36194YBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1321052 | PA      | $1223142.37    | 0.00%             | 2046-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195ELB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15104 | PA      | $15047.30      | 0.00%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195FHD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     731883 | PA      | $677640.05     | 0.00%             | 2046-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195FHU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     638130 | PA      | $590835.24     | 0.00%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195JJ81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105039 | PA      | $95336.22      | 0.00%             | 2046-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36195JJJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99175 | PA      | $93082.76      | 0.00%             | 2046-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36195LPZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     811710 | PA      | $742236.15     | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36196CZQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9817 | PA      | $9779.45       | 0.00%             | 2046-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36196KHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97026 | PA      | $91084.58      | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36196LTZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     277949 | PA      | $257383.00     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36196PR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7488 | PA      | $7451.82       | 0.00%             | 2047-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36196UZM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49698 | PA      | $49456.78      | 0.00%             | 2047-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36197EFP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1600727 | PA      | $1502793.45    | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36197F2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1066915 | PA      | $1000733.25    | 0.00%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36197FQW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     234729 | PA      | $220376.74     | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36197FRX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     165582 | PA      | $155457.37     | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36197KE81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     393577 | PA      | $369492.00     | 0.00%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198KKH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177325 | PA      | $165315.93     | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198KYQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14606 | PA      | $14193.65      | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198RLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6739 | PA      | $6547.17       | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198RXN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57434 | PA      | $54130.86      | 0.00%             | 2044-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36198VLY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35303 | PA      | $33267.11      | 0.00%             | 2044-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200AY86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12605 | PA      | $13119.67      | 0.00%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200D2U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        175 | PA      | $181.11        | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200D4Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        821 | PA      | $826.26        | 0.00%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200DKK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2303 | PA      | $2394.96       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200EBW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7370 | PA      | $7646.34       | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200EZW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        563 | PA      | $571.63        | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200FNY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6087 | PA      | $6267.32       | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200JJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6714 | PA      | $6888.05       | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200JMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5643 | PA      | $5891.56       | 0.00%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200JUL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1617 | PA      | $1673.47       | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200JUT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1674 | PA      | $1715.09       | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200KDK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         72 | PA      | $72.48         | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200KHS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1333 | PA      | $1381.77       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200M2Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1573 | PA      | $1633.83       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200M7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        491 | PA      | $503.22        | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MC27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3811 | PA      | $3945.54       | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4005 | PA      | $4145.08       | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MTF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24690 | PA      | $25270.86      | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MWG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9023 | PA      | $9444.13       | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MWH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14772 | PA      | $15522.68      | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200MWK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6454 | PA      | $6605.12       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200N4T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6414 | PA      | $6811.48       | 0.00%             | 2034-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NBS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        497 | PA      | $515.54        | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NRD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1315 | PA      | $1348.49       | 0.00%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NRE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2622 | PA      | $2728.61       | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2770 | PA      | $2858.44       | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NTS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1044 | PA      | $1070.31       | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NWW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5632 | PA      | $5860.04       | 0.00%             | 2034-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4935 | PA      | $5137.25       | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200NYR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        331 | PA      | $341.96        | 0.00%             | 2034-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200Q3K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        270 | PA      | $285.49        | 0.00%             | 2032-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200QTJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1312 | PA      | $1344.92       | 0.00%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200RDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        127 | PA      | $133.34        | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200RLE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1205 | PA      | $1221.69       | 0.00%             | 2031-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200RUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         70 | PA      | $71.33         | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200SUS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22 | PA      | $21.79         | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200TR42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17992 | PA      | $18668.56      | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200TVH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4216 | PA      | $4381.76       | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200VET6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        232 | PA      | $235.79        | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200WAU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6155 | PA      | $6337.26       | 0.00%             | 2031-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200WHZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5826 | PA      | $6050.94       | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36200YLW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2805 | PA      | $2932.30       | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201A2R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        420 | PA      | $423.04        | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201AY77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $50.69         | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201BNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        479 | PA      | $494.75        | 0.00%             | 2032-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201C4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        143 | PA      | $145.65        | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201CJ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1008 | PA      | $1046.98       | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201CJX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2700 | PA      | $2831.65       | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201CPN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        611 | PA      | $617.40        | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201DAB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        589 | PA      | $609.41        | 0.00%             | 2032-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201ESG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1078 | PA      | $1098.15       | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201ETB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        259 | PA      | $263.91        | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201FBX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        820 | PA      | $851.01        | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201FDA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        853 | PA      | $880.89        | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201FNZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1721 | PA      | $1786.05       | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201FXY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        381 | PA      | $387.43        | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201GAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1556 | PA      | $1604.04       | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201GVS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        740 | PA      | $745.57        | 0.00%             | 2034-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201J7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1439 | PA      | $1496.61       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201JHB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        247 | PA      | $251.52        | 0.00%             | 2032-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201KAL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1867 | PA      | $1921.90       | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201KAR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        284 | PA      | $289.06        | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201LTM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2838 | PA      | $2967.16       | 0.00%             | 2032-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201MNT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        587 | PA      | $596.60        | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201MP63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1377 | PA      | $1437.29       | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201MP89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        727 | PA      | $760.66        | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201MQQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         38 | PA      | $38.49         | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201NTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        667 | PA      | $671.16        | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201PLF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1641 | PA      | $1670.73       | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201PMW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3377 | PA      | $3473.44       | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201QTL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1641 | PA      | $1680.50       | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SNK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5309 | PA      | $5409.38       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SNQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4127 | PA      | $4238.68       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3129 | PA      | $3221.06       | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SSU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        176 | PA      | $181.26        | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201SZS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5597 | PA      | $5768.42       | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201TFV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $53.49         | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201TS99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4010 | PA      | $4169.82       | 0.00%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201U6S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5959 | PA      | $6103.79       | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201UCF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        870 | PA      | $891.79        | 0.00%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201VAK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2677 | PA      | $2742.78       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201VU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3700 | PA      | $3840.32       | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201YCG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2015 | PA      | $2048.94       | 0.00%             | 2033-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201YDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1899 | PA      | $1916.42       | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36201YL53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6752 | PA      | $7002.48       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202C3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         32 | PA      | $32.12         | 0.00%             | 2028-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202C5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         81 | PA      | $82.16         | 0.00%             | 2028-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202C5T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        118 | PA      | $120.48        | 0.00%             | 2028-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202D2B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1352 | PA      | $1363.72       | 0.00%             | 2033-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202D3G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        806 | PA      | $822.63        | 0.00%             | 2034-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202D5Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        446 | PA      | $456.81        | 0.00%             | 2034-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202D7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        460 | PA      | $490.68        | 0.00%             | 2034-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DBW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        227 | PA      | $232.47        | 0.00%             | 2029-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DBX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        111 | PA      | $114.40        | 0.00%             | 2029-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54 | PA      | $55.30         | 0.00%             | 2029-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DDC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         60 | PA      | $60.30         | 0.00%             | 2029-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DHL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22 | PA      | $23.70         | 0.00%             | 2030-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DRW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         84 | PA      | $87.46         | 0.00%             | 2032-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DS28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        161 | PA      | $167.71        | 0.00%             | 2032-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DS44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4319 | PA      | $4523.98       | 0.00%             | 2032-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DXS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88252 | PA      | $90125.03      | 0.00%             | 2033-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202DYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        608 | PA      | $620.52        | 0.00%             | 2033-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30177 | PA      | $31578.90      | 0.00%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E3E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23208 | PA      | $23365.96      | 0.00%             | 2039-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E3G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     454242 | PA      | $475600.02     | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E5G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3852 | PA      | $3953.42       | 0.00%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E6E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2068504 | PA      | $2122929.92    | 0.01%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     523053 | PA      | $536815.61     | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ED30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9854 | PA      | $9938.55       | 0.00%             | 2035-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EEG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     416969 | PA      | $427077.44     | 0.00%             | 2035-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EGR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1762 | PA      | $1863.16       | 0.00%             | 2036-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109670 | PA      | $114507.04     | 0.00%             | 2036-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EHR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15751 | PA      | $16140.72      | 0.00%             | 2036-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     227447 | PA      | $237479.40     | 0.00%             | 2036-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EJX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     161512 | PA      | $168636.42     | 0.00%             | 2036-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EK81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        293 | PA      | $305.58        | 0.00%             | 2036-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ELW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        749 | PA      | $792.59        | 0.00%             | 2037-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        428 | PA      | $438.74        | 0.00%             | 2037-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EPY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13675 | PA      | $14465.37      | 0.00%             | 2037-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EQA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13205 | PA      | $13968.09      | 0.00%             | 2037-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        508 | PA      | $530.89        | 0.00%             | 2038-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ERS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3199 | PA      | $3283.40       | 0.00%             | 2038-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ES83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        997 | PA      | $1023.61       | 0.00%             | 2038-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ESA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81609 | PA      | $83754.39      | 0.00%             | 2038-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ET25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     609597 | PA      | $637916.07     | 0.00%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ET33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9007 | PA      | $9527.46       | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202ETZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8616 | PA      | $8842.32       | 0.00%             | 2038-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EUT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6987 | PA      | $7311.30       | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EVM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6835 | PA      | $7014.16       | 0.00%             | 2038-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EVQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4976 | PA      | $5356.98       | 0.00%             | 2038-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EW39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18307 | PA      | $19157.75      | 0.00%             | 2038-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EW62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     431340 | PA      | $464338.73     | 0.00%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     963343 | PA      | $1019036.90    | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EXT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        384 | PA      | $401.51        | 0.00%             | 2038-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EYL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16592 | PA      | $17362.86      | 0.00%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202EZG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7372 | PA      | $7713.94       | 0.00%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15265 | PA      | $15146.31      | 0.00%             | 2027-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     245427 | PA      | $232662.23     | 0.00%             | 2042-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     754650 | PA      | $738842.39     | 0.00%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3525260 | PA      | $3549215.43    | 0.01%             | 2042-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9664 | PA      | $10220.77      | 0.00%             | 2042-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10893 | PA      | $10141.51      | 0.00%             | 2042-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3267 | PA      | $3413.60       | 0.00%             | 2042-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F3M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53765 | PA      | $50968.44      | 0.00%             | 2042-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F3N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1516952 | PA      | $1485175.66    | 0.00%             | 2042-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F3P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39651 | PA      | $39920.29      | 0.00%             | 2042-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50692 | PA      | $52025.02      | 0.00%             | 2042-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     191296 | PA      | $199903.24     | 0.00%             | 2042-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2010 | PA      | $1997.81       | 0.00%             | 2027-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7237779 | PA      | $6857460.48    | 0.02%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     161251 | PA      | $157881.31     | 0.00%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9467 | PA      | $9531.41       | 0.00%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9913 | PA      | $10173.84      | 0.00%             | 2042-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202F4Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4138 | PA      | $4094.52       | 0.00%             | 2027-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     606453 | PA      | $622410.15     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FBG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     210342 | PA      | $206554.05     | 0.00%             | 2039-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     326962 | PA      | $329182.67     | 0.00%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95189 | PA      | $97693.86      | 0.00%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     473456 | PA      | $464931.06     | 0.00%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31038 | PA      | $31248.62      | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     530926 | PA      | $534531.92     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206097 | PA      | $215787.06     | 0.00%             | 2040-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2274 | PA      | $2333.74       | 0.00%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FFS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     295904 | PA      | $289689.67     | 0.00%             | 2040-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FFT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     760810 | PA      | $765991.27     | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     281353 | PA      | $283268.68     | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7118 | PA      | $7304.97       | 0.00%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FGW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5408981 | PA      | $5445814.35    | 0.01%             | 2040-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19444 | PA      | $19955.31      | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     313579 | PA      | $306994.42     | 0.00%             | 2040-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1951723 | PA      | $1965013.41    | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1923127 | PA      | $1973683.34    | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14143 | PA      | $14808.40      | 0.00%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FJP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     309652 | PA      | $303149.29     | 0.00%             | 2040-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     555222 | PA      | $559002.59     | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     613834 | PA      | $629970.67     | 0.00%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149653 | PA      | $146510.34     | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     931958 | PA      | $912387.73     | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2927339 | PA      | $2947273.54    | 0.01%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5402014 | PA      | $5288573.47    | 0.01%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     573319 | PA      | $561279.43     | 0.00%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     880259 | PA      | $886253.36     | 0.00%             | 2040-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5061 | PA      | $5296.08       | 0.00%             | 2040-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FNW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2798 | PA      | $2959.44       | 0.00%             | 2040-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82524 | PA      | $80791.22      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3808854 | PA      | $3834736.20    | 0.01%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53526 | PA      | $50784.21      | 0.00%             | 2041-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     941425 | PA      | $921654.99     | 0.00%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6559830 | PA      | $6604500.05    | 0.02%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FPH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38508 | PA      | $39520.06      | 0.00%             | 2041-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1368460 | PA      | $1377759.20    | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66654 | PA      | $65258.12      | 0.00%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5827388 | PA      | $5866987.14    | 0.01%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        792 | PA      | $812.42        | 0.00%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FSL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        245 | PA      | $244.28        | 0.00%             | 2026-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FSU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16791 | PA      | $17571.37      | 0.00%             | 2041-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FTK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     410830 | PA      | $402224.66     | 0.00%             | 2041-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4146234 | PA      | $4174409.34    | 0.01%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FTM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24994 | PA      | $25650.79      | 0.00%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FU87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        618 | PA      | $615.89        | 0.00%             | 2026-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5994979 | PA      | $6035717.35    | 0.02%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4852 | PA      | $4979.37       | 0.00%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FUJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150964 | PA      | $159672.69     | 0.00%             | 2041-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1187935 | PA      | $1163051.24    | 0.00%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70871 | PA      | $71352.37      | 0.00%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185878 | PA      | $181984.44     | 0.00%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FVG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4620043 | PA      | $4651437.55    | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6077 | PA      | $6236.98       | 0.00%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52073 | PA      | $50981.79      | 0.00%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69095 | PA      | $67648.01      | 0.00%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     995959 | PA      | $1002727.06    | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FXD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8674 | PA      | $8901.52       | 0.00%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1249313 | PA      | $1184333.32    | 0.00%             | 2041-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2141350 | PA      | $2096494.31    | 0.01%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     981732 | PA      | $988403.26     | 0.00%             | 2041-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FY83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1761606 | PA      | $1807916.47    | 0.00%             | 2041-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5100 | PA      | $5234.13       | 0.00%             | 2041-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FYB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13391 | PA      | $13981.56      | 0.00%             | 2041-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZ25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11662 | PA      | $11968.08      | 0.00%             | 2041-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12564 | PA      | $13118.06      | 0.00%             | 2041-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1333 | PA      | $1410.01       | 0.00%             | 2041-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8204 | PA      | $8159.65       | 0.00%             | 2026-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     989949 | PA      | $938459.76     | 0.00%             | 2041-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     492886 | PA      | $482561.00     | 0.00%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36202FZZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     415382 | PA      | $418204.43     | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202SAZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2577 | PA      | $2658.41       | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202SCL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3619 | PA      | $3708.87       | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202TR99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7202 | PA      | $7659.64       | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202U6S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7428 | PA      | $7696.47       | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VDP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1755 | PA      | $1783.04       | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VTF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1221 | PA      | $1267.57       | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VVV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        898 | PA      | $929.45        | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VXC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        622 | PA      | $627.49        | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VYA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1480 | PA      | $1511.86       | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202VYH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9292 | PA      | $9463.91       | 0.00%             | 2034-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202W2G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10890 | PA      | $11280.47      | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202WW96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        640 | PA      | $641.78        | 0.00%             | 2033-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202XD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1859 | PA      | $1930.40       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36202XWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2933 | PA      | $2998.56       | 0.00%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36203NDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         31 | PA      | $30.88         | 0.00%             | 2027-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36204DX38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23988 | PA      | $23476.53      | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36205KY89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11 | PA      | $11.27         | 0.00%             | 2027-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206F5Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        111 | PA      | $111.14        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206GR93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11222 | PA      | $11823.94      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206JCT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         52 | PA      | $52.55         | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206N4V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         37 | PA      | $37.28         | 0.00%             | 2026-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206PQ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6 | PA      | $5.82          | 0.00%             | 2026-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206PRN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $2.03          | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206UPY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         24 | PA      | $23.99         | 0.00%             | 2026-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206UQ93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $50.05         | 0.00%             | 2026-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206UYH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        135 | PA      | $134.71        | 0.00%             | 2026-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206VKT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14 | PA      | $14.29         | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206VLJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         16 | PA      | $16.38         | 0.00%             | 2026-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206VZ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        386 | PA      | $393.88        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206W6X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          1 | PA      | $1.27          | 0.00%             | 2026-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206W7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $2.56          | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36206WYW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4 | PA      | $4.35          | 0.00%             | 2026-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207BU32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         94 | PA      | $94.02         | 0.00%             | 2026-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207E6E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         77 | PA      | $77.22         | 0.00%             | 2027-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207ECH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        117 | PA      | $117.20        | 0.00%             | 2026-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207EKX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2119 | PA      | $2139.33       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207EMK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1452 | PA      | $1486.31       | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207ENB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2396 | PA      | $2511.05       | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207F7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $25.67         | 0.00%             | 2026-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207FYT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4 | PA      | $4.34          | 0.00%             | 2026-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207JWJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         68 | PA      | $68.29         | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207KCF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        269 | PA      | $272.21        | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207KLV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        929 | PA      | $951.52        | 0.00%             | 2029-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207KU57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         32 | PA      | $32.47         | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207LFU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         47 | PA      | $47.73         | 0.00%             | 2030-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207PS67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        307 | PA      | $307.59        | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207V2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        411 | PA      | $412.68        | 0.00%             | 2028-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207V3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        142 | PA      | $143.70        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207WWF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        246 | PA      | $246.41        | 0.00%             | 2027-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36207XBK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        160 | PA      | $160.26        | 0.00%             | 2027-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208CHG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $28.46         | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208FAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         45 | PA      | $45.15         | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208FKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $83.05         | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208G3F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         95 | PA      | $96.55         | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208HSK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54 | PA      | $54.63         | 0.00%             | 2027-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208L6G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         94 | PA      | $95.14         | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208LZK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        416 | PA      | $418.17        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208PNX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $6.87          | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208PY77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        112 | PA      | $112.46        | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208QRC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        786 | PA      | $789.78        | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208QRW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        189 | PA      | $190.67        | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208QT48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        950 | PA      | $965.76        | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208QVQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         33 | PA      | $32.88         | 0.00%             | 2028-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208RYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        252 | PA      | $254.56        | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208TZX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $7.18          | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208UD95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        419 | PA      | $420.90        | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208UHZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $8.16          | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208V4F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $26.73         | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208V6R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        118 | PA      | $120.40        | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208VUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $9.55          | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208VVN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $15.09         | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208WDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        114 | PA      | $116.61        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YJB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         59 | PA      | $60.08         | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YJC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         24 | PA      | $24.03         | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YJK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        108 | PA      | $109.05        | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YK81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        131 | PA      | $133.13        | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36208YLG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        292 | PA      | $295.19        | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209BC97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1740 | PA      | $1773.21       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209BUM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        125 | PA      | $126.55        | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209CQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        518 | PA      | $524.93        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209CUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         36 | PA      | $36.15         | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209DBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19 | PA      | $18.72         | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209FPK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         69 | PA      | $69.90         | 0.00%             | 2029-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209FTR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41852 | PA      | $40076.70      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209LLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        184 | PA      | $187.19        | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209MK37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        199 | PA      | $200.36        | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209NER9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        509 | PA      | $509.21        | 0.00%             | 2028-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209NXR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         97 | PA      | $98.16         | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209PM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        252 | PA      | $254.16        | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209R2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11431 | PA      | $11186.13      | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209RB28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        540 | PA      | $548.82        | 0.00%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209TAY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        457 | PA      | $459.30        | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209UAV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2666 | PA      | $2724.48       | 0.00%             | 2029-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209VM50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $53.13         | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209W6M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        105 | PA      | $104.87        | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36209Y5R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        143 | PA      | $144.79        | 0.00%             | 2031-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A15B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1502 | PA      | $1510.74       | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A16R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9385 | PA      | $9659.33       | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2H82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169794 | PA      | $170995.27     | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2J64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18707 | PA      | $18875.92      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2KD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9967 | PA      | $10058.06      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2L79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11786 | PA      | $11891.12      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2T48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2193 | PA      | $2211.84       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2T55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1943 | PA      | $1999.78       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2TX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1863 | PA      | $1879.20       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2VC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2936 | PA      | $2962.09       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2WF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15209 | PA      | $15343.84      | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2XA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7450 | PA      | $7518.87       | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A2XC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19786 | PA      | $19962.50      | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A32G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3011 | PA      | $3031.65       | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A3XG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1114 | PA      | $1120.46       | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A4GA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29349 | PA      | $30148.24      | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A55N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25176 | PA      | $25906.93      | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A56D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6116 | PA      | $6168.51       | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5B65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14611 | PA      | $14711.79      | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7840 | PA      | $8046.49       | 0.00%             | 2040-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5MS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        775 | PA      | $798.07        | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5QK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9228 | PA      | $9315.29       | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A5T74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8820 | PA      | $8880.84       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A63A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5227 | PA      | $5379.54       | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A6DL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2838 | PA      | $2921.33       | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A6EK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12021 | PA      | $12371.28      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A6ZN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42357 | PA      | $41753.04      | 0.00%             | 2039-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7HR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12297 | PA      | $12620.60      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7JM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1903 | PA      | $1862.62       | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7LP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12671 | PA      | $13017.28      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7ZL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     576992 | PA      | $580978.63     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A7ZP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1601605 | PA      | $1612671.72    | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A8LE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5170 | PA      | $5214.02       | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A8NL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8340 | PA      | $8584.29       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A93H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71535 | PA      | $72166.01      | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9FD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12782 | PA      | $13156.43      | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9PM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10046 | PA      | $10339.29      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9PX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1464 | PA      | $1506.47       | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9RC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18771 | PA      | $18858.45      | 0.00%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9TF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2746 | PA      | $2826.65       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9TG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5663 | PA      | $5828.42       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9TH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47461 | PA      | $48844.48      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9TK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7405 | PA      | $7617.67       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9YX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43627 | PA      | $44002.24      | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620A9ZD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10575 | PA      | $10883.76      | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AA7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1582 | PA      | $1587.44       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AAF37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6919 | PA      | $6966.68       | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AAFW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15963 | PA      | $16103.67      | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AASB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2886 | PA      | $2911.12       | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AASH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16422 | PA      | $16570.66      | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AAVX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30857 | PA      | $31754.52      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AAX94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1991 | PA      | $2003.25       | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ABP34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2767 | PA      | $2785.71       | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ABW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1979 | PA      | $2014.26       | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AC3F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60459 | PA      | $62222.64      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ADDK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30691 | PA      | $31578.83      | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ADPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4446 | PA      | $4482.31       | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AE3L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10403 | PA      | $10459.43      | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AEEJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3668 | PA      | $3693.36       | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AEJR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        785 | PA      | $767.96        | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AF4N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10466 | PA      | $10551.33      | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AF4W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7389 | PA      | $7605.40       | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AGH24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     433208 | PA      | $423976.96     | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AGJD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14772 | PA      | $14457.42      | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AGXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2834 | PA      | $2853.51       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AHLV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23205 | PA      | $23363.10      | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AHM42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3375 | PA      | $3388.15       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AHM59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8184 | PA      | $8239.59       | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AJC80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1011 | PA      | $1019.65       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AJK24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21704 | PA      | $21857.38      | 0.00%             | 2040-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AJMV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        938 | PA      | $943.94        | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AKAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17961 | PA      | $17016.91      | 0.00%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AKJJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8948 | PA      | $9009.95       | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AKPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12678 | PA      | $12764.16      | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AKWN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1432 | PA      | $1469.83       | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AL3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25563 | PA      | $25738.21      | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AL7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8187 | PA      | $8402.31       | 0.00%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ALUJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79846 | PA      | $80397.59      | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ALWD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23468 | PA      | $24579.45      | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ALWK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3373 | PA      | $3461.43       | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3620AM2B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1683037 | PA      | $1694474.20    | 0.00%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AM3F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6422 | PA      | $6465.62       | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AM4F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        882 | PA      | $879.56        | 0.00%             | 2026-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AM4Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3089 | PA      | $3110.12       | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMA44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9888 | PA      | $10147.79      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMCR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3769 | PA      | $3868.22       | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42449 | PA      | $43566.55      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     252771 | PA      | $254517.82     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AMTF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38328 | PA      | $36706.11      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ANDM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        732 | PA      | $736.52        | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620APKC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4480 | PA      | $4511.01       | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620APLZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6839 | PA      | $6886.22       | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AQR88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1428 | PA      | $1456.64       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AQYB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87189 | PA      | $89483.75      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AQYM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79976 | PA      | $82080.92      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AR4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4319 | PA      | $4348.10       | 0.00%             | 2041-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5905 | PA      | $6060.73       | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARCF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14049 | PA      | $14418.57      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21224 | PA      | $21782.54      | 0.00%             | 2040-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARG88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10990 | PA      | $10756.33      | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARH61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39132 | PA      | $39402.84      | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARHA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18373 | PA      | $17982.62      | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARHN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81343 | PA      | $79615.93      | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARLR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50474 | PA      | $50822.67      | 0.00%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARQD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11078 | PA      | $11602.67      | 0.00%             | 2040-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22330 | PA      | $21855.70      | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARSE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $8.92          | 0.00%             | 2025-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARUZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10359 | PA      | $10430.80      | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56598 | PA      | $55396.77      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ARZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        400 | PA      | $398.62        | 0.00%             | 2026-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASAM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22742 | PA      | $22897.81      | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASDV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     691691 | PA      | $676890.51     | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASET2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8608 | PA      | $8667.24       | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASEY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     234437 | PA      | $229421.07     | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASF79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     249551 | PA      | $244211.13     | 0.00%             | 2041-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASFW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        771 | PA      | $769.36        | 0.00%             | 2026-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASGT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27359 | PA      | $27546.12      | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASGY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5624 | PA      | $5503.40       | 0.00%             | 2041-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASLE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        950 | PA      | $956.75        | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20049 | PA      | $19622.11      | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13658 | PA      | $13751.76      | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASPU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1878 | PA      | $1838.44       | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASPV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10479 | PA      | $10550.50      | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42146 | PA      | $41247.97      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620ASVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5711 | PA      | $5589.41       | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AT2M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3135 | PA      | $3156.67       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AT7H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9494 | PA      | $9291.92       | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AV7L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24909 | PA      | $24377.85      | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AVQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25833 | PA      | $26011.74      | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59280 | PA      | $59689.66      | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AWFD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35210 | PA      | $36136.52      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AY6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32136 | PA      | $31451.67      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620AYU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54694 | PA      | $51796.69      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C04W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13631 | PA      | $13725.32      | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C04Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     606268 | PA      | $610457.57     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C05B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38956 | PA      | $39224.85      | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C0Y69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14274 | PA      | $14372.21      | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C0YB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        786 | PA      | $808.58        | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C0ZF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        599 | PA      | $614.56        | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C34N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33005 | PA      | $32300.89      | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C3CG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13298 | PA      | $13015.39      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C4RF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19652 | PA      | $19787.60      | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C4W71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76229 | PA      | $74610.29      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C5MF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10976 | PA      | $11050.07      | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C5YY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35288 | PA      | $34533.81      | 0.00%             | 2040-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3620C6GA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4907 | PA      | $4802.14       | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210A4T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         95 | PA      | $97.50         | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AMT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11 | PA      | $11.48         | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         16 | PA      | $16.33         | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210APX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        512 | PA      | $519.01        | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210APZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         44 | PA      | $43.78         | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AT23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        987 | PA      | $1013.91       | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AWV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        177 | PA      | $182.55        | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AZG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1650 | PA      | $1688.94       | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210AZJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57 | PA      | $58.46         | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210B4E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34450 | PA      | $35444.30      | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210B5G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2173 | PA      | $2236.52       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210B6C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2841 | PA      | $2924.20       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210BBC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19 | PA      | $19.51         | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210BNN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10762 | PA      | $11035.50      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210BX26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2046 | PA      | $2105.89       | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210BYT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4193 | PA      | $4313.42       | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210EYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        857 | PA      | $864.05        | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210F4L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1434 | PA      | $1451.25       | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210F7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        258 | PA      | $261.93        | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210GAF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         47 | PA      | $48.42         | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210HQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         93 | PA      | $93.46         | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210KV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        215 | PA      | $217.70        | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210LX32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        601 | PA      | $608.89        | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210LYK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         32 | PA      | $32.04         | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210MQS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        865 | PA      | $876.29        | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210NAX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         40 | PA      | $40.54         | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210PUD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         59 | PA      | $60.01         | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210QXR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $8.45          | 0.00%             | 2029-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210QZD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         45 | PA      | $45.35         | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210QZP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         31 | PA      | $31.33         | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210RHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1765 | PA      | $1836.82       | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210RHY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        834 | PA      | $855.06        | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210RW22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         49 | PA      | $50.23         | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210UPD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1544 | PA      | $1555.14       | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210UPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2148 | PA      | $2176.64       | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210UXD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $82.60         | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36210YYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         62 | PA      | $62.37         | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211AAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27 | PA      | $27.30         | 0.00%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211B2P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        589 | PA      | $611.15        | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211DKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        330 | PA      | $333.82        | 0.00%             | 2029-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211DUU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        375 | PA      | $381.40        | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211EAB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        328 | PA      | $330.07        | 0.00%             | 2035-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211EPU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11718 | PA      | $12228.80      | 0.00%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211ERU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1337 | PA      | $1352.03       | 0.00%             | 2029-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211FLA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1914 | PA      | $1951.27       | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211GTX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57 | PA      | $56.94         | 0.00%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211JPL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        272 | PA      | $275.20        | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211N6Z6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $50.59         | 0.00%             | 2029-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211Q4D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12774 | PA      | $13017.85      | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211RCH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $28.51         | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211RSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        670 | PA      | $697.50        | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211SD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3314 | PA      | $3460.63       | 0.00%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36211YSR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        130 | PA      | $131.97        | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212DLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1480 | PA      | $1521.90       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212HFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        295 | PA      | $303.97        | 0.00%             | 2032-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212NAM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1384 | PA      | $1439.75       | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212PVC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        190 | PA      | $192.91        | 0.00%             | 2031-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212VTV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        110 | PA      | $113.04        | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36212WUS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3427 | PA      | $3539.08       | 0.00%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213AB60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        315 | PA      | $321.24        | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213C6C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         63 | PA      | $66.32         | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CBP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         49 | PA      | $49.72         | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CJ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         87 | PA      | $92.33         | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CU32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3082 | PA      | $3113.77       | 0.00%             | 2035-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2755 | PA      | $2831.96       | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CXP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3435 | PA      | $3591.09       | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CY20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1192 | PA      | $1252.04       | 0.00%             | 2035-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CYY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1380 | PA      | $1417.32       | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CYZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        704 | PA      | $737.41        | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213CZ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        906 | PA      | $948.39        | 0.00%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213DCW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         76 | PA      | $80.78         | 0.00%             | 2031-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213DG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        375 | PA      | $394.77        | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213DGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        157 | PA      | $166.16        | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213DZ76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1087 | PA      | $1114.87       | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213E5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38814 | PA      | $37987.46      | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EAG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        315 | PA      | $325.92        | 0.00%             | 2032-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EPM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        321 | PA      | $324.91        | 0.00%             | 2031-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EPN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        540 | PA      | $540.62        | 0.00%             | 2031-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213ER81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        120 | PA      | $123.57        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        333 | PA      | $345.44        | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EVE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         82 | PA      | $83.32         | 0.00%             | 2032-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213EYR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1245 | PA      | $1267.21       | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FLD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        522 | PA      | $549.98        | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FME0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        251 | PA      | $258.50        | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FPB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        785 | PA      | $802.98        | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FPR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        791 | PA      | $819.47        | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213FZ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14352 | PA      | $13597.81      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213HWN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1049 | PA      | $1076.12       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213MWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1423 | PA      | $1448.75       | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213QUQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        169 | PA      | $170.98        | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213RXN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2181 | PA      | $2288.10       | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213UKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         74 | PA      | $77.47         | 0.00%             | 2031-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213USA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        775 | PA      | $792.12        | 0.00%             | 2031-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213UUP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        214 | PA      | $219.53        | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213WS49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6129 | PA      | $6347.72       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36213XCL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        390 | PA      | $399.23        | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 362169UF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         44 | PA      | $44.16         | 0.00%             | 2029-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36219RF55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        629 | PA      | $630.95        | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225A2B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         84 | PA      | $85.41         | 0.00%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225A2J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         39 | PA      | $39.42         | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225A7H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         81 | PA      | $83.38         | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225A7K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         79 | PA      | $81.22         | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AQR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $9.32          | 0.00%             | 2026-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AT34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $26.57         | 0.00%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         49 | PA      | $49.13         | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27 | PA      | $26.74         | 0.00%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AWL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         82 | PA      | $83.50         | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225AZP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         18 | PA      | $17.68         | 0.00%             | 2027-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225B2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4620 | PA      | $4852.27       | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225B2X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1605 | PA      | $1684.21       | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225B3L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15497 | PA      | $15865.34      | 0.00%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225B6V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        775 | PA      | $820.03        | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        191 | PA      | $195.82        | 0.00%             | 2028-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BAM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        198 | PA      | $202.53        | 0.00%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BB31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        881 | PA      | $898.88        | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BBD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         13 | PA      | $13.56         | 0.00%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BDE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        255 | PA      | $261.84        | 0.00%             | 2029-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BDX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         18 | PA      | $18.29         | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27 | PA      | $27.98         | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BEU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        459 | PA      | $469.41        | 0.00%             | 2029-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BFR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        247 | PA      | $255.45        | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BG51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        214 | PA      | $222.44        | 0.00%             | 2029-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        772 | PA      | $791.65        | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BGW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $28.95         | 0.00%             | 2029-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BHZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         49 | PA      | $50.47         | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         78 | PA      | $82.61         | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BKX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        244 | PA      | $251.08        | 0.00%             | 2029-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        392 | PA      | $408.25        | 0.00%             | 2030-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        438 | PA      | $456.86        | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25 | PA      | $27.17         | 0.00%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        110 | PA      | $116.10        | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BPH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        627 | PA      | $660.87        | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BPM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        625 | PA      | $656.86        | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BSS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        407 | PA      | $434.95        | 0.00%             | 2032-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BTE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        617 | PA      | $653.71        | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BTU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         36 | PA      | $37.18         | 0.00%             | 2029-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        384 | PA      | $407.46        | 0.00%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BUD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1468 | PA      | $1528.14       | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BUJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        163 | PA      | $169.08        | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BVX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        525 | PA      | $552.91        | 0.00%             | 2032-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BW53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        722 | PA      | $759.86        | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BWG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        214 | PA      | $224.03        | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BXE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        783 | PA      | $824.40        | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BXX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        348 | PA      | $366.94        | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36225BZN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        684 | PA      | $721.27        | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A23R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4554249 | PA      | $4218627.99    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A24E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7078395 | PA      | $6501333.43    | 0.02%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A25U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2041754 | PA      | $1867775.76    | 0.00%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A26Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1053992 | PA      | $987033.43     | 0.00%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A26R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1440414 | PA      | $1348705.51    | 0.00%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A26S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5559152 | PA      | $5203141.58    | 0.01%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A27M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5305547 | PA      | $4850129.04    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2BE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56514 | PA      | $52524.24      | 0.00%             | 2042-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2DV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     426694 | PA      | $395848.97     | 0.00%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2FW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6978097 | PA      | $6607977.80    | 0.02%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2JY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6945 | PA      | $6796.95       | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2N81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50346 | PA      | $46718.02      | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     731080 | PA      | $686524.87     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2R87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2820805 | PA      | $2587316.42    | 0.01%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2RT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5344156 | PA      | $4901800.88    | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2SC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     241305 | PA      | $221331.23     | 0.00%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2SG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8133633 | PA      | $7460382.14    | 0.02%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2TK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1336337 | PA      | $1375361.08    | 0.00%             | 2044-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2TM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     129646 | PA      | $125994.66     | 0.00%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2U26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225949 | PA      | $218755.27     | 0.00%             | 2045-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2VB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56647 | PA      | $55887.04      | 0.00%             | 2046-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A2X49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     289462 | PA      | $280460.43     | 0.00%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2XW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2216112 | PA      | $2001734.91    | 0.01%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622A2ZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     961940 | PA      | $934062.31     | 0.00%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A3AD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4598439 | PA      | $4317102.15    | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622A3DD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1119739 | PA      | $1081160.32    | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AABZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     970290 | PA      | $955555.06     | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622AADK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1278593 | PA      | $1235379.37    | 0.00%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622AADS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4014474 | PA      | $3672400.03    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622AADT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     268677 | PA      | $249316.46     | 0.00%             | 2044-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622AAEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51784 | PA      | $49998.35      | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAHH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7718971 | PA      | $6932106.63    | 0.02%             | 2045-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAP40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1774545 | PA      | $1621745.63    | 0.00%             | 2049-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 3622AAQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63640 | PA      | $61489.01      | 0.00%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAQV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     466264 | PA      | $414837.10     | 0.00%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAQW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119941 | PA      | $106712.55     | 0.00%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAQZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3638344 | PA      | $3327101.94    | 0.01%             | 2049-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAXY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1849473 | PA      | $1875095.95    | 0.00%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622AAYJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1907104 | PA      | $1643701.09    | 0.00%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622ABYU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1878540 | PA      | $1712052.15    | 0.00%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622ACNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17339417 | PA      | $17691062.67   | 0.04%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622ACP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13618201 | PA      | $12197720.71   | 0.03%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622ACYW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7201310 | PA      | $6959630.31    | 0.02%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 3622ACYX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12238118 | PA      | $11835067.12   | 0.03%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36230MA56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124843 | PA      | $122205.35     | 0.00%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230NJM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     276519 | PA      | $270623.07     | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230PCB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     336551 | PA      | $329349.61     | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230PV64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8973 | PA      | $8499.31       | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230RLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10064 | PA      | $9850.23       | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230SN75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12275 | PA      | $12011.86      | 0.00%             | 2041-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230SZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3180 | PA      | $3201.35       | 0.00%             | 2041-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230UEZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23139 | PA      | $22647.36      | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36230UFZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1293091 | PA      | $1265636.61    | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241K4Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7643 | PA      | $7712.72       | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241K4Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2399 | PA      | $2524.03       | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241K5Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1069 | PA      | $1123.99       | 0.00%             | 2039-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241K6P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1998 | PA      | $2016.04       | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KCS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        318 | PA      | $326.58        | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KCX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2348 | PA      | $2444.53       | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241KDC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     510416 | PA      | $532724.42     | 0.00%             | 2034-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1120 | PA      | $1184.89       | 0.00%             | 2034-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KF52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7579 | PA      | $7787.36       | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KFJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10149 | PA      | $10424.74      | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1124 | PA      | $1175.35       | 0.00%             | 2035-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KK31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11038 | PA      | $11353.51      | 0.00%             | 2036-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KL55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10394 | PA      | $11049.63      | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KLU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     835771 | PA      | $889058.26     | 0.00%             | 2037-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KMS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1290 | PA      | $1381.08       | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2344 | PA      | $2465.92       | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KQW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4153 | PA      | $4358.09       | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KTF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1865 | PA      | $1961.94       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KTU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1448 | PA      | $1522.25       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1746 | PA      | $1835.48       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5099 | PA      | $5364.86       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241KU30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4659 | PA      | $4875.01       | 0.00%             | 2038-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KU63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4014 | PA      | $4206.49       | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KUF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9425 | PA      | $9902.95       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KV70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8243 | PA      | $8493.53       | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KVH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     339763 | PA      | $356409.56     | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KVQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2718 | PA      | $2854.96       | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241KVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1803 | PA      | $1886.50       | 0.00%             | 2038-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241KVY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8793 | PA      | $9019.59       | 0.00%             | 2038-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KW46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4948 | PA      | $5197.68       | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KWK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3235 | PA      | $3402.17       | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        452 | PA      | $466.24        | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KXS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2590 | PA      | $2718.55       | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KYF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1383 | PA      | $1516.22       | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KYN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1585 | PA      | $1702.50       | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KYX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3290 | PA      | $3440.00       | 0.00%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KYZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     487349 | PA      | $502452.72     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21897 | PA      | $22589.62      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4444 | PA      | $4672.25       | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241KZD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25701 | PA      | $26514.18      | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241L3C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1587935 | PA      | $1630219.22    | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241L6V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3557 | PA      | $3581.34       | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241L7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18169 | PA      | $18292.48      | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3062 | PA      | $3285.10       | 0.00%             | 2039-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LAR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1497553 | PA      | $1544448.03    | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LD78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2424 | PA      | $2548.83       | 0.00%             | 2039-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156461 | PA      | $167942.57     | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LEG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2616 | PA      | $2807.05       | 0.00%             | 2039-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LG59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13391 | PA      | $14072.55      | 0.00%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LGU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106627 | PA      | $112043.11     | 0.00%             | 2039-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LH25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     308126 | PA      | $317102.17     | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LH58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1026267 | PA      | $1079260.62    | 0.00%             | 2040-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14073 | PA      | $14488.63      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1548355 | PA      | $1559054.10    | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LKD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13696 | PA      | $14093.64      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LKH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12616 | PA      | $12984.82      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LL38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26839 | PA      | $26268.79      | 0.00%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24013 | PA      | $24715.70      | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     995575 | PA      | $1041824.35    | 0.00%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LT89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     393971 | PA      | $410681.07     | 0.00%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LTS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21164 | PA      | $21309.97      | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LTU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44993 | PA      | $46301.64      | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241LUB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16614 | PA      | $17050.90      | 0.00%             | 2041-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LUR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4535 | PA      | $4860.62       | 0.00%             | 2040-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36241LW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2519 | PA      | $2536.01       | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LWN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7567 | PA      | $7787.56       | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123412 | PA      | $116924.42     | 0.00%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36241LYE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2216 | PA      | $2168.91       | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290N3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9254 | PA      | $9473.46       | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290N4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        518 | PA      | $522.84        | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290N4T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1776 | PA      | $1806.27       | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290NBA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        357 | PA      | $361.30        | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290QBM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3827 | PA      | $3972.75       | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290QKC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2188 | PA      | $2240.18       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290QVY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1214 | PA      | $1238.47       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290R2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2989 | PA      | $3061.10       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290R7D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9209 | PA      | $9398.22       | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        681 | PA      | $686.98        | 0.00%             | 2033-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RRD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        760 | PA      | $787.87        | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RX32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        225 | PA      | $225.39        | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RXX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1143 | PA      | $1185.92       | 0.00%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290RYE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        512 | PA      | $517.41        | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SA43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2617 | PA      | $2654.14       | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SCY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5836 | PA      | $6047.79       | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SFJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        824 | PA      | $832.09        | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SGM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1285 | PA      | $1290.55       | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SHY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6351 | PA      | $6480.87       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        360 | PA      | $368.51        | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SKY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3324 | PA      | $3400.78       | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SNA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1722 | PA      | $1771.04       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SQB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17347 | PA      | $18277.87      | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7816 | PA      | $8133.22       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290SYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        280 | PA      | $291.66        | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TCW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1333 | PA      | $1392.24       | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TF46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1217 | PA      | $1247.71       | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TKD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5441 | PA      | $5573.71       | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TWX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8042 | PA      | $8469.96       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290TZP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11264 | PA      | $11836.04      | 0.00%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290UFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        248 | PA      | $257.71        | 0.00%             | 2037-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290UQG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3398 | PA      | $3421.40       | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290VCP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20130 | PA      | $20862.19      | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290VTH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        525 | PA      | $539.46        | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290VVJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4910 | PA      | $5154.05       | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290VYR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1622 | PA      | $1658.70       | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290WGP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3815 | PA      | $3930.88       | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290XHC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1075 | PA      | $1081.77       | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290XJA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2526 | PA      | $2586.52       | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290XJF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10901 | PA      | $11223.43      | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290YA65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9707 | PA      | $10176.79      | 0.00%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290YJN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2300 | PA      | $2374.49       | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290YY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1180 | PA      | $1226.26       | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36290YYT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $51.14         | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291AD30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1676 | PA      | $1714.22       | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291AKC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8570 | PA      | $8885.49       | 0.00%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291CT39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2387 | PA      | $2466.59       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291D3L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4509 | PA      | $4546.13       | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36291FRY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4412694 | PA      | $3996649.59    | 0.01%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36291FSC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3150458 | PA      | $2853421.31    | 0.01%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                               | CUSIP: 36291FSU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3451650 | PA      | $3126216.22    | 0.01%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291FVR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3618 | PA      | $3675.49       | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291FVS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2637 | PA      | $2739.21       | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291GY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        473 | PA      | $474.93        | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291K5Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2505 | PA      | $2571.80       | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LHL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1964 | PA      | $2049.17       | 0.00%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8382 | PA      | $8757.05       | 0.00%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LMJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        571 | PA      | $582.84        | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LMK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23876 | PA      | $24422.37      | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LRN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2559 | PA      | $2644.24       | 0.00%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291LRY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8339 | PA      | $8597.06       | 0.00%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291MJ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        938 | PA      | $957.75        | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291MMG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4953 | PA      | $5067.32       | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291MMH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12754 | PA      | $13070.14      | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291NR37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4392 | PA      | $4602.60       | 0.00%             | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291NTW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3322 | PA      | $3482.41       | 0.00%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291NUZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        972 | PA      | $1013.56       | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291PUP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1104 | PA      | $1114.67       | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291Q4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        751 | PA      | $775.47        | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291QZK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5676 | PA      | $5851.53       | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291SRL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2442 | PA      | $2470.18       | 0.00%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291UBB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2363 | PA      | $2461.58       | 0.00%             | 2034-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291Y2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2931 | PA      | $3050.10       | 0.00%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291YF28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3183 | PA      | $3352.65       | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291YHH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1824 | PA      | $1914.57       | 0.00%             | 2036-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36291YYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        337 | PA      | $337.33        | 0.00%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292CH31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        871 | PA      | $894.39        | 0.00%             | 2035-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292DDD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1901 | PA      | $1974.82       | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292ENA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2075 | PA      | $2170.99       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292EQ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        732 | PA      | $739.09        | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292ETP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        174 | PA      | $173.60        | 0.00%             | 2035-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292EVG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1893 | PA      | $1933.97       | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292F2T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1278 | PA      | $1316.04       | 0.00%             | 2035-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292FHS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5384 | PA      | $5633.68       | 0.00%             | 2035-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292GJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        859 | PA      | $893.07        | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292GS89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1483 | PA      | $1521.45       | 0.00%             | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292HRD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3064 | PA      | $3142.34       | 0.00%             | 2035-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292JMG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1849 | PA      | $1912.75       | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292JTL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6748 | PA      | $7044.58       | 0.00%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292KPM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        561 | PA      | $586.28        | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292L4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11271 | PA      | $11905.68      | 0.00%             | 2036-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292LBW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2262 | PA      | $2356.57       | 0.00%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292LFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6070 | PA      | $6463.87       | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292LRZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1330 | PA      | $1382.06       | 0.00%             | 2036-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36292MFU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        406 | PA      | $419.57        | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294NFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2036 | PA      | $2166.99       | 0.00%             | 2036-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294QAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1452 | PA      | $1523.44       | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294QD40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4891 | PA      | $5223.20       | 0.00%             | 2036-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294RBU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        207 | PA      | $218.16        | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294RBZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        728 | PA      | $776.74        | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294SA64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        629 | PA      | $669.55        | 0.00%             | 2036-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294SS32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        386 | PA      | $396.02        | 0.00%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294T2B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        928 | PA      | $988.52        | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294T2C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4466 | PA      | $4848.15       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294T3C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        655 | PA      | $687.75        | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1565 | PA      | $1663.82       | 0.00%             | 2036-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294TFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1017 | PA      | $1023.18       | 0.00%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294UUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5108 | PA      | $4838.79       | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294UWN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188209 | PA      | $174642.54     | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294UWX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     491216 | PA      | $455808.77     | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294V4K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        612 | PA      | $643.49        | 0.00%             | 2036-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294V6K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1040 | PA      | $1057.88       | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294W3E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11492 | PA      | $12249.97      | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294W6U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1497 | PA      | $1565.78       | 0.00%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294WYJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31449 | PA      | $32406.59      | 0.00%             | 2037-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294XPD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        656 | PA      | $683.16        | 0.00%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294YNA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        178 | PA      | $184.26        | 0.00%             | 2037-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36294YPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        991 | PA      | $1061.07       | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295CKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     502932 | PA      | $466177.85     | 0.00%             | 2043-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295DNH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4543 | PA      | $4586.18       | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295DQC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9026 | PA      | $9438.32       | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295FHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        866 | PA      | $908.21        | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295FHW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        980 | PA      | $1015.96       | 0.00%             | 2037-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295GQM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5893 | PA      | $6162.12       | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295H5B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        415 | PA      | $434.99        | 0.00%             | 2037-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295H6M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1038 | PA      | $1114.73       | 0.00%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295HU24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6112 | PA      | $6560.42       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295HVV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        327 | PA      | $350.76        | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295J6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        849 | PA      | $894.71        | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295K3Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        338 | PA      | $357.34        | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295K4T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2394 | PA      | $2574.59       | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295KMF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16257 | PA      | $17113.09      | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295KMM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1865 | PA      | $1988.58       | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295KSX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1737 | PA      | $1824.33       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295KVA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1253 | PA      | $1340.08       | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295L2U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        486 | PA      | $512.02        | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295L6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        695 | PA      | $713.64        | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295LTZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18928 | PA      | $19099.86      | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295M5X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1519 | PA      | $1623.33       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295M6H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        124 | PA      | $125.86        | 0.00%             | 2038-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295N4K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        487 | PA      | $498.81        | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NBA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        529 | PA      | $567.81        | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NBD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6089 | PA      | $6522.29       | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NEC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        464 | PA      | $475.93        | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NGQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        417 | PA      | $430.32        | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NJ24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3908 | PA      | $4111.08       | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295NM95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2672 | PA      | $2801.29       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295P7H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1140 | PA      | $1241.87       | 0.00%             | 2038-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295PA69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1996 | PA      | $2053.11       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295PVS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1693 | PA      | $1780.67       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295PWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        588 | PA      | $610.95        | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295PXF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2076 | PA      | $2223.92       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QCN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13156 | PA      | $13556.51      | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        507 | PA      | $532.63        | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QHL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3164 | PA      | $3247.03       | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QJV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1839 | PA      | $1935.64       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QKD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1161 | PA      | $1189.71       | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2830 | PA      | $3031.04       | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        189 | PA      | $198.80        | 0.00%             | 2037-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QX70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1785 | PA      | $1825.58       | 0.00%             | 2037-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QXL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2687 | PA      | $2860.05       | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295QXT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        859 | PA      | $916.81        | 0.00%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295RQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     180256 | PA      | $193531.13     | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295RRC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1506 | PA      | $1622.18       | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295SS80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1055 | PA      | $1114.20       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295SW85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5155 | PA      | $5310.33       | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295TRB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1115 | PA      | $1174.22       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295TVP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1918 | PA      | $2023.26       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295UAQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4433 | PA      | $4459.76       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295WJ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1588 | PA      | $1627.36       | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295WLC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        259 | PA      | $267.59        | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295WWL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22213 | PA      | $22364.06      | 0.00%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295WZA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4208 | PA      | $4440.37       | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295YGB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        800 | PA      | $840.81        | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295YS79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        212 | PA      | $216.84        | 0.00%             | 2038-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295YUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        846 | PA      | $871.82        | 0.00%             | 2038-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36295YVQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2197 | PA      | $2285.92       | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296A6Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1805 | PA      | $1859.87       | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296AK60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3061 | PA      | $3107.55       | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296AQZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3739 | PA      | $3900.61       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296AVV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        684 | PA      | $697.49        | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296BB76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28292 | PA      | $29364.71      | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296CT83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39860 | PA      | $40851.54      | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DD39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4664 | PA      | $4914.79       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DD88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        565 | PA      | $593.64        | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DDX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19449 | PA      | $20052.29      | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DEK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1048 | PA      | $1121.70       | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DNB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4166 | PA      | $4590.90       | 0.00%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        220 | PA      | $230.81        | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296DYS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1748 | PA      | $1815.47       | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296FKC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        381 | PA      | $407.41        | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296FMZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2917 | PA      | $3078.17       | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296GGY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     152594 | PA      | $137745.91     | 0.00%             | 2047-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296GNF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10017 | PA      | $10546.91      | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296GTF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        792 | PA      | $813.16        | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296HQ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1590 | PA      | $1638.96       | 0.00%             | 2038-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JEM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20045 | PA      | $20677.74      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JPZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13843 | PA      | $14246.28      | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JQ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5162 | PA      | $5311.75       | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JT21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1297 | PA      | $1324.83       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JT70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21581 | PA      | $22204.59      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JWD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1183 | PA      | $1191.41       | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296JWR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13438 | PA      | $13529.30      | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296KPH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6770 | PA      | $7125.63       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296KSY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1185 | PA      | $1228.60       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296KTY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        170 | PA      | $175.11        | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296MFV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12783 | PA      | $12890.46      | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296NGS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        239 | PA      | $243.22        | 0.00%             | 2038-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296NXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2191 | PA      | $2225.27       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296NXX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2071 | PA      | $2117.26       | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296P7G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1272 | PA      | $1344.20       | 0.00%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296PWL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4806 | PA      | $4848.10       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3137 | PA      | $3164.88       | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q3G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17563 | PA      | $17721.40      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q3K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11824 | PA      | $11927.25      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1355 | PA      | $1366.56       | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        587 | PA      | $591.64        | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     555892 | PA      | $560683.15     | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11738 | PA      | $11843.96      | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296Q6W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2227 | PA      | $2291.99       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QH93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3054 | PA      | $3208.34       | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QKZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2237 | PA      | $2258.08       | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QL23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        353 | PA      | $362.89        | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QL31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3674 | PA      | $3780.03       | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5628 | PA      | $5680.93       | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8353 | PA      | $8429.76       | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QN39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     199459 | PA      | $205765.87     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QPR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        211 | PA      | $219.76        | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QPS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        963 | PA      | $1009.75       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QPU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36659 | PA      | $39419.77      | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QRL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10260 | PA      | $10356.26      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QRP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115721 | PA      | $116780.92     | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QRR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12865 | PA      | $12984.98      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QRS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5213 | PA      | $5261.73       | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QV48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11755 | PA      | $12097.26      | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QVY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12457 | PA      | $12566.33      | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QZ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      94079 | PA      | $96775.65      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QZC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        913 | PA      | $921.06        | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QZD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        706 | PA      | $726.39        | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296QZF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2059 | PA      | $2119.23       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296R3Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        539 | PA      | $579.51        | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296RUJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3704 | PA      | $3803.20       | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296SDS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        857 | PA      | $876.80        | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296SQM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7623 | PA      | $7675.66       | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296TUY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         91 | PA      | $95.60         | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296TWK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        729 | PA      | $760.51        | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296U3U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19139 | PA      | $19314.48      | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296UKN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4018 | PA      | $4147.47       | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296UQN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26134 | PA      | $26889.60      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296UQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        511 | PA      | $525.64        | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296URM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5012 | PA      | $5156.91       | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296UUE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        912 | PA      | $938.67        | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296WSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2834 | PA      | $2855.57       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XGG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1047 | PA      | $1111.77       | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XJP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3912 | PA      | $4084.55       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XKA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1058 | PA      | $1114.35       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XMK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128270 | PA      | $132359.01     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296XSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7107 | PA      | $7172.62       | 0.00%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296YCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8620 | PA      | $8660.90       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296YQE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1492 | PA      | $1513.50       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36296YTY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6300 | PA      | $6764.64       | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297ABT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        651 | PA      | $671.51        | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297AKJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17336 | PA      | $17865.13      | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297AKW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3154 | PA      | $3323.59       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297BRU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5030 | PA      | $5186.47       | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297CQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8790 | PA      | $8855.34       | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297DNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7020 | PA      | $7073.47       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297FR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10489 | PA      | $10586.47      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297FSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     268376 | PA      | $270733.21     | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297FT44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1499 | PA      | $1541.78       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297GCV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18199 | PA      | $18730.63      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297GCX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24721 | PA      | $24920.36      | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7783 | PA      | $7837.13       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297GZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5486 | PA      | $5753.11       | 0.00%             | 2039-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297H6P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1211 | PA      | $1219.33       | 0.00%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297HMX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3916 | PA      | $3935.23       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297HXT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23060 | PA      | $23714.84      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297K4U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5242 | PA      | $5394.83       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                | CUSIP: 36297KKZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7980 | PA      | $8213.19       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BLACKROCK CASH FUNDS                           | BlackRock Cash Funds: Treasury, SL Agency Shares | CUSIP: 066922477<br>LEI: N/A                  | Long             | STIV             | RF                | US        | 1673799363 | NS      | $1674636263.07 | 4.25%             |  |  |  | No            |                  1 | On Loan: No      |
| BLACKROCK CASH FUNDS TREASURY SL AGENCY SHARES | BlackRock Cash Funds: Treasury, SL Agency Shares | CUSIP: 066922477<br>LEI: 5493008LW2651I1QB503 | Long             | STIV             | RF                | US        |     100000 | NS      | $100000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-30

**Name of Applicant:** iShares Trust

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer